SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modelling evolving long-run relationships: the linkages between stock markets in Asia
16 references·2 citing·26 second hop
Modelling evolving long-run relationships: the linkages between stock markets in Asia (2001)Modelling evolving long-run relationships…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)International stock market li…Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence (1992)Recursive and Sequential Test…Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Nonstationarity and Level Shi…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Cointegration and market efficiency (1992)Cointegration and market effi…Evolution in dynamic linkages across daily national stock indexes (1991)Evolution in dynamic linkages…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A spatial–temporal analysis of East Asian equity market linkages (2014)A spatial–temporal analysis o…China’s Stock Market Integration with a Leading Power and a Close Neighbor (2009)China’s Stock Market Integrat…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)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)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)The Quarterly Journal of Economics (2024)Further evidence on breaking trend functions in macroeconomic variables (1997)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Bounds testing approaches to the analysis of level relationships (2001)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Testing for a unit root in variables with a double change in the mean (1998)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)Competition and Financial Stability (2004)Oil price shocks and stock market activity (1999)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity1,230 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
  • 1992Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence

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

343 cited
  • 1991Evolution in dynamic linkages across daily national stock indexes286 cited
  • 1992Cointegration and market efficiency237 cited
  • Cited by

    • 2014A spatial–temporal analysis of East Asian equity market linkages25 cited
    • 2009China’s Stock Market Integration with a Leading Power and a Close Neighbor24 cited