Stochastic correlation across international stock markets

This publication has 15 references indexed in Scilit:

• The Stochastic Volatility of Short‐Term Interest Rates: Some International Evidence
  The Journal of Finance, 1999
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
  The Review of Economic Studies, 1998
• Regime Switches in Interest Rates
  Published by National Bureau of Economic Research ,1998
• Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements
  The Journal of Finance, 1996
• Applied state space modelling of non-Gaussian time series using integration-based Kalman filtering
  Statistics and Computing, 1994
• Multivariate Stochastic Variance Models
  The Review of Economic Studies, 1994
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
  Journal of the American Statistical Association, 1992
• Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
  The Review of Economics and Statistics, 1990
• Generalized autoregressive conditional heteroskedasticity
  Journal of Econometrics, 1986
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
  Econometrica, 1982