{"id":"https://openalex.org/W2165145231","doi":"https://doi.org/10.2469/faj.v50.n6.32","title":"Forecasting International Equity Correlations","display_name":"Forecasting International Equity Correlations","publication_year":1994,"publication_date":"1994-11-01","ids":{"openalex":"https://openalex.org/W2165145231","doi":"https://doi.org/10.2469/faj.v50.n6.32","mag":"2165145231"},"language":"en","primary_location":{"id":"doi:10.2469/faj.v50.n6.32","doi":"https://doi.org/10.2469/faj.v50.n6.32","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v50.n6.32","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5008033022","display_name":"Claude B. Erb","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Claude B. Erb","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5088627183","display_name":"Campbell R. Harvey","orcid":"https://orcid.org/0000-0002-2397-652X","observed_orcids":["https://orcid.org/0000-0002-2397-652X"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Campbell R. Harvey","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5056259117","display_name":"Tadas E. Viskanta","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tadas E. Viskanta","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":5.7258,"has_fulltext":false,"cited_by_count":521,"citation_normalized_percentile":{"value":0.95803791,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":100},"biblio":{"volume":"50","issue":"6","first_page":"32","last_page":"45"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9901999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9901999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.003000000026077032,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0026000000070780516,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/business-cycle-synchronization","display_name":"business cycle synchronization","score":0.6430000066757202},{"id":"https://openalex.org/keywords/bull-and-bear-markets","display_name":"bull and bear markets","score":0.8040000200271606},{"id":"https://openalex.org/keywords/derivatives-pricing","display_name":"derivative pricing","score":0.7070000171661377},{"id":"https://openalex.org/keywords/g7-countries","display_name":"G7 countries","score":0.8550000190734863}],"concepts":[{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.7187793254852295},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6403486132621765},{"id":"https://openalex.org/C195742910","wikidata":"https://www.wikidata.org/wiki/Q176494","display_name":"Recession","level":2,"score":0.5576037168502808},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.556259036064148},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5470264554023743},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.5458101034164429},{"id":"https://openalex.org/C83873408","wikidata":"https://www.wikidata.org/wiki/Q192311","display_name":"Business cycle","level":2,"score":0.5049875378608704},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4934617578983307},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.1315847933292389},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2469/faj.v50.n6.32","doi":"https://doi.org/10.2469/faj.v50.n6.32","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v50.n6.32","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.5400000214576721,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W1963368884","https://openalex.org/W1966464126","https://openalex.org/W1975201751","https://openalex.org/W2090637028","https://openalex.org/W2111187892","https://openalex.org/W2117178635","https://openalex.org/W2144738716","https://openalex.org/W2165559086","https://openalex.org/W2176819521","https://openalex.org/W2180014883","https://openalex.org/W3005117407"],"related_works":["https://openalex.org/W2017855637","https://openalex.org/W2073587481","https://openalex.org/W2186338244","https://openalex.org/W2789781393","https://openalex.org/W2557099771","https://openalex.org/W7099425975","https://openalex.org/W1993411293","https://openalex.org/W1561817720","https://openalex.org/W2026538405","https://openalex.org/W2152667541"],"abstract_inverted_index":{"An":[0],"important":[1],"component":[2],"of":[3,12,25,74],"asset":[4],"allocation":[5,103],"decisions":[6],"is":[7],"the":[8,26,31,46,52],"future":[9],"correlation":[10],"structure":[11],"equity":[13,80,94],"returns.":[14],"Other":[15],"studies":[16],"have":[17],"found":[18],"that":[19],"correlations":[20,29],"change":[21],"through":[22],"time.":[23],"Examination":[24],"changing":[27],"cross-country":[28],"in":[30,51,82],"G-7":[32],"countries":[33],"provides":[34,88],"clues":[35],"as":[36],"to":[37,45],"why":[38],"they":[39],"change.":[40],"Equity":[41],"cross-correlations":[42],"are":[43,56,65,72,98],"related":[44],"coherence":[47],"between":[48],"business":[49,70],"cycles":[50,71],"respective":[53],"countries.":[54],"Correlations":[55,64],"higher":[57],"during":[58,61],"recessions":[59],"than":[60],"growth":[62],"periods.":[63],"low":[66],"when":[67],"two":[68],"countries'":[69],"out":[73],"phase.":[75],"A":[76],"semicorrelation":[77],"metric":[78],"differentiates":[79],"comovements":[81],"bull":[83],"and":[84,87,104],"bear":[85],"markets":[86],"a":[89],"method":[90],"for":[91],"forecasting":[92],"multiperiod":[93],"correlations.":[95],"Two":[96],"applications":[97],"investigated:":[99],"out-of-sample":[100],"global":[101],"portfolio":[102],"derivative":[105],"instruments.":[106]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":13},{"year":2021,"cited_by_count":10},{"year":2020,"cited_by_count":17},{"year":2019,"cited_by_count":16},{"year":2018,"cited_by_count":15},{"year":2017,"cited_by_count":18},{"year":2016,"cited_by_count":25},{"year":2015,"cited_by_count":25},{"year":2014,"cited_by_count":28},{"year":2013,"cited_by_count":28},{"year":2012,"cited_by_count":30}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}