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Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?
16 references·16 citing·24 second hopsampled
Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact? (2005)Dynamic linkages between emerging Europea…Some Recent Developments in a Concept of Causality (2010)Some Recent Developments in a…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…The structure of interdependence in international stock markets (2003)The structure of interdepende…Stock market linkages: Evidence from Latin America (2002)Stock market linkages: Eviden…Market Models: A Guide to Financial Data Analysis (2001)Market Models: A Guide to Fin…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Long-Run Economic Relationships: Readings in Cointegration. (1993)Long-Run Economic Relationshi…Impulse response analysis of cointegrated systems (1992)Impulse response analysis of …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…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…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…Some recent development in a concept of causality (1988)Some recent development in a …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…International review of financial analysis: A retrospective evaluation between 1992 and 2020 (2021)International review of finan…Time-Varying Dependence in European Equity Markets: A Contagion and Investor Sentiment Driven Analysis (2019)Time-Varying Dependence in Eu…A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test (2017)A pre-crisis vs. crisis analy…Continuous wavelet transform and rolling correlation of European stock markets (2015)Continuous wavelet transform …Stock market integration of emerging Asian economies: Patterns and causes (2014)Stock market integration of e…Modeling Volatility in the Stock Markets using GARCH Models: European Emerging Economies and Turkey (2014)Modeling Volatility in the St…An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits (2014)An analysis of South-Eastern …Stock market comovements in Central Europe: Evidence from the asymmetric DCC model (2013)Stock market comovements in C…A leader of the world commodity futures markets in the making? The case of China's commodity futures (2013)A leader of the world commodi…Literature review of stock market integration: a global perspective (2012)Literature review of stock ma…Stock Market Integration between Three CEECs, Russia, and the UK (2011)Stock Market Integration betw…Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets (2011)Cointegration relationship an…Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe (2009)Volatility Spillovers between…The comovements in international stock markets: new evidence from Latin American emerging countries (2009)The comovements in internatio…Price and volatility spillovers across North American, European and Asian stock markets (2009)Price and volatility spillove…Dynamic correlations and volatility effects in the Balkan equity markets (2008)Dynamic correlations and vola…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)Time Series Analysis: Forecasting and Control (1977)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis Forecasting and Control. (1971)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)Estimating long-run relationships from dynamic heterogeneous panels (1995)The behavior of real exchange rates during the post-Bretton Woods period (1998)Tourism expansion and economic development: The case of Taiwan (2005)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 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
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1993Long-Run Economic Relationships: Readings in Cointegration.925 cited
  • 2010Some Recent Developments in a Concept of Causality790 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2001Market Models: A Guide to Financial Data Analysis493 cited
  • 1992Impulse response analysis of cointegrated systems433 cited
  • 2002Stock market linkages: Evidence from Latin America

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421 cited
  • 2003The structure of interdependence in international stock markets413 cited
  • Cited by

    • 2009Price and volatility spillovers across North American, European and Asian stock markets164 cited
    • 2011Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets155 cited
    • 2013Stock market comovements in Central Europe: Evidence from the asymmetric DCC model134 cited
    • 2014Stock market integration of emerging Asian economies: Patterns and causes108 cited
    • 2015Continuous wavelet transform and rolling correlation of European stock markets89 cited
    • 2017A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test83 cited
    • 2008Dynamic correlations and volatility effects in the Balkan equity markets82 cited
    • 2014An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits80 cited
    • 2011Stock Market Integration between Three CEECs, Russia, and the UK76 cited
    • 2021International review of financial analysis: A retrospective evaluation between 1992 and 202071 cited
    • 2014Modeling Volatility in the Stock Markets using GARCH Models: European Emerging Economies and Turkey65 cited
    • 2019Time-Varying Dependence in European Equity Markets: A Contagion and Investor Sentiment Driven Analysis62 cited
    • 2009The comovements in international stock markets: new evidence from Latin American emerging countries60 cited
    • 2013A leader of the world commodity futures markets in the making? The case of China's commodity futures59 cited
    • 2009Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe58 cited
    • 2012Literature review of stock market integration: a global perspective55 cited