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International nonlinear causality between stock markets
16 references·3 citing·41 second hop
International nonlinear causality between stock markets (2008)International nonlinear causality between…Critical values for multiple structural change tests (2003)Critical values for multiple …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Transmission of Stock Market Movements (1989)International Transmission of…Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Measurement of Linear Depende…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…An Investigation of the Flight-to-Quality Effect: Evidence from Asia-Pacific Countries (2013)An Investigation of the Fligh…On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries (2012)On the globalization of stock…Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure (2010)Global Financial Crisis, Extr…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)MONEY, INCOME, AND CAUSALITY (1972)Comparing alternative tests of causality in temporal systems (1983)Consciousness and Complexity (1998)Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Integration and Contagion (2005)Downside Risk (2006)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1982Measurement of Linear Dependence and Feedback Between Multiple Time Series2,056 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements

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867 cited
  • 2003Critical values for multiple structural change tests860 cited
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    • 2012On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries28 cited
    • 2010Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure24 cited
    • 2013An Investigation of the Flight-to-Quality Effect: Evidence from Asia-Pacific Countries22 cited