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Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras
16 references·16 citing·22 second hopsampled
Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras (1997)Dynamic linkages and the propagation mech…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…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…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Volatility transmission in regional Asian stock markets (2013)Volatility transmission in re…Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty (2013)Understanding emerging market…Bull or bear markets: A wavelet dynamic correlation perspective (2013)Bull or bear markets: A wavel…Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis (2012)Dynamic linkages of stock pri…Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis (2007)Common stochastic trends amon…The Emerging Market Crisis and Stock Market Linkages: Further Evidence (2005)The Emerging Market Crisis an…Cointegration portfolios of European equities for index tracking and market neutral strategies (2005)Cointegration portfolios of E…International portfolio diversification to Central European stock markets (2004)International portfolio diver…Interdependence and dynamic linkages between the emerging stock markets of South Asia (2004)Interdependence and dynamic l…The interdependence of share markets in the developed economies of East Asia (2003)The interdependence of share …Modelling the linkages between US and Latin American stock markets (2003)Modelling the linkages betwee…Integration and interdependence of stock and foreign exchange markets: an Australian perspective (2003)Integration and interdependen…Has 1997 Asian crisis increased information flows between international markets (2003)Has 1997 Asian crisis increas…Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period (2002)Propagative causal price tran…Long‐term trends and cycles in ASEAN stock markets (2002)Long‐term trends and cycles i…Interrelationships among regional stock indices (2002)Interrelationships among regi…Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Time Series Analysis: Forecasting and Control (1977)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)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)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)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 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
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 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
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows

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1,025 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • Cited by

    • 2002Interrelationships among regional stock indices157 cited
    • 2004Interdependence and dynamic linkages between the emerging stock markets of South Asia114 cited
    • 2004International portfolio diversification to Central European stock markets114 cited
    • 2002Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period99 cited
    • 2005The Emerging Market Crisis and Stock Market Linkages: Further Evidence97 cited
    • 2003Has 1997 Asian crisis increased information flows between international markets93 cited
    • 2005Cointegration portfolios of European equities for index tracking and market neutral strategies83 cited
    • 2003The interdependence of share markets in the developed economies of East Asia83 cited
    • 2007Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis77 cited
    • 2013Volatility transmission in regional Asian stock markets77 cited
    • 2013Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty76 cited
    • 2012Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis75 cited
    • 2002Long‐term trends and cycles in ASEAN stock markets75 cited
    • 2003Modelling the linkages between US and Latin American stock markets75 cited
    • 2013Bull or bear markets: A wavelet dynamic correlation perspective70 cited
    • 2003Integration and interdependence of stock and foreign exchange markets: an Australian perspective66 cited