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Stock and currency market linkages: New evidence from realized spillovers in higher moments. (2016). Wu, Eliza ; Do, Hung Xuan ; Treepongkaruna, Sirimon ; Brooks, Robert.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:42:y:2016:i:c:p:167-185.

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Cited: 28

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  1. Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks. (2023). Bouri, Elie ; Gupta, Rangan ; Plakandaras, Vasilios ; Foglia, Matteo.
    In: Working Papers.
    RePEc:pre:wpaper:202337.

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  2. Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000318.

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  3. Connectedness in implied higher-order moments of precious metals and energy markets. (2023). Zhang, Hongwei ; Xu, Yahua ; Lei, Xiaojie ; Bouri, Elie.
    In: Energy.
    RePEc:eee:energy:v:263:y:2023:i:pb:s0360544222024744.

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  4. Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario. (2023). Zhou, Xiangjing ; Zeng, Hongjun ; Xu, Wen ; Lu, Ran.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1465-1481.

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  5. .

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  6. A note on the Bitcoin and Fed Funds rate. (2022). Aboura, Sofiane.
    In: Empirical Economics.
    RePEc:spr:empeco:v:63:y:2022:i:5:d:10.1007_s00181-022-02207-7.

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  7. On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:83:y:2022:i:c:p:135-151.

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  8. Sentiment and stock market connectedness: Evidence from the U.S. – China trade war. (2022). Zhong, Angel ; Hu, Xiaolu ; Do, Hung ; Bissoondoyal-Bheenick, Emawtee.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000114.

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  9. Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network. (2022). Zhang, Zeyi ; Wu, Shan ; Zhou, Yuqin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004480.

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  10. Central moments, stochastic dominance, moment rule, and diversification with an application. (2022). Wong, Wing-Keung ; Guo, XU ; Chow, Sheung-Chi ; Chan, Raymond H.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:161:y:2022:i:c:s0960077922004611.

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  11. Higher-order comoments and asset returns: evidence from emerging equity markets. (2021). Vo, Xuan Vinh ; Anh, Thi Tuan.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03549-0.

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  12. Higher Realized Moments and Stock Return Predictability. (2021). Ullah, Wali ; Waliullah, ; Sharif, Saqib ; Rehman, Seema.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2021:i:1:p:48-70.

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  13. Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. (2021). Oxley, Les ; Corbet, Shaen ; Xu, Danyang ; Hu, Yang ; Hou, Yang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:71:y:2021:i:c:p:55-81.

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  14. Impact of stock market trading on currency market volatility spillovers. (2020). Yelkenci, Tezer ; AYDOAN, Berna ; Baklaci, Hasan Fehmi.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307287.

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  15. Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain. (2020). Warshaw, Evan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:68:y:2020:i:c:p:1-14.

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  16. Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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  17. Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Aboura, Sofiane ; Finta, Marinela Adriana.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021.

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  18. Dynamic interdependence of ASEAN5 with G5 stock markets. (2020). Liow, Kim ; Song, Jeongseop.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:45:y:2020:i:c:s1566014120300042.

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  19. Interconnectedness in the Australian National Electricity Market: A Higher?Moment Analysis. (2020). Smyth, Russell ; Nepal, Rabindra ; Do, Hung.
    In: The Economic Record.
    RePEc:bla:ecorec:v:96:y:2020:i:315:p:450-469.

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  20. Domestic and International Information Linkages for the US Dollar/Indian Rupee Contracts: An Empirical Study. (2018). .
    In: Management and Labour Studies.
    RePEc:sae:manlab:v:43:y:2018:i:4:p:205-233.

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  21. Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kocenda, Evzen ; Baruník, Jozef.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:956.

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  22. Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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  23. The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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  24. Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States. (2016). Hamori, Shigeyuki ; Tian, Shuairu .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:38:y:2016:i:c:p:163-171.

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  25. Fractional integration in daily stock market indices at Jordans Amman stock exchange. (2016). Anwar, Sajid ; Al-Shboul, Mohammad.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:37:y:2016:i:c:p:16-37.

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  26. Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef.
    In: Papers.
    RePEc:arx:papers:1607.08214.

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  27. .

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    RePEc:eee:jfinec:v:100:y:2011:i:2:p:248-263.

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  37. Assessing the impact of heteroskedasticity for evaluating hedge fund performance. (2011). Marshall, Andrew ; Tang, Leilei.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:1:p:12-19.

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  38. Inferring reporting biases in hedge fund databases from hedge fund equity holdings. (2010). Jiang, Wei ; Agarwal, Vikas ; Fos, Vyacheslav.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1008.

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  39. A stochastic-difference-equation model for hedge-fund returns. (2010). Derman, Emanuel ; Whitt, Ward ; Park, Kun Soo.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:7:p:701-733.

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  40. Passive Hedge Fund Replication – Beyond the Linear Case. (2010). Amenc, Nol ; Ziemann, Volker ; Meyfredi, Jeana Christophe ; Martellini, Lionel.
    In: European Financial Management.
    RePEc:bla:eufman:v:16:y:2010:i:2:p:191-210.

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  41. Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication. (2009). Takahashi, Akihiko ; Yamamoto, Kyo .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf624.

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  42. Emerging market hedge funds: Do they perform like regular hedge funds?. (2009). Abugri, Benjamin A. ; Dutta, Sandip .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:5:p:834-849.

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  43. Quantile regression analysis of hedge fund strategies. (2009). Vrontos, Ioannis D. ; Meligkotsidou, Loukia.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:2:p:264-279.

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  44. Tracking problems, hedge fund replication and alternative beta. (2008). Roncalli, Thierry ; Weisang, Guillaume .
    In: MPRA Paper.
    RePEc:pra:mprapa:37358.

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  45. Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach. (2008). Vrontos, Ioannis D. ; Meligkotsidou, Loukia.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:11:p:2471-2481.

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  46. Evaluating hedge fund performance: a stochastic dominance approach. (2007). LINTON, OLIVER.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24486.

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  47. Does the choice of performance measure influence the evaluation of hedge funds?. (2007). Eling, Martin ; Schuhmacher, Frank .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:9:p:2632-2647.

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  48. (IAM Series No 002) An Intro to Hedge Funds. (2004). Connor, Gregory ; Woo, Mason.
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp477.

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  49. An Introduction to hedge funds. (2004). Connor, Gregory ; Woo, Mason.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24675.

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