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International transmission of information: evidence from the Euroyen and Eurodollar futures markets
16 references·0 citing·24 second hop
International transmission of information: evidence from the Euroyen and Eurodollar futures markets (1998)International transmission of information…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…ARCH modeling in finance (1992)ARCH modeling in financeEstimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Stock return variances (1986)Stock return variancesGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)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)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)MONEY, INCOME, AND CAUSALITY (1972)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Econometric Analysis of Cross Section and Panel Data (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited

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1986
Stock return variances
1,813 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
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