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Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras
16 references·0 citing·33 second hop
Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras (2004)Common stochastic trends and the dynamic …Stock Market Development and Financial Intermediaries: Stylized Facts (1996)Stock Market Development and …Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…Vector Autoregressions and Causality (1993)Vector Autoregressions and Ca…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Global Financial Integration: The End of Geography (1992)Global Financial Integration:…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…International Transmission of Stock Market Movements (1989)International Transmission of…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 …Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Time Series Analysis Forecasting and Control. (1971)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)Alternative models for conditional stock volatility (1990)Stock Prices and Volume (1992)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Testing for a Unit Root in Time Series Regression (1988)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)Generalized impulse response analysis in linear multivariate models (1998)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 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
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1992Global Financial Integration: The End of Geography973 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1993Vector Autoregressions and Causality

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867 cited
  • 1996Stock Market Development and Financial Intermediaries: Stylized Facts789 cited
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