References

• 1998Law and Finance17,902 cited
• 1997Legal Determinants of External Finance9,776 cited
• 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
• 2002A Rational Expectations Model of Financial Contagion1,080 cited
• 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
• 2003The Unholy Trinity of Financial Contagion619 cited
• 1999The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis479 cited
• 2005Stock prices and exchange rate dynamics459 cited
• 1998Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.