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Dynamic linkages among ASEAN‐5 emerging stock markets
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Dynamic linkages among ASEAN‐5 emerging stock markets (2009)Dynamic linkages among ASEAN‐5 emerging s…Emerging equity market volatility (1997)Emerging equity market volati…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…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 …Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…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…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 …The Econometric Analysis of Time Series. (1983)The Econometric Analysis of T…Forecasting with Univariate Box‐Jenkins Models (1983)Forecasting with Univariate B…Forecasting with Univariate Box - Jenkins Models : concepts and cases (1983)Forecasting with Univariate B…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The diversification benefit of Islamic investment to Chinese conventional equity investors (2019)The diversification benefit o…Google search and stock returns in emerging markets (2019)Google search and stock retur…Stock market interlinkages among the BRIC economies (2018)Stock market interlinkages am…The global financial market integration of selected emerging markets (2017)The global financial market i…Tail dependence and information flow: Evidence from international equity markets (2017)Tail dependence and informati…Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis (2017)Does Islamic equity investmen…Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events? (2017)Are Vietnam and Chinese stock…Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets (2016)Dynamic correlations and vola…Country ETF returns and volatility spillovers in emerging stock markets, Europe and USA (2016)Country ETF returns and volat…An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries (2016)An investigation of return an…Return performance, Cointegration and short run dynamics of Islamic and non-Islamic indices: evidence from the US and Malaysia during the subprime crisis (2012)Return performance, Cointegra…Literature review of stock market integration: a global perspective (2012)Literature review of stock ma…Comovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis (2011)Comovement Between Emerging a…Does trade matter for stock market integration? (2010)Does trade matter for stock m…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Time Series Regression with a Unit Root (1987)Bayesian Analysis of Stochastic Volatility Models (2002)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)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)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)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)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)
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References

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  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
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  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
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  • 1983The Econometric Analysis of Time Series.900 cited
  • 1983Forecasting with Univariate Box‐Jenkins Models

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413 cited
  • 1983Forecasting with Univariate Box - Jenkins Models : concepts and cases402 cited
  • Cited by

    • 2019Google search and stock returns in emerging markets58 cited
    • 2012Literature review of stock market integration: a global perspective55 cited
    • 2016Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets51 cited
    • 2016Country ETF returns and volatility spillovers in emerging stock markets, Europe and USA50 cited
    • 2010Does trade matter for stock market integration?49 cited
    • 2017Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis42 cited
    • 2016An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries39 cited
    • 2017Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?38 cited
    • 2011Comovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis36 cited
    • 2017Tail dependence and information flow: Evidence from international equity markets35 cited
    • 2018Stock market interlinkages among the BRIC economies34 cited
    • 2017The global financial market integration of selected emerging markets29 cited
    • 2012Return performance, Cointegration and short run dynamics of Islamic and non-Islamic indices: evidence from the US and Malaysia during the subprime crisis20 cited
    • 2019The diversification benefit of Islamic investment to Chinese conventional equity investors19 cited