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Time‐Varying Spillover Effects on Sectoral Equity Returns
16 references·2 citing·36 second hop
Time‐Varying Spillover Effects on Sectoral Equity Returns (2011)Time‐Varying Spillover Effects on Sectora…Handbook of the Economics of Finance (2013)Handbook of the Economics of …EMU and European Stock Market Integration* (2006)EMU and European Stock Market…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …Market Integration and Contagion (2005)Market Integration and Contag…Are Financial Assets Priced Locally or Globally? (2002)Are Financial Assets Priced L…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …The Increasing Importance of Industry Factors (2000)The Increasing Importance of …Emerging equity market volatility (1997)Emerging equity market volati…Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Spillovers to sectoral equity returns: do liquidity and financial positions matter? (2021)Spillovers to sectoral equity…Diversification across ASEAN-wide sectoral and national equity returns (2014)Diversification across ASEAN-…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)The econometrics of financial markets (1996)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)A Theory of Intraday Patterns: Volume and Price Variability (1988)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Global market integration: An alternative measure and its application☆ (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Emerging markets finance (2003)International Stock Return Comovements (2005)Capital flows, push versus pull factors and the global financial crisis (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)Econometric Analysis of Cross Section and Panel Data (2001)Using artificial neural network models in stock market index prediction (2011)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Asymmetric volatility transmission in international stock markets (1995)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
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  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited
  • 2002Are Financial Assets Priced Locally or Globally?548 cited
  • 2000

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The Increasing Importance of Industry Factors
457 cited
  • 2006EMU and European Stock Market Integration*379 cited
  • Cited by

    • 2014Diversification across ASEAN-wide sectoral and national equity returns28 cited
    • 2021Spillovers to sectoral equity returns: do liquidity and financial positions matter?25 cited