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Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982–2002
16 references·0 citing·49 second hop
Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982–2002 (2004)Identification of common and idiosyncrati…A Primer on Financial Contagion (2003)A Primer on Financial Contagi…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Oil price shocks, stock market, economic activity and employment in Greece (2001)Oil price shocks, stock marke…Financial markets and the allocation of capital (2000)Financial markets and the all…Contagion: Understanding How It Spreads (2000)Contagion: Understanding How …Oil price risk and the Australian stock market (1999)Oil price risk and the Austra…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Contagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria (1998)Contagion: Monsoonal Effects,…Generalised Impulse Response Analysis in Linear Multivariate Models (1997)Generalised Impulse Response …Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …International Transmission of Stock Market Movements (1989)International Transmission of…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…The dynamic effects of aggregate demand and supply disturbance (1988)The dynamic effects of aggreg…Stock prices, earnings, and expected dividends (1988)Stock prices, earnings, and e…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Model of Balance-of-Payments Crises (1979)Foundations of International Macroeconomics (1997)Empirical modelling of contagion: a review of methodologies (2005)Social Interactions in High School: Lessons from an Earthquake (2007)Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Do structural oil-market shocks affect stock prices? (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Oil prices, exchange rates and emerging stock markets (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Bank Runs, Deposit Insurance, and Liquidity (1983)A Simple Model of Herd Behavior (1992)Emerging markets finance (2003)The subprime credit crisis and contagion in financial markets (2010)Modeling financial contagion using mutually exciting jump processes (2015)The General Theory of Employment, Interest and Money. (1936)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Law and Finance (1998)Investor protection and corporate governance (2000)Investor Protection and Corporate Valuation (2002)Finance and Growth: Theory and Evidence (2004)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Extreme Correlation of International Equity Markets (2001)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 2000Financial markets and the allocation of capital1,972 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2000Contagion: Understanding How It Spreads812 cited
  • 2001Oil price shocks, stock market, economic activity and employment in Greece773 cited
  • 2003A Primer on Financial Contagion696 cited
  • 1988Stock prices, earnings, and expected dividends567 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1988The dynamic effects of aggregate demand and supply disturbance468 cited
  • 1998Contagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria419 cited
  • 1997Generalised Impulse Response Analysis in Linear Multivariate Models412 cited

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  • 1999Oil price risk and the Australian stock market391 cited
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