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Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?
16 references·1 citing·44 second hop
Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas? (2006)Volatility co-movements between emerging …Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Expected Return…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…On crises, contagion, and confusion (2000)On crises, contagion, and con…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The Twin Crises: The Causes o…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Not all emerging markets are the same: A classification approach with correlation based networks (2016)Not all emerging markets are …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Autoregressive 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)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Manias, Panics and Crashes (1978)A Model of Balance-of-Payments Crises (1979)New Indexes of Coincident and Leading Economic Indicators (1989)The Determinants of Banking Crises in Developing and Developed Countries (1998)Does financial liberalization spur growth? (2005)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Another look at measures of forecast accuracy (2006)Multivariate GARCH models: a survey (2006)Testing for the Constancy of Parameters Over Time (1989)Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Is the correlation in international equity returns constant: 1960–1990? (1995)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)Aggregate Confusion: The Divergence of ESG Ratings (2019)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Determinants of Credit Spread Changes (2001)Forecasting Default with the Merton Distance to Default Model (2008)Credit Spreads and Business Cycle Fluctuations (2012)The Cross‐Section of Volatility and Expected Returns (2006)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1999The Twin Crises: The Causes of Banking and Balance-of-Payments Problems5,042 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,036 cited
  • 2006Analysis of Financial Time Series2,382 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
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  • 2007Liquidity and Expected Returns: Lessons from Emerging Markets1,229 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models

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1,114 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
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    • 2016Not all emerging markets are the same: A classification approach with correlation based networks16 cited