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Timescale-dependent stock market comovement: BRICs vs. developed markets · Study

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ArticleTimescale-dependent stock market comovement: BRICs vs. developed markets

Heikki Lehkonen2014

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Articlegreen2014

Timescale-dependent stock market comovement: BRICs vs. developed markets

Heikki Lehkonen · Kari Heimonen

90 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1988A Capital Asset Pricing Model with Time-Varying Covariances 1995Time‐Varying World Market Integration n.d.Multivariate GARCH models: a survey 1995Is the correlation in international equity returns constant: 1960–1990?1997Emerging equity market volatility

Cited by

2019Dynamic linkages between tourism, transportation, growth and carbon emission in the USA: evidence from partial and multiple wavelet coherence 2020Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices 2021The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters 2016Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets 2021Stock Market Volatility Spillovers in G7 and BRIC

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Details

Year2014

Typearticle

Published2014-06-18

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations90

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2014.06.002

openalex_workW2000538025

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