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Volatility dependence and contagion in emerging equity markets
16 references·16 citing·30 second hopsampled
Volatility dependence and contagion in emerging equity markets (2001)Volatility dependence and contagion in em…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…How Effective are Capital Controls? (1999)How Effective are Capital Con…Specification testing in Markov-switching time-series models (1996)Specification testing in Mark…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…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…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…The roles of inter-fuel substitution and inter-market contagion in driving energy prices: Evidences from China’s coal market (2019)The roles of inter-fuel subst…The dynamic spillover between carbon and energy markets: New evidence (2018)The dynamic spillover between…Financial contagion and volatility spillover: An exploration into Indian commodity derivative market (2017)Financial contagion and volat…The spillover effects across natural gas and oil markets: Based on the VEC–MGARCH framework (2015)The spillover effects across …Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2015)Testing the Conventional and …Financial market interdependencies: A quantile regression analysis of volatility spillover (2015)Financial market interdepende…Contagion and banking crisis – International evidence for 2007–2009 (2015)Contagion and banking crisis …Return and volatility transmission between oil prices and oil-exporting and oil-importing countries (2014)Return and volatility transmi…Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2011)Oil shock transmission to sto…Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach (2010)Volatility Spillovers in East…Volatility spillovers, interdependence and comovements: A Markov Switching approach (2007)Volatility spillovers, interd…Intra- and inter-regional spillovers between emerging capital markets around the world (2006)Intra- and inter-regional spi…A Spatial Modelling Approach to Contagion Among Emerging Economies (2006)A Spatial Modelling Approach …Detecting shift-contagion in currency and bond markets (2005)Detecting shift-contagion in …Interest-Rate Volatility in Emerging Markets (2003)Interest-Rate Volatility in E…Financial markets in times of stress (2002)Financial markets in times of…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Stock return variances (1986)Mean reversion in stock prices (1988)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)Competition and Financial Stability (2004)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 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
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp

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623 cited
  • 1999How Effective are Capital Controls?529 cited
  • 1996Specification testing in Markov-switching time-series models476 cited
  • Cited by

    • 2018The dynamic spillover between carbon and energy markets: New evidence268 cited
    • 2015Contagion and banking crisis – International evidence for 2007–2009163 cited
    • 2015The spillover effects across natural gas and oil markets: Based on the VEC–MGARCH framework148 cited
    • 2014Return and volatility transmission between oil prices and oil-exporting and oil-importing countries142 cited
    • 2010Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach124 cited
    • 2007Volatility spillovers, interdependence and comovements: A Markov Switching approach121 cited
    • 2015Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis113 cited
    • 2005Detecting shift-contagion in currency and bond markets111 cited
    • 2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market111 cited
    • 2003Interest-Rate Volatility in Emerging Markets110 cited
    • 2006A Spatial Modelling Approach to Contagion Among Emerging Economies107 cited
    • 2011Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach97 cited
    • 2002Financial markets in times of stress96 cited
    • 2006Intra- and inter-regional spillovers between emerging capital markets around the world93 cited
    • 2019The roles of inter-fuel substitution and inter-market contagion in driving energy prices: Evidences from China’s coal market93 cited
    • 2015Financial market interdependencies: A quantile regression analysis of volatility spillover82 cited