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Asymmetric information transmission between a transition economy and the U.S. market: evidence from the Warsaw Stock Exchange
16 references·8 citing·22 second hop
Asymmetric information transmission between a transition economy and the U.S. market: evidence from the Warsaw Stock Exchange (2003)Asymmetric information transmission betwe…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…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…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Foresight for stock market volatility – a study in the Indian perspective (2019)Foresight for stock market vo…Volatility spillovers between crude oil price and stock markets: evidence from BRIC countries (2017)Volatility spillovers between…Asymmetry Effects in Volatility on the Major European Stock Markets: the EGARCH Based Approach (2017)Asymmetry Effects in Volatili…Exchange rate volatility and firm performance in Nigeria: A dynamic panel regression approach (2016)Exchange rate volatility and …Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones (2013)Price and Volatility Spillove…Foreign News and Spillovers in Emerging European Stock Markets (2010)Foreign News and Spillovers i…Time-Varying Comovements in Developed and European Stock Markets: Evidence from Intraday Data (2007)Time-Varying Comovements in D…Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data (2006)Contagion Across and Integrat…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Testing for unit roots in heterogeneous panels (2003)
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References

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  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
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  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited

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1995
Asymmetric volatility transmission in international stock markets
728 cited
  • 1995Time-Varying World Market Integration594 cited
  • Cited by

    • 2017Volatility spillovers between crude oil price and stock markets: evidence from BRIC countries58 cited
    • 2006Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data29 cited
    • 2013Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones27 cited
    • 2019Foresight for stock market volatility – a study in the Indian perspective22 cited
    • 2007Time-Varying Comovements in Developed and European Stock Markets: Evidence from Intraday Data21 cited
    • 2016Exchange rate volatility and firm performance in Nigeria: A dynamic panel regression approach19 cited
    • 2017Asymmetry Effects in Volatility on the Major European Stock Markets: the EGARCH Based Approach19 cited
    • 2010Foreign News and Spillovers in Emerging European Stock Markets18 cited