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Common stochastic trends in European stock markets
9 references·16 citing·32 second hop
Common stochastic trends in European stock markets (1993)Common stochastic trends in European stoc…DYNAMIC SPECIFICATION AND COINTEGRATION* (1992)DYNAMIC SPECIFICATION AND COI…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…COINTEGRATION AND UNIT ROOTS (1990)COINTEGRATION AND UNIT ROOTSAsymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…International Investments. (1989)International Investments.Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5 (2015)Dynamic Asian stock market co…Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea (2011)Oil price volatility and stoc…Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade (2010)Dynamic European stock market…Cointegration portfolios of European equities for index tracking and market neutral strategies (2005)Cointegration portfolios of E…International portfolio diversification to Central European stock markets (2004)International portfolio diver…The interdependence of share markets in the developed economies of East Asia (2003)The interdependence of share …The dynamic interrelationships between the greater China share markets (2003)The dynamic interrelationship…European Stock Market Integration: Does EMU Matter? (2003)European Stock Market Integra…Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period (2002)Propagative causal price tran…Assessing European stock markets (co)integration (2002)Assessing European stock mark…Increasing convergence among European stock markets? (2001)Increasing convergence among …A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis (2000)A study of cointegration and …Volatility spillovers across equity markets: European evidence (1998)Volatility spillovers across …Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras (1997)Dynamic linkages and the prop…A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages (1997)A comparative analysis of the…Interdependence of stock markets: evidence from Europe during the 1920s and 1930s (1996)Interdependence of stock mark…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The comovements of stock markets in Hungary, Poland and the Czech Republic (2001)Common trends and convergence? South East Asian equity markets, 1988–1999 (2002)Volatility transmission and financial crises (2006)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness (2014)Extreme risk spillovers between crude oil and stock markets (2015)Oil, gold, US dollar and stock market interdependencies: a global analytical insight (2017)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)EXCHANGE RATE PASS‐THROUGH (1995)A multivariate cointegration analysis of the role of energy in the US macroeconomy (2000)The causality relationship between energy consumption and GDP in G-11 countries revisited (2005)Testing for unit roots in heterogeneous panels (2003)Exchange rate variability and the riskiness of U.S. multinational firms: Evidence from the breakdown of the Bretton Woods system (1996)Event study concerning international bond price effects of credit rating actions (2001)Explaining and Forecasting Bond Risk Premiums (2010)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1990COINTEGRATION AND UNIT ROOTS638 cited
  • 1989International Investments.291 cited
  • 1992DYNAMIC SPECIFICATION AND COINTEGRATION*154 cited

Cited by

  • 2011Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea234 cited
  • 1998Volatility spillovers across equity markets: European evidence181 cited
  • 2000A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis179 cited
  • 1997Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras159 cited
  • 2001Increasing convergence among European stock markets?141 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2015Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5125 cited
  • 2010Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade121 cited
  • 1997A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages119 cited
  • 2004International portfolio diversification to Central European stock markets114 cited
  • 2002Assessing European stock markets (co)integration103 cited
  • 2002Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period99 cited
  • 2005Cointegration portfolios of European equities for index tracking and market neutral strategies83 cited
  • 2003The interdependence of share markets in the developed economies of East Asia83 cited
  • 2003European Stock Market Integration: Does EMU Matter?82 cited
  • 1996Interdependence of stock markets: evidence from Europe during the 1920s and 1930s80 cited
  • 2003The dynamic interrelationships between the greater China share markets77 cited