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Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
16 references·0 citing·37 second hop
Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation (2011)Testing financial contagion on heterosked…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Market Integration and Contagion (2005)Market Integration and Contag…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Expected stock returns and volatility (1987)Expected stock returns and vo…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Trying to Explain Home Bias in Equities and Consumption (1999)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)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)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Downside Risk (2006)Competition and Financial Stability (2004)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
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  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 2005Market Integration and Contagion1,061 cited
  • 2005There is a risk-return trade-off after all1,019 cited

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A New Approach to Measuring Financial Contagion
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