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The effects of the subprime crisis on the Latin American financial markets: An empirical assessment
16 references·7 citing·39 second hop
The effects of the subprime crisis on the Latin American financial markets: An empirical assessment (2011)The effects of the subprime crisis on the…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis (2009)Transmission of the U.S. subp…The Global Financial Crisis: Explaining Cross-Country Differences in the Output Impact (2009)The Global Financial Crisis: …Estimation of Markov regime-switching regression models with endogenous switching (2007)Estimation of Markov regime-s…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…7. Regime Switching with Time-Varying Transition Probabilities (1999)7. Regime Switching with Time…Business cycle durations (1998)Business cycle durationsAsymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Nonstationary Time Series Analysis and Cointegration (1994)Nonstationary Time Series Ana…Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…Asset pricing with a factor-arch covariance structure (1990)Asset pricing with a factor-a…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Asset Pricing with a Factor A…Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model (1978)Discrete Parameter Variation:…Dynamic connectedness among the BRICS markets and the recent pandemic: an application of TVP-VAR approach (2024)Dynamic connectedness among t…An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela (2019)An investigation of oil price…Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis (2015)Realized spill-over effects b…Spillover Effects of the 2008 Financial Crisis in Latin America Stock Markets (2014)Spillover Effects of the 2008…Returns and volatility spillover in the European banking industry during global financial crisis: Flight to perceived quality or contagion? 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(1990)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Term Structure of Interest Rates with Regime Shifts (2002)The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model (2017)Portfolio Selection (1952)An Introduction to Copulas (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Modelling oil price and exchange rate co-movements (2011)Individual investor perceptions and behavior during the financial crisis (2012)Do global factors impact BRICS stock markets? 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this work references cited by second hop

References

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  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
  • 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills587 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1990Asset pricing with a factor-arch covariance structure542 cited
  • 19997. Regime Switching with Time-Varying Transition Probabilities450 cited
  • 2009Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis433 cited
  • 2009The Global Financial Crisis: Explaining Cross-Country Differences in the Output Impact347 cited
  • 1994Nonstationary Time Series Analysis and Cointegration284 cited
  • 1998Business cycle durations

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260 cited
  • 1978Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model257 cited
  • 2007Estimation of Markov regime-switching regression models with endogenous switching230 cited
  • Cited by

    • 2019An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela48 cited
    • 2014Returns and volatility spillover in the European banking industry during global financial crisis: Flight to perceived quality or contagion?47 cited
    • 2014Spillover Effects of the 2008 Financial Crisis in Latin America Stock Markets34 cited
    • 2013Inflation Targeting and Financial Stability: A Perspective from the Developing World28 cited
    • 2015Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis28 cited
    • 2014Internationalization Versus Regionalization in the Emerging Stock Markets24 cited
    • 2024Dynamic connectedness among the BRICS markets and the recent pandemic: an application of TVP-VAR approach19 cited