SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Volatility spillover effects from Japan and the US to the Pacific–Basin
16 references·16 citing·16 second hopsampled
Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects from Japan a…Emerging equity market volatility (1997)Emerging equity market volati…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…ARCH modeling in finance (1992)ARCH modeling in financeHeteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Pandemic-Related Financial Ma…Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets (2014)Modelling Volatility Spillove…Volatility spillovers between the Chinese and world equity markets (2011)Volatility spillovers between…Volatility‐Spillover Effects in European Bond Markets (2007)Volatility‐Spillover Effects …Transmission of Information across International Equity Markets (2006)Transmission of Information a…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …Market Integration and Contagion (2005)Market Integration and Contag…Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes (2004)Equity market integration in …Stock market integration and financial crises: the case of Asia (2003)Stock market integration and …Emerging markets finance (2003)Emerging markets financeChapter 16 Are financial assets priced locally or globally? (2003)Chapter 16 Are financial asse…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…Financial market integration in Europe: on the effects of EMU on stock markets (2002)Financial market integration …Are Financial Assets Priced Locally or Globally? (2002)Are Financial Assets Priced L…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…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)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Introductory Econometrics for Finance (2008)Time Series Regression with a Unit Root (1987)Testing for cointegration using principal components methods (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Modeling and Forecasting Realized Volatility (2003)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop· second hop is a sample of the most-cited connections

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
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,343 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,841 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1995Time-Varying World Market Integration2,307 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Is the correlation in international equity returns constant: 1960–1990?
1,805 cited
  • 1997Emerging equity market volatility1,743 cited
  • Cited by

    • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
    • 2005Market Integration and Contagion1,095 cited
    • 2003A New Approach to Measuring Financial Contagion1,047 cited
    • 2003Emerging markets finance768 cited
    • 2000A New Approach to Measuring Financial Contagion734 cited
    • 2005Volatility Spillover Effects in European Equity Markets665 cited
    • 2002Are Financial Assets Priced Locally or Globally?548 cited
    • 2002Financial market integration in Europe: on the effects of EMU on stock markets423 cited
    • 2003Chapter 16 Are financial assets priced locally or globally?321 cited
    • 2003Stock market integration and financial crises: the case of Asia307 cited
    • 2014Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets283 cited
    • 2011Volatility spillovers between the Chinese and world equity markets274 cited
    • 2004Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes250 cited
    • 2020Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre248 cited
    • 2007Volatility‐Spillover Effects in European Bond Markets225 cited
    • 2006Transmission of Information across International Equity Markets220 cited