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The dynamic relationship between exchange rates and stock returns in emerging countries: Volatility spillover and portfolio management
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The dynamic relationship between exchange rates and stock returns in emerging countries: Volatility spillover and portfolio management (2012)The dynamic relationship between exchange…Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011)Return and volatility transmi…On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)On the impacts of oil price f…Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets (2006)Dynamic linkages between exch…Stock prices and exchange rate dynamics (2005)Stock prices and exchange rat…Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Dynamic relationship between …A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines (1997)Exchange rate and stock price…Emerging equity market volatility (1997)Emerging equity market volati…Wharton Survey of Derivatives Usage by U.S. Non-Financial Firms (1995)Wharton Survey of Derivatives…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Exposure to Currency Risk: Definition and Measurement (1984)Exposure to Currency Risk: De…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Oil and the Macroeconomy since World War II (1983)Oil price shocks and stock market activity (1999)What is an Oil Shock? (2000)Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)International Portfolio Choice and Corporation Finance: A Synthesis (1983)The Pricing of Exchange Rate Risk in the Stock Market (1991)Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA (1993)The Global Crisis and Equity Market Contagion (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Empirical modelling of contagion: a review of methodologies (2005)Economic Reforms, FDI, and Economic Growth in India: A Sector Level Analysis (2008)Predicting Fluctuations in Cryptocurrency Transactions Based on User Comments and Replies (2016)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)On the Empirics of Sudden Stops: The Relevance of Balance-Sheet Effects (2004)International Liquidity and Exchange Rate Dynamics * (2015)Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine (2022)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Asymmetric Volatility and Risk in Equity Markets (2000)Individualism and Momentum around the World (2010)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1997Emerging equity market volatility1,703 cited
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  • 1980Exchange Rates and the Current Account.1,042 cited
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  • 2011On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness487 cited
  • 2001Dynamic relationship between stock prices and exchange rates for G-7 countries472 cited
  • 1997Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines466 cited
  • 2005Stock prices and exchange rate dynamics459 cited
  • 2011Return and volatility transmission between world oil prices and stock markets of the GCC countries423 cited
  • 1995Wharton Survey of Derivatives Usage by U.S. Non-Financial Firms

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344 cited
  • 2006Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets325 cited
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