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Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework
16 references·3 citing·29 second hop
Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework (2014)Linkages between emerging and developed e…OIL PRICES AND STOCK MARKETS IN GCC COUNTRIES: EMPIRICAL EVIDENCE FROM PANEL ANALYSIS (2011)OIL PRICES AND STOCK MARKETS …Interdependence between Eastern and Western European stock markets: Evidence from intraday data (2007)Interdependence between Easte…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Breaking the panels: An application to the GDP per capita (2005)Breaking the panels: An appli…PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)PANEL COINTEGRATION: ASYMPTOT…International equity market integration: Theory, evidence and implications (2004)International equity market i…Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes (2004)Equity market integration in …Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Pooled Mean Group Estimation …Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors (1999)Critical Values for Cointegra…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Dynamic Linear Models for Heterogenous Panels (1996)Dynamic Linear Models for Het…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Another look at the instrumental variable estimation of error-components models (1995)Another look at the instrumen…Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Some Tests of Specification f…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Quantifying systemic risk in US industries using neural network quantile regression (2022)Quantifying systemic risk in …The Relationship Between Profitability and Stock Prices: Evidence from the Saudi Banking Sector (2019)The Relationship Between Prof…Financial development and financial openness nexus: the precondition of banking competition (2015)Financial development and fin…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Further evidence on breaking trend functions in macroeconomic variables (1997)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Specification Tests in Econometrics (1978)Initial conditions and moment restrictions in dynamic panel data models (1998)Econometric Analysis of Cross Section and Panel Data (2001)Testing for unit roots in heterogeneous panels (2003)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Renewable energy consumption and economic growth: Evidence from a panel of OECD countries (2009)Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors (2015)Testing for a Unit Root in Time Series Regression (1988)Spurious regression and residual-based tests for cointegration in panel data (1999)Testing for Error Correction in Panel Data* (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Initial conditions and moment restrictions in dynamic panel data models (1995)
this work references cited by second hop

References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,089 cited
  • 1995Another look at the instrumental variable estimation of error-components models19,861 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1999Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors6,715 cited
  • 2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS6,696 cited
  • 1999Pooled Mean Group Estimation of Dynamic Heterogeneous Panels6,673 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2005Breaking the panels: An application to the GDP per capita690 cited
  • 2011OIL PRICES AND STOCK MARKETS IN GCC COUNTRIES: EMPIRICAL EVIDENCE FROM PANEL ANALYSIS374 cited
  • 1996Dynamic Linear Models for Heterogenous Panels278 cited
  • 2004International equity market integration: Theory, evidence and implications252 cited

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  • 2004Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes250 cited
  • 2007Interdependence between Eastern and Western European stock markets: Evidence from intraday data165 cited
  • Cited by

    • 2022Quantifying systemic risk in US industries using neural network quantile regression36 cited
    • 2019The Relationship Between Profitability and Stock Prices: Evidence from the Saudi Banking Sector27 cited
    • 2015Financial development and financial openness nexus: the precondition of banking competition16 cited