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Interaction between stock indices via changepoint analysis
15 references·0 citing·45 second hop
Interaction between stock indices via changepoint analysis (2006)Interaction between stock indices via cha…Strong rules for detecting the number of breaks in a time series (2003)Strong rules for detecting th…Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes (2002)Numerical Techniques for Maxi…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Long memory and regime switching (2001)Long memory and regime switch…Quickest detection of abrupt changes for a class of random processes (1998)Quickest detection of abrupt …Common Predictable Components in Regional Stock Markets (1997)Common Predictable Components…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…On effects of discretization on estimators of drift parameters for diffusion processes (1996)On effects of discretization …Testing for Common Features (1993)Testing for Common FeaturesTransmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Testing For Common Features (1990)Testing For Common FeaturesTransmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Detection of abrupt changes in signals and dynamical systems (1987)Detection of abrupt changes i…Detection of Abrupt Changes in Signals and Dynamical Systems (1985)Detection of Abrupt Changes i…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)A PANIC Attack on Unit Roots and Cointegration (2004)A Theory of the Term Structure of Interest Rates (1985)Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)Maximum Likelihood Estimation of Latent Affine Processes (2006)Brownian Motion and Stochastic Calculus (2007)Numerical solution of stochastic differential equations (2016)The Pricing of Options and Corporate Liabilities (1973)Alternative models for stock price dynamics (2003)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)Modeling financial contagion using mutually exciting jump processes (2015)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International comovement of stock market returns: A wavelet analysis (2009)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Chapter 8 Growth Econometrics (2005)Volatility Is Rough (2018)Competition and Financial Stability (2004)Moral hazard, asset price bubbles, capital flows, and the East Asian crisis: (1999)Periodic Time Series Models (2004)Breaks and persistency: macroeconomic causes of stock market volatility (2005)Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series (1993)Performance of CUSUM Control Schemes for Serially Correlated Observations (1993)Chapter 46 Unit roots, structural breaks and trends (1994)
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References

  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2001Long memory and regime switching1,162 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1990Testing For Common Features470 cited
  • 2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes381 cited
  • 1985Detection of Abrupt Changes in Signals and Dynamical Systems332 cited
  • 1993Testing for Common Features227 cited
  • 2003Strong rules for detecting the number of breaks in a time series117 cited
  • 1987Detection of abrupt changes in signals and dynamical systems69 cited
  • 1998Quickest detection of abrupt changes for a class of random processes51 cited
  • 1996On effects of discretization on estimators of drift parameters for diffusion processes51 cited
  • 1997Common Predictable Components in Regional Stock Markets29 cited

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