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Cross-border transmission of stock price volatility
16 references·5 citing·33 second hop
Cross-border transmission of stock price volatility (1999)Cross-border transmission of stock price …The variation of certain speculative prices (1997)The variation of certain spec…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…ARCH modeling in finance (1992)ARCH modeling in financeA Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Transmission of Stock Market Movements (1989)International Transmission of…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Stock return variances (1986)Stock return variancesThe Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets (2019)Frequency domain causality an…The intraday volatility spillover index approach and an application in the Brexit vote (2018)The intraday volatility spill…Dynamic spillovers between Nigerian, South African and international equity markets (2016)Dynamic spillovers between Ni…Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach (2015)Linkages Between the US and E…Intraday return and volatility spillover mechanism from Chinese to Japanese stock market (2014)Intraday return and volatilit…Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Introductory Econometrics for Finance (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1986Stock return variances1,813 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

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786 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • Cited by

    • 2018The intraday volatility spillover index approach and an application in the Brexit vote30 cited
    • 2015Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach29 cited
    • 2014Intraday return and volatility spillover mechanism from Chinese to Japanese stock market28 cited
    • 2016Dynamic spillovers between Nigerian, South African and international equity markets28 cited
    • 2019Frequency domain causality analysis of intra- and inter-regional return and volatility spillovers of South-East European (SEE) stock markets24 cited