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Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia
16 references·8 citing·24 second hop
Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia (2000)Linear and non-linear transmission of equ…A test for independence based on the correlation dimension (1996)A test for independence based…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…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…International Transmission of Stock Market Movements (1989)International Transmission of…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…International shocks on Australia: The Japanese effect (2014)International shocks on Austr…Modelling Australian stock market volatility (2011)Modelling Australian stock ma…Volatility transmission patterns and terrorist attacks (2009)Volatility transmission patte…Dynamic Linkages Between the China and International Stock Markets (2009)Dynamic Linkages Between the …Parametric and nonparametric Granger causality testing: Linkages between international stock markets (2008)Parametric and nonparametric …Volatility Transmission Models: A Survey (2005)Volatility Transmission Model…Asymmetric covariance in spot‐futures markets (2003)Asymmetric covariance in spot…The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test (1999)The Effect of (Mis-Specified)…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)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)The Cross‐Section of Volatility and Expected Returns (2006)Competition and Financial Stability (2004)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1977Estimating betas from nonsynchronous data2,751 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
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1990

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Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • Cited by

    • 2005Volatility Transmission Models: A Survey46 cited
    • 1999The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test44 cited
    • 2003Asymmetric covariance in spot‐futures markets39 cited
    • 2009Volatility transmission patterns and terrorist attacks35 cited
    • 2011Modelling Australian stock market volatility31 cited
    • 2009Dynamic Linkages Between the China and International Stock Markets29 cited
    • 2008Parametric and nonparametric Granger causality testing: Linkages between international stock markets28 cited
    • 2014International shocks on Australia: The Japanese effect20 cited