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International Linkage of the Russian Market and the Russian Financial Crisis: A Multivariate GARCH Analysis
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International Linkage of the Russian Market and the Russian Financial Crisis: A Multivariate GARCH Analysis (2008)International Linkage of the Russian Mark…International Financial Contagion (2001)International Financial Conta…Contagion and trade (1999)Contagion and tradeContagion and Trade: Why Are Currency Crises Regional? (1998)Contagion and Trade: Why Are …Capital Flows to Latin America: Is There Evidence of Contagion Effects? (1996)Capital Flows to Latin Americ…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…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…Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…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…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)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)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Theory of Intraday Patterns: Volume and Price Variability (1988)Noise Trader Risk in Financial Markets (1990)5 Stochastic volatility (1996)Extreme Correlation of International Equity Markets (2001)Asymmetric correlations of equity portfolios (2002)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The Behavior of Stock-Market Prices (1965)Measuring and Testing the Impact of News on Volatility (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)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)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Stock return variances (1986)Mean Reversion in Stock Prices: Evidence and Implications (1987)Is the correlation in international equity returns constant: 1960–1990? (1995)Emerging equity market volatility (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1998Contagion and Trade: Why Are Currency Crises Regional?798 cited
  • 1999Contagion and trade574 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada516 cited
  • 2001International Financial Contagion491 cited
  • 1996

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Capital Flows to Latin America: Is There Evidence of Contagion Effects?
482 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
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