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International transmission of stock prices among G7 countries: LA-VAR approach
13 references·8 citing·26 second hop
International transmission of stock prices among G7 countries: LA-VAR approach (2000)International transmission of stock price…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Interdependencies among the Nordic and U.S. Stock Markets (1990)Interdependencies among the N…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…International Transmission of Stock Market Movements (1989)International Transmission of…International Stock Price Movements: Links and Messages (1989)International Stock Price Mov…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…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Macroeconomics and Reality (1980)Macroeconomics and RealityDistribution 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…Examining the relationship between policy uncertainty and market uncertainty across the G7 (2020)Examining the relationship be…Are the Stock Exchanges of Emerging Economies Inter-Linked: Evidence from BRICS (2013)Are the Stock Exchanges of Em…Inter‐linkages among stock markets of South Asia (2011)Inter‐linkages among stock ma…Volatility switching and regime interdependence between information technology stocks 1995–2005 (2008)Volatility switching and regi…Student- t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management (2008)Student- t distribution based…Economic determinants of comovement across international stock markets: the example of Taiwan and its key trading partners (2008)Economic determinants of como…The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model (2005)The asymmetric reactions of m…The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks (2004)The linkage between the US an…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)International Diversification of Investment Portfolios (1970)Correlations in Price Changes and Volatility across International Stock Markets (1990)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,677 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,202 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1989International Stock Price Movements: Links and Messages246 cited
  • 1990Interdependencies among the Nordic and U.S. Stock Markets59 cited

Cited by

  • 2020Examining the relationship between policy uncertainty and market uncertainty across the G747 cited
  • 2011Inter‐linkages among stock markets of South Asia

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29 cited
  • 2008Volatility switching and regime interdependence between information technology stocks 1995–200527 cited
  • 2004The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks27 cited
  • 2008Student- t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management22 cited
  • 2013Are the Stock Exchanges of Emerging Economies Inter-Linked: Evidence from BRICS19 cited
  • 2008Economic determinants of comovement across international stock markets: the example of Taiwan and its key trading partners17 cited
  • 2005The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model16 cited