References

• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
• 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
• 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 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
• 2010Credit Default Swaps and the Credit Crisis545 cited
• 1996A causality-in-variance test and its application to financial market prices520 cited
• 2001A test for volatility spillover with application to exchange rates443 cited
• 2009Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis436 cited
• 2012How the Subprime Crisis went global: Evidence from bank credit default swap spreads291 cited
• 2011The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis106 cited
• 2005Testing for causality in variance in the presence of breaks68 cited
• 2011Financial CDS, stock market and interest rates: Which drives which?61 cited
• 2009Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market