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Spatial modeling of stock market comovements
13 references·6 citing·52 second hop
Spatial modeling of stock market comovements (2012)Spatial modeling of stock market comoveme…Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis (2009)Global capital market interde…A cospectral analysis of exchange rate comovements during Asian financial crisis (2009)A cospectral analysis of exch…Extreme interdependence and extreme contagion between emerging markets (2007)Extreme interdependence and e…Currency crisis contagion and the identification of transmission channels (2007)Currency crisis contagion and…Volatility comovement: a multifrequency approach (2005)Volatility comovement: a mult…The determinants of cross-border equity flows (2004)The determinants of cross-bor…Is the international propagation of financial shocks non-linear? (2002)Is the international propagat…Explaining Stock Market Correlation: \nA Gravity Model Approach (2001)Explaining Stock Market Corre…Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Home Bias at Home: Local Equi…Contagion and trade (1999)Contagion and tradeContagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria (1998)Contagion: Monsoonal Effects,…Contagion and Trade: Why Are Currency Crises Regional? (1998)Contagion and Trade: Why Are …A Computer Movie Simulating Urban Growth in the Detroit Region (1970)A Computer Movie Simulating U…Network log-ARCH models for forecasting stock market volatility (2024)Network log-ARCH models for f…Do institutional ownership and innovation influence idiosyncratic risk? (2022)Do institutional ownership an…Effects of investor sentiment on stock return volatility: A spatio-temporal dynamic panel model (2020)Effects of investor sentiment…The effect of firm and stock characteristics on stock returns: Stock market crash analysis (2016)The effect of firm and stock …Spatio-temporal modeling of financial maps from a joint multidimensional scaling-geostatistical perspective (2016)Spatio-temporal modeling of f…A spatial–temporal analysis of East Asian equity market linkages (2014)A spatial–temporal analysis o…Specification Tests in Econometrics (1978)Inference in Linear Time Series Models with some Unit Roots (1990)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Contagion as a domino effect in global stock markets (2009)Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (2011)The more contagion effect on emerging markets: The evidence of DCC-GARCH model (2012)Innovation Diffusion As a Spatial Process (1967)Methods to account for spatial autocorrelation in the analysis of species distributional data: a review (2007)A measure of spatial stratified heterogeneity (2016)Multiscale Geographically Weighted Regression (MGWR) (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Co‐movement Dynamics of European Frontier Stock Markets (2012)Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis (2013)Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests (2016)A Model of Balance-of-Payments Crises (1979)Rational and Self-Fulfilling Balance-of-Payments Crises (1984)Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks (1995)A New Approach to Measuring Financial Contagion (2000)Contagion: Understanding How It Spreads (2000)The Unholy Trinity of Financial Contagion (2003)Increasing Returns and Economic Geography (1990)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Investor Psychology and Asset Pricing (2001)Does Distance Still Matter? The Information Revolution in Small Business Lending (2002)Information and the Cost of Capital (2004)Financial Crises in Emerging Markets: The Lessons from 1995 (1996)Measuring Contagion: Conceptual and Empirical Issues (2001)Empirical modelling of contagion: a review of methodologies (2005)The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Dynamic Conditional Correlation (2002)VOLATILITY AND CORRELATION FORECASTING (2006)Continuous cascade models for asset returns (2007)The Econometrics of Financial Markets (2012)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Law and Finance (1998)Gravity with Gravitas: A Solution to the Border Puzzle (2003)International Investment Patterns (2005)International portfolio diversification is better than you think (2010)Liberalisation and stock market co-movement between emerging economies (2010)Foundations of International Macroeconomics (1997)Legal Determinants of External Finance (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation (2008)Cultural Biases in Economic Exchange? * (2009)Econometric Analysis of Panel Data (2021)Current Account Reversals and Currency Crises: Empirical Regularities (1998)Contagion: (1999)Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? (2002)
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References

  • 1970A Computer Movie Simulating Urban Growth in the Detroit Region9,754 cited
  • 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios2,898 cited
  • 2004The determinants of cross-border equity flows1,722 cited
  • 1998Contagion and Trade: Why Are Currency Crises Regional?798 cited
  • 1999Contagion and trade574 cited
  • 1998Contagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria419 cited
  • 2002Is the international propagation of financial shocks non-linear?277 cited
  • 2009Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis125 cited
  • 2001Explaining Stock Market Correlation: \nA Gravity Model Approach112 cited
  • 2005Volatility comovement: a multifrequency approach110 cited
  • 2007Currency crisis contagion and the identification of transmission channels104 cited
  • 2009A cospectral analysis of exchange rate comovements during Asian financial crisis102 cited
  • 2007Extreme interdependence and extreme contagion between emerging markets62 cited

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  • 2020Effects of investor sentiment on stock return volatility: A spatio-temporal dynamic panel model55 cited

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2024
Network log-ARCH models for forecasting stock market volatility
40 cited
  • 2016The effect of firm and stock characteristics on stock returns: Stock market crash analysis38 cited
  • 2022Do institutional ownership and innovation influence idiosyncratic risk?31 cited
  • 2016Spatio-temporal modeling of financial maps from a joint multidimensional scaling-geostatistical perspective26 cited
  • 2014A spatial–temporal analysis of East Asian equity market linkages25 cited