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Transmission of returns and volatility in art markets: a multivariate GARCH analysis
16 references·1 citing·33 second hop
Transmission of returns and volatility in art markets: a multivariate GARCH analysis (2004)Transmission of returns and volatility in…The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets (2000)The Impact of Financial Liber…Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System (2000)Multivariate GARCH Modeling o…The Returns to Picasso's Prints and to Traditional Financial Assets, 1977 to 1996 (1999)The Returns to Picasso's Prin…On the return of art investment return analyses (1995)On the return of art investme…On the rate of return in the art market: Survey and evaluation (1995)On the rate of return in the …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Long-term comovements in international markets for paintings (1995)Long-term comovements in inte…Is art market behaviour predictable? (1995)Is art market behaviour predi…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…Returns of Impressionist, Modern and Contemporary European Paintings 1962-1991 (1994)Returns of Impressionist, Mod…Art as an investment: The market for modern prints (1993)Art as an investment: The mar…Accounting for taste: Art and the financial markets over three centuries (1993)Accounting for taste: Art and…ARCH modeling in finance (1992)ARCH modeling in financeModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Art Investment: An Empirical Inquiry (1989)Art Investment: An Empirical …Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE (2012)Return and volatility spillov…Unnatural Value: Or Art Investment as Floating Crap Game (1985)Auctions and the Price of Art (2003)Art as an Investment and Conspicuous Consumption Good (2009)Art and Money (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Muses and Markets: Explorations in the Economics of the Arts (1989)Buying Beauty: On Prices and Returns in the Art Market (2012)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Multivariate GARCH models: a survey (2006)Volatility transmission in emerging European foreign exchange markets (2011)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)Macroeconomics and Reality (1980)Art as an investment: risk, return and portfolio diversification in major painting markets (2004)Financial Returns and Price Determinants in the Australian Art Market, 1973-2003* (2005)PAINTINGS AS AN INVESTMENT (1974)The Production and Consumption of the Arts: A View of Cultural Economics (1994)Financial returns, price determinants, and genre effects in American art investment (1996)Cours De Peinture Par Principes (2009)Modeling and Forecasting Realized Volatility (2003)A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)Market Integration and Contagion (2005)Volatility transmission in the oil and natural gas markets (2002)Multivariate GARCH Models: A Survey (2003)Multivariate GARCH modeling of sector volatility transmission (2007)
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References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,310 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada516 cited
  • 1993Accounting for taste: Art and the financial markets over three centuries368 cited
  • 1993Art as an investment: The market for modern prints335 cited
  • 2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System189 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada173 cited
  • 1989Art Investment: An Empirical Inquiry142 cited
  • 1995Is art market behaviour predictable?137 cited
  • 1995On the return of art investment return analyses134 cited
  • 1995On the rate of return in the art market: Survey and evaluation113 cited
  • 1994Returns of Impressionist, Modern and Contemporary European Paintings 1962-199188 cited
  • 1995Long-term comovements in international markets for paintings86 cited
  • 2000

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The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets
82 cited
  • 1999The Returns to Picasso's Prints and to Traditional Financial Assets, 1977 to 199648 cited
  • Cited by

    • 2012Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE25 cited