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Volatility Spillover Effects in European Equity Markets
16 references·16 citing·27 second hopsampled
Volatility Spillover Effects in European Equity Markets (2002)Volatility Spillover Effects in European …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Stock Market Liberalization, …Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Financial Development and Economic Growth: Views and Agenda (1999)Financial Development and Eco…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Emerging equity market volatility (1997)Emerging equity market volati…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY (2020)INVESTIGATING ABNORMAL VOLATI…The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging (2019)The effect of economic policy…Global Political Uncertainty and Asset Prices (2019)Global Political Uncertainty …Volatility spillovers between crude oil price and stock markets: evidence from BRIC countries (2017)Volatility spillovers between…Examining volatility spillover between Asian countries’ stock markets (2016)Examining volatility spillove…An International Comparison of Implied, Realized, and GARCH Volatility Forecasts (2016)An International Comparison o…Organization Capital, Labor Market Flexibility and Stock Returns Around the World (2015)Organization Capital, Labor M…Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2011)Oil shock transmission to sto…The European Union, the Euro, and Equity Market Integration (2010)The European Union, the Euro,…The Myth of Diversification (2009)The Myth of DiversificationHome Bias Revisited (2009)Home Bias RevisitedModel uncertainty, financial market integration and the home bias puzzle (2007)Model uncertainty, financial …Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area (2007)Have European Stocks become M…Valuing volatility spillovers (2006)Valuing volatility spilloversCorrelation dynamics in European equity markets (2005)Correlation dynamics in Europ…Volatility and shocks spillover before and after EMU in European stock markets (2003)Volatility and shocks spillov…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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)On the mechanics of economic development (1988)Law and Finance (1998)The World Price of Insider Trading (2002)Finance and Growth: Theory and Evidence (2004)Finance, inequality and the poor (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Does financial liberalization spur growth? (2005)On the Impossibility of Informationally Efficient Markets (1980)Asymmetric correlations of equity portfolios (2002)The Cross‐Section of Volatility and Expected Returns (2006)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1999Financial Development and Economic Growth: Views and Agenda2,978 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process

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1,492 cited
  • 2000Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices1,385 cited
  • Cited by

    • 2019Global Political Uncertainty and Asset Prices213 cited
    • 2019The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging124 cited
    • 2003Volatility and shocks spillover before and after EMU in European stock markets113 cited
    • 2007Model uncertainty, financial market integration and the home bias puzzle105 cited
    • 2011Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach97 cited
    • 2009The Myth of Diversification84 cited
    • 2005Correlation dynamics in European equity markets79 cited
    • 2009Home Bias Revisited71 cited
    • 2015Organization Capital, Labor Market Flexibility and Stock Returns Around the World63 cited
    • 2007Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area61 cited
    • 2017Volatility spillovers between crude oil price and stock markets: evidence from BRIC countries58 cited
    • 2016An International Comparison of Implied, Realized, and GARCH Volatility Forecasts52 cited
    • 2010The European Union, the Euro, and Equity Market Integration49 cited
    • 2020INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY45 cited
    • 2006Valuing volatility spillovers42 cited
    • 2016Examining volatility spillover between Asian countries’ stock markets41 cited