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Short-run and long-run dynamic linkages among international stock markets
16 references·12 citing·26 second hop
Short-run and long-run dynamic linkages among international stock markets (1996)Short-run and long-run dynamic linkages a…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Cointegration: how short is the long run? (1991)Cointegration: how short is t…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…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Time Series Regression with a Unit Root (1987)Time Series Regression with 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 Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…International Diversification of Investment Portfolios (1970)International Diversification…Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach (2021)Stock Market Linkages between…International stock markets Integration and dynamics of volatility spillover between the USA and South Asian markets: evidence from Global financial crisis (2020)International stock markets I…Global and regional stock market integration in Asia: A panel convergence approach (2019)Global and regional stock mar…Borsa İstanbul (BIST) 100 Endeksi İle Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme Ve Granger Nedensellik (2015)Borsa İstanbul (BIST) 100 End…Stock Market Linkages in Emerging Asia-Pacific Markets (2013)Stock Market Linkages in Emer…Is the Indian stock market cointegrated with other Asian markets? (2013)Is the Indian stock market co…Literature review of stock market integration: a global perspective (2012)Literature review of stock ma…Does trade matter for stock market integration? (2010)Does trade matter for stock m…Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets (2009)Dynamic Returns Linkages and …Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets (2004)Economic interdependence and …NAFTA and North American stock market linkages: an empirical note (1999)NAFTA and North American stoc…Cointegration, forecasting and international stock prices (1998)Cointegration, forecasting an…Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Some recent development in a concept of causality (1988)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 Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 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
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1991Optimal Inference in Cointegrated Systems

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1,110 cited
  • 1991Cointegration: how short is the long run?564 cited
  • Cited by

    • 1999NAFTA and North American stock market linkages: an empirical note62 cited
    • 2019Global and regional stock market integration in Asia: A panel convergence approach59 cited
    • 2009Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets55 cited
    • 2012Literature review of stock market integration: a global perspective55 cited
    • 2015Borsa İstanbul (BIST) 100 Endeksi İle Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme Ve Granger Nedensellik52 cited
    • 2010Does trade matter for stock market integration?49 cited
    • 1998Cointegration, forecasting and international stock prices41 cited
    • 2021Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach40 cited
    • 2013Stock Market Linkages in Emerging Asia-Pacific Markets38 cited
    • 2020International stock markets Integration and dynamics of volatility spillover between the USA and South Asian markets: evidence from Global financial crisis35 cited
    • 2013Is the Indian stock market cointegrated with other Asian markets?32 cited
    • 2004Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets25 cited