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Dynamic Modeling of Stock Market Interdependencies: An Empirical Investigation of Australia and the Asian NICs
16 references·4 citing·25 second hop
Dynamic Modeling of Stock Market Interdependencies: An Empirical Investigation of Australia and the Asian NICs (2001)Dynamic Modeling of Stock Market Interdep…Vector Autoregressions and Causality (1993)Vector Autoregressions and Ca…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…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…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…Atheoretical macroeconometrics: A critique (1985)Atheoretical macroeconometric…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Stock returns prediction using kernel adaptive filtering within a stock market interdependence approach (2020)Stock returns prediction usin…Are the Stock Exchanges of Emerging Economies Inter-Linked: Evidence from BRICS (2013)Are the Stock Exchanges of Em…Stock Market Interdependence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners (2006)Stock Market Interdependence …Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets (2004)Economic interdependence and …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)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)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)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Automatic Lag Selection in Covariance Matrix Estimation (1994)Introductory Econometrics for Finance (2008)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Generalized impulse response analysis in linear multivariate models (1998)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Competition and Financial Stability (2004)
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
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1993Vector Autoregressions and Causality867 cited
  • 1985Atheoretical macroeconometrics: A critique714 cited

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  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • Cited by

    • 2020Stock returns prediction using kernel adaptive filtering within a stock market interdependence approach35 cited
    • 2004Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets25 cited
    • 2006Stock Market Interdependence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners23 cited
    • 2013Are the Stock Exchanges of Emerging Economies Inter-Linked: Evidence from BRICS19 cited