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Volatility and error transmission spillover effects: Evidence from three European financial regions
16 references·0 citing·36 second hop
Volatility and error transmission spillover effects: Evidence from three European financial regions (2009)Volatility and error transmission spillov…The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom (2006)The World of Cross-Listings a…The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom (2004)The World of Cross-Listings a…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Price and volatility spillovers in Scandinavian stock markets (1997)Price and volatility spillove…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE (1993)MEAN AND VOLATILITY SPILLOVER…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Stock Price Movements: Links and Messages (1989)International Stock Price Mov…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)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)Macroeconomics and Reality (1980)A test for constant correlations in a multivariate GARCH model (2000)Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Continuous Auctions and Insider Trading (1985)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Law and Finance (1998)Why do firms go dark? Causes and economic consequences of voluntary SEC deregistrations (2008)Private Benefits of Control, Ownership, and the Cross‐listing Decision (2009)Global Accounting Convergence and the Potential Adoption of IFRS by the U.S. (Part I): Conceptual Underpinnings and Economic Analysis (2010)Statistical aspects of ARCH and stochastic volatility (1996)A New Approach to Measuring Financial Contagion (2000)Are Financial Assets Priced Locally or Globally? (2002)Financial market integration in Europe: on the effects of EMU on stock markets (2002)Volatility Spillover Effects in European Equity Markets (2005)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International comovement of stock market returns: A wavelet analysis (2009)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)
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References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2006The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom561 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE313 cited
  • 1997Price and volatility spillovers in Scandinavian stock markets304 cited
  • 1989International Stock Price Movements: Links and Messages246 cited
  • 2004

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The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom
238 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements196 cited
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