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Time-Varying Comovements in Developed and European Stock Markets: Evidence from Intraday Data
16 references·0 citing·43 second hop
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 1993A Permanent and Transitory Component Model of Stock Return Volatility501 cited
  • 2005Comovement in international equity markets: A sectoral view289 cited
  • 2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets283 cited
  • 2002International portfolio diversification: US and Central European equity markets267 cited
  • 2004Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes250 cited
  • 2001The comovements of stock markets in Hungary, Poland and the Czech Republic180 cited
  • 1989Tests of international CAPM with time‐varying covariances147 cited
  • 2004International portfolio diversification to Central European stock markets114 cited

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  • 2005Financial contagion vulnerability and resistance: A comparison of European stock markets100 cited
  • 2005Correlation dynamics in European equity markets79 cited
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