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Common stochastic trends in pacific rim stock markets
15 references·16 citing·20 second hop
Common stochastic trends in pacific rim stock markets (1994)Common stochastic trends in pacific rim s…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Common Persistence in Conditional Variances (1993)Common Persistence in Conditi…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …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…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for Common Trends (1988)Testing for Common TrendsTesting for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The Relationship Between Equity Indices on World Exchanges (1979)The Relationship Between Equi…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…International stock market efficiency: a non-Bayesian time-varying model approach (2014)International stock market ef…Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis (2013)Who moves East Asian stock ma…Stock Market Integration in Asian Countries: evidence from Wavelet multiple correlations (2013)Stock Market Integration in A…Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea (2011)Oil price volatility and stoc…The co-movement of stock markets in East Asia (2009)The co-movement of stock mark…International stock market linkages: Evidence from Latin America (2009)International stock market li…International portfolio diversification to Central European stock markets (2004)International portfolio diver…Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests (2004)Equity market integration in …The interdependence of share markets in the developed economies of East Asia (2003)The interdependence of share …Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period (2002)Propagative causal price tran…Financial integration and the ASEAN-5 equity markets (2002)Financial integration and the…East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis (2002)East Asia and Europe during t…Positive feedback trading in emerging capital markets (2001)Positive feedback trading in …Short-term and long-term price linkages between the equity markets of Australia and its major trading partners (1999)Short-term and long-term pric…A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages (1997)A comparative analysis of the…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)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)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 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
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1988Testing for Common Trends1,894 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1988Testing for Common Trends428 cited
  • 1979The Relationship Between Equity Indices on World Exchanges339 cited

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1993
Common Persistence in Conditional Variances
313 cited

Cited by

  • 2011Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea234 cited
  • 2009The co-movement of stock markets in East Asia156 cited
  • 2015Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5125 cited
  • 2004Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests125 cited
  • 2013Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis119 cited
  • 1997A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages119 cited
  • 2002East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis119 cited
  • 2004International portfolio diversification to Central European stock markets114 cited
  • 1999Short-term and long-term price linkages between the equity markets of Australia and its major trading partners104 cited
  • 2009International stock market linkages: Evidence from Latin America103 cited
  • 2002Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period99 cited
  • 2001Positive feedback trading in emerging capital markets85 cited
  • 2013Stock Market Integration in Asian Countries: evidence from Wavelet multiple correlations84 cited
  • 2003The interdependence of share markets in the developed economies of East Asia83 cited
  • 2002Financial integration and the ASEAN-5 equity markets75 cited
  • 2014International stock market efficiency: a non-Bayesian time-varying model approach65 cited