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Financial Market Dynamics in an Enlarged European Union
16 references·3 citing·37 second hop
Financial Market Dynamics in an Enlarged European Union (2009)Financial Market Dynamics in an Enlarged …Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …Stock prices and exchange rate dynamics (2005)Stock prices and exchange rat…Market Integration and Contagion (2005)Market Integration and Contag…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dating the integration of world equity markets (2002)Dating the integration of wor…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Emerging equity market volatility (1997)Emerging equity market volati…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Statistical Analysis of Cointegration Vectors (1991)Statistical Analysis of Coint…Co-integration and Error Correction: Representation, Estimation, and Testing (1991)Co-integration and Error Corr…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Business and Financial Cycles in the Eurozone: Synchronization or Decoupling (2017)Business and Financial Cycles…In search of the determinants of European asset market comovements (2016)In search of the determinants…A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis (2012)A dynamic conditional correla…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Further evidence on breaking trend functions in macroeconomic variables (1997)The saving and investment nexus for China: evidence from cointegration tests (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Multivariate GARCH models: a survey (2006)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Tourism as a long-run economic growth factor: the Spanish case (2002)Testing for Error Correction in Panel Data* (2007)Do Natural Resources Fuel Authoritarianism? A Reappraisal of the Resource Curse (2011)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Foreign Speculators and Emerging Equity Markets (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Asymmetric correlations of equity portfolios (2002)Smart Money, Noise Trading and Stock Price Behaviour (1993)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)
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  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,528 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,814 cited
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  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
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  • 1991Statistical Analysis of Cointegration Vectors548 cited

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2005
Stock prices and exchange rate dynamics
459 cited

Cited by

  • 2016In search of the determinants of European asset market comovements18 cited
  • 2012A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis16 cited
  • 2017Business and Financial Cycles in the Eurozone: Synchronization or Decoupling16 cited