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Volatility and return spillovers in Canadian and U.S. industry ETFs
16 references·10 citing·39 second hop
Volatility and return spillovers in Canadian and U.S. industry ETFs (2012)Volatility and return spillovers in Canad…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…The Determinants of Asymmetric Volatility (2001)The Determinants of Asymmetri…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…No news is good news (1992)No news is good newsIndustrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Stock Market and Investment (1990)The Stock Market and Investme…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Transmission of Stock Market Movements (1989)International Transmission of…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda (2024)Exchange-traded funds and the…Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic (2022)Volatility spillovers from th…Impact of energy sector volatility on clean energy assets (2020)Impact of energy sector volat…Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach (2020)Dynamic dependence between ET…The hedging effectiveness of global sectors in emerging and developed stock markets (2019)The hedging effectiveness of …A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices (2017)A multifractal detrended fluc…Price discovery in the S&P 500 index derivatives markets (2016)Price discovery in the S&P 50…Improving international diversification benefits for US investors (2015)Improving international diver…The Nonlinear Price Fynamics of US Equity ETFs (2014)The Nonlinear Price Fynamics …Sentiment-prone investors and volatility dynamics between spot and futures markets (2014)Sentiment-prone investors and…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Multivariate GARCH models: a surveyOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)A Theory of Intraday Patterns: Volume and Price Variability (1988)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Chapter 49 Arch models (1994)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Continuous Auctions and Insider Trading (1985)The theory and practice of econometrics (1986)Inferring Trade Direction from Intraday Data (1991)Liquidity Risk and Expected Stock Returns (2001)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Trading and Arbitrage in Cryptocurrency Markets (2018)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)
this work references cited by second hop

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1992No news is good news1,929 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2002Order imbalance, liquidity, and market returns914 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 1990The Stock Market and Investment691 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada

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499 cited
  • 2001The Determinants of Asymmetric Volatility441 cited
  • Cited by

    • 2020Impact of energy sector volatility on clean energy assets119 cited
    • 2017A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices80 cited
    • 2020Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach63 cited
    • 2022Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic51 cited
    • 2016Price discovery in the S&P 500 index derivatives markets36 cited
    • 2015Improving international diversification benefits for US investors35 cited
    • 2024Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda30 cited
    • 2019The hedging effectiveness of global sectors in emerging and developed stock markets29 cited
    • 2014Sentiment-prone investors and volatility dynamics between spot and futures markets28 cited
    • 2014The Nonlinear Price Fynamics of US Equity ETFs22 cited