International Market Correlation and Volatility

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Is the correlation in international equity returns constant: 1960–1990?

1995 • 1,908 citations

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

1994 • 907 citations

Volatility and Links between National Stock Markets

1994 • 670 citations

Forecasting International Equity Correlations

1994 • 552 citations

Asset Allocation in a Downside Risk Framework

2000 • 329 citations

International Investments.

1989 • 303 citations

A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

1994 • 46 citations