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An investigation of price discovery and volatility spillovers in India’s foreign exchange market
16 references·4 citing·29 second hop
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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2002Introduction to Time Series and Forecasting3,913 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited

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1994
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
874 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • Cited by

    • 2021The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies47 cited
    • 2018Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds32 cited
    • 2018Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets30 cited
    • 2023Volatility Spillover Effects between Indian Stock Market and Global Stock Markets: A DCC-GARCH Model29 cited