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Timescale-dependent stock market comovement: BRICs vs. developed markets
16 references·16 citing·26 second hopsampled
Timescale-dependent stock market comovement: BRICs vs. developed markets (2014)Timescale-dependent stock market comoveme…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Market Integration and Contagion (2005)Market Integration and Contag…International Stock Return Comovements (2005)International Stock Return Co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States (1999)The Effects of Market Segment…Emerging equity market volatility (1997)Emerging equity market volati…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…A model of international asset pricing (1981)A model of international asse…Multivariate GARCH models: a surveyMultivariate GARCH models: a …The relationship between green bonds and conventional financial markets: Evidence from quantile-on-quantile and quantile coherence approaches (2022)The relationship between gree…Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies (2021)Time-frequency domain analysi…The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters (2021)The impacts of COVID-19 crisi…Stock Market Volatility Spillovers in G7 and BRIC (2021)Stock Market Volatility Spill…Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices (2020)Time and frequency domain qua…The effect of royal family members on the board on firm performance in Saudi Arabia (2019)The effect of royal family me…Range-Based DCC Models for Covariance and Value-at-Risk Forecasting (2019)Range-Based DCC Models for Co…Potential Dependence of Financial Cycles between Emerging and Developed Countries: Based on ARIMA-GARCH Copula Model (2019)Potential Dependence of Finan…Dynamic linkages between tourism, transportation, growth and carbon emission in the USA: evidence from partial and multiple wavelet coherence (2019)Dynamic linkages between tour…Dynamic connectedness between Bitcoin and equity market information across BRICS countries (2019)Dynamic connectedness between…The Changing Role of Financial Stress, Oil Price, and Gold Price in Financial Contagion among US and BRIC Markets (2018)The Changing Role of Financia…International stock market contagion: A CEEMDAN wavelet analysis (2018)International stock market co…Understanding international stock market comovements: A comparison of developed and emerging markets (2017)Understanding international s…Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach (2017)Diversification potential of …Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets (2016)Stock market comovements arou…Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level (2015)Identifying the multiscale im…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Emerging markets finance (2003)Capital flows, push versus pull factors and the global financial crisis (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)Does financial liberalization spur growth? (2005)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2005Market Integration and Contagion1,061 cited
  • 1999The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States1,051 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2005International Stock Return Comovements860 cited
  • 2009International comovement of stock market returns: A wavelet analysis

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843 cited
  • 1981A model of international asset pricing807 cited
  • Cited by

    • 2019Dynamic linkages between tourism, transportation, growth and carbon emission in the USA: evidence from partial and multiple wavelet coherence139 cited
    • 2020Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices89 cited
    • 2021The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters80 cited
    • 2016Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets74 cited
    • 2021Stock Market Volatility Spillovers in G7 and BRIC73 cited
    • 2015Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level72 cited
    • 2021Time-frequency domain analysis of investor fear and expectations in stock markets of BRIC economies71 cited
    • 2022The relationship between green bonds and conventional financial markets: Evidence from quantile-on-quantile and quantile coherence approaches64 cited
    • 2019Dynamic connectedness between Bitcoin and equity market information across BRICS countries61 cited
    • 2019Range-Based DCC Models for Covariance and Value-at-Risk Forecasting59 cited
    • 2019Potential Dependence of Financial Cycles between Emerging and Developed Countries: Based on ARIMA-GARCH Copula Model57 cited
    • 2018The Changing Role of Financial Stress, Oil Price, and Gold Price in Financial Contagion among US and BRIC Markets57 cited
    • 2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach55 cited
    • 2018International stock market contagion: A CEEMDAN wavelet analysis54 cited
    • 2019The effect of royal family members on the board on firm performance in Saudi Arabia48 cited
    • 2017Understanding international stock market comovements: A comparison of developed and emerging markets46 cited