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Entry barriers and price movements between major and emerging stock markets
16 references·6 citing·28 second hop
Entry barriers and price movements between major and emerging stock markets (1994)Entry barriers and price movements betwee…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…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…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Atheoretical macroeconometrics: A critique (1985)Atheoretical macroeconometric…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On the Effects of Barriers to International Investment (1981)On the Effects of Barriers to…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Analysis of volatility persistence in Middle East emerging equity markets (2008)Analysis of volatility persis…Stock Market Interdependence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners (2006)Stock Market Interdependence …Foreign investment, regulation and price volatility in South-east Asian stock markets (2001)Foreign investment, regulatio…Dynamic Modeling of Stock Market Interdependencies: An Empirical Investigation of Australia and the Asian NICs (2001)Dynamic Modeling of Stock Mar…Country funds and asymmetric information (2000)Country funds and asymmetric …Contagion effects during the Asian financial crisis : some evidence from stock price data (1998)Contagion effects during the …A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)The Behavior of Stock-Market Prices (1965)Generalized autoregressive conditional heteroskedasticity (1986)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)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)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)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Competition and Financial Stability (2004)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 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
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 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
  • 1985

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Atheoretical macroeconometrics: A critique
714 cited
  • 1981On the Effects of Barriers to International Investment699 cited
  • Cited by

    • 2001Dynamic Modeling of Stock Market Interdependencies: An Empirical Investigation of Australia and the Asian NICs28 cited
    • 2001Foreign investment, regulation and price volatility in South-east Asian stock markets25 cited
    • 1998Contagion effects during the Asian financial crisis : some evidence from stock price data25 cited
    • 2006Stock Market Interdependence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners23 cited
    • 2008Analysis of volatility persistence in Middle East emerging equity markets22 cited
    • 2000Country funds and asymmetric information22 cited