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International Transmission of Stock Returns and Volatility : Empirical Comparison Between Friends and Foes
16 references·4 citing·28 second hop
International Transmission of Stock Returns and Volatility : Empirical Comparison Between Friends and Foes (2004)International Transmission of Stock Retur…The variation of certain speculative prices (1997)The variation of certain spec…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…ARCH modeling in finance (1992)ARCH modeling in financeCorrelations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Expected stock returns and volatility (1987)Expected stock returns and vo…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis (2021)Co-movement between GCC stock…Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis (2018)Quantile dependence between d…Financial integration in emerging market economies: Effects on volatility transmission and contagion (2015)Financial integration in emer…Does the Use of Foreign Currency Derivatives Affect Firms' Market Value? Evidence from Colombia (2012)Does the Use of Foreign Curre…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited

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  • 1989International Transmission of Stock Market Movements1,412 cited
  • Cited by

    • 2015Financial integration in emerging market economies: Effects on volatility transmission and contagion46 cited
    • 2018Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis38 cited
    • 2012Does the Use of Foreign Currency Derivatives Affect Firms' Market Value? Evidence from Colombia31 cited
    • 2021Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis28 cited