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Intraday return and volatility spillover mechanism from Chinese to Japanese stock market
16 references·2 citing·26 second hop
Intraday return and volatility spillover mechanism from Chinese to Japanese stock market (2014)Intraday return and volatility spillover …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…A monthly effect in stock returns (1987)A monthly effect in stock ret…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On the bias in flexible functional forms and an essentially unbiased form (1981)On the bias in flexible funct…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…Systemic importance analysis of chinese financial institutions based on volatility spillover network (2018)Systemic importance analysis …A return spillover network perspective analysis of Chinese financial institutions’ systemic importance (2018)A return spillover network pe…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Econometric Analysis of Cross Section and Panel Data (2001)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Exponential smoothing: The state of the art (1985)Using daily stock returns (1985)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1977Time Series Analysis: Forecasting and Control6,446 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
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  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1981On the bias in flexible functional forms and an essentially unbiased form977 cited

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1994
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
874 cited
  • 1987A monthly effect in stock returns720 cited
  • Cited by

    • 2018Systemic importance analysis of chinese financial institutions based on volatility spillover network27 cited
    • 2018A return spillover network perspective analysis of Chinese financial institutions’ systemic importance26 cited