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Volatility transmission and volatility impulse response functions among the Greater China stock markets
16 references·1 citing·41 second hop
Volatility transmission and volatility impulse response functions among the Greater China stock markets (2015)Volatility transmission and volatility im…The great reversals: the politics of financial development in the twentieth century (2003)The great reversals: the poli…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…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…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…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…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Macroeconomics and Reality (1980)Macroeconomics and RealityAn Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management (2020)An Empirical Analysis of the …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Generalized autoregressive conditional heteroskedasticity (1986)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)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)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)Bank Runs, Deposit Insurance, and Liquidity (1983)Legal Determinants of External Finance (1997)Law and Finance (1998)What matters for financial development? Capital controls, institutions, and interactions (2005)The Economic Consequences of Legal Origins (2008)The Colonial Origins of Comparative Development: An Empirical Investigation: Reply (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2003The great reversals: the politics of financial development in the twentieth century3,327 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 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
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1990

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Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
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    • 2020An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management25 cited