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Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns
16 references·0 citing·30 second hop
Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns (2012)Causality-in-variance and causality-in-me…A test for volatility spillover with application to exchange rates (2001)A test for volatility spillov…Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Sensitivity of the bank stock…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …Stock prices and bond yields (1992)Stock prices and bond yieldsCausal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models? (1990)Stock Prices and Bond Yields:…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED (1990)INTEREST RATE CHANGES AND COM…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A RE‐EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS (1980)A RE‐EXAMINATION OF INTEREST …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)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)The Pricing of Options and Corporate Liabilities (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Volatility spillover between oil and agricultural commodity markets (2012)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Foreign Speculators and Emerging Equity Markets (2000)Theory of rational option pricing (2005)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)On Stock Market Returns and Monetary Policy (1997)Oil price shocks and stock market activity (1999)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2008)An Intertemporal Capital Asset Pricing Model (1973)Asset returns and inflation (1977)Risk measurement when shares are subject to infrequent trading (1979)Ownership Structure, Deregulation, and Bank Risk Taking (1990)Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking (1997)The Event Study Methodology Since 1969 (1998)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1992ARCH modeling in finance4,343 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 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
  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited
  • 1990Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models?258 cited
  • 1998Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model251 cited
  • 1992Stock prices and bond yields

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211 cited
  • 1990INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED133 cited
  • 1980A RE‐EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS128 cited
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