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Volatility transmission and asymmetric linkages between the stock and foreign exchange markets
16 references·1 citing·26 second hop
Volatility transmission and asymmetric linkages between the stock and foreign exchange markets (2011)Volatility transmission and asymmetric li…Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries (2004)Price and Volatility Spillove…International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (2001)International Competition and…Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence (2000)Volatility Spillovers Between…International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (1997)International Competition and…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …Good news, bad news and international spillovers of stock return volatility between Japan and the U.S. (1994)Good news, bad news and inter…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA (1993)Exchange rate exposure and in…MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION (1992)MONETARY AND PORTFOLIO-BALANC…The Exchange-Rate Exposure of U.S. Multinationals (1990)The Exchange-Rate Exposure of…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…The intraday volatility spillover index approach and an application in the Brexit vote (2018)The intraday volatility spill…ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Empirical exchange rate models of the seventies (1983)Exposure to Currency Risk: Definition and Measurement (1984)Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Exchange Rate Exposure (2001)A General Equilibrium Approach To Monetary Theory (1969)Expectations and Exchange Rate Dynamics (1976)In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)Exchange Rate Economics: A Survey (1991)Stock prices and exchange rate dynamics (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)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)Econometric Analysis of Cross Section and Panel Data (2001)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)The Use of Foreign Currency Derivatives and Firm Market Value (2001)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 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
  • 1990The Exchange-Rate Exposure of U.S. Multinationals1,149 cited
  • 1980Exchange Rates and the Current Account.1,042 cited
  • 1993Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA672 cited
  • 1992MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION438 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 2001International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns363 cited
  • 1997International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns325 cited
  • 2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence281 cited

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  • 2004Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries232 cited
  • 1994Good news, bad news and international spillovers of stock return volatility between Japan and the U.S.223 cited
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    • 2018The intraday volatility spillover index approach and an application in the Brexit vote30 cited