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Inter-regional and region-specific transmission of international stock market returns: The role of foreign information
16 references·0 citing·36 second hop
Inter-regional and region-specific transmission of international stock market returns: The role of foreign information (2008)Inter-regional and region-specific transm…Market Integration and Contagion (2005)Market Integration and Contag…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Emerging equity market volatility (1997)Emerging equity market volati…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…ARCH modeling in finance (1992)ARCH modeling in financeTransmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Alternative models for conditional stock volatility (1990)Alternative models for condit…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…International Transmission of Stock Market Movements (1989)International Transmission of…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Stock return variances (1986)Mean reversion in stock prices (1988)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Forecasting Volatility in Financial Markets: A Review (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)On the Impossibility of Informationally Efficient Markets (1980)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Does financial liberalization spur growth? (2005)Competition and Financial Stability (2004)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)
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 2005Market Integration and Contagion1,061 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

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723 cited
  • 1990Stock Market Structure and Volatility544 cited
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