The Quarterly Review of Economics and Finance · 2021 · 56 citations · 46 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsTime Series AnalysisCapital MarketsEquity RiskMarket RiskStock MarketsVolatility AnalysisVolatility ModelingCorrelation DynamicsCross-border SpilloversReturn Spillover EffectsTime Series Volatility ModelingTime-varying Volatility Models
46
Dynamic Conditional Correlation
Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations
Business, Finance, Econometrics +16
Why Does Stock Market Volatility Change Over Time?
G. William Schwert · The Journal of Finance · 1989 · 3.6K citations
Modeling Asymmetric Comovements of Asset Returns
Kenneth F. Kroner, Victor Ng · Review of Financial Studies · 1998 · 1.6K citations