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A common factor analysis for the US and the German stock markets during overlapping trading hours
16 references·1 citing·28 second hop
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,276 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,970 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,675 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 cited
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  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,393 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1996Cointegration and speed of convergence to equilibrium

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526 cited
  • 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation475 cited
  • 1988Testing for Common Trends428 cited
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    • 2014Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market20 cited