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Asymmetric volatility spillover in the Tokyo stock exchange
16 references·14 citing·49 second hop
Asymmetric volatility spillover in the Tokyo stock exchange (2001)Asymmetric volatility spillover in the To…International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets (1998)International transmission of…Price and volatility spillovers in Scandinavian stock markets (1997)Price and volatility spillove…Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets (1997)Mean and Volatility Spillover…CO‐MOVEMENTS IN INTERNATIONAL EQUITY MARKETS (1997)CO‐MOVEMENTS IN INTERNATIONAL…MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS (1996)MODELING THE DYNAMIC INTERDEP…Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns (1996)Delayed Reaction to Good News…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Alternative Models for the Conditional Heteroscedasticity of Stock Returns (1994)Alternative Models for the Co…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIAsymmetric Predictability of Conditional Variances (1991)Asymmetric Predictability of …When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Seasonal and Size Anomalies in the Japanese Stock Market (1985)Seasonal and Size Anomalies i…Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models (2019)Time-varying asymmetric volat…Asymmetry Effects in Volatility on the Major European Stock Markets: the EGARCH Based Approach (2017)Asymmetry Effects in Volatili…Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries (2017)Asymmetric exchange rate expo…Exogenous Shocks and Information Transmission in Global Copper Futures Markets (2013)Exogenous Shocks and Informat…Modelling Australian stock market volatility (2011)Modelling Australian stock ma…FINANCIAL CRISES AND INTERNATIONAL STOCK MARKET VOLATILITY TRANSMISSION (2010)FINANCIAL CRISES AND INTERNAT…Oil Prices and Equity Returns in the BRIC Countries (2009)Oil Prices and Equity Returns…Modelling Australian stock market volatility: a multivariate GARCH approach (2009)Modelling Australian stock ma…Information transmission between Islamic stock indices in South East Asia (2009)Information transmission betw…The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM (2008)The dynamic relationships bet…Valuing volatility spillovers (2006)Valuing volatility spilloversInformation transmission between the Gulf equity markets of Saudi Arabia and Bahrain (2005)Information transmission betw…Cross‐market dynamics in property stock markets (2005)Cross‐market dynamics in prop…Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets (2003)Price Volatility Spillover in…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Business conditions and expected returns on stocks and bonds (1989)The Cross-Section of Expected Stock Returns (1992)Herding behaviour in the Chinese and Indian stock markets (2011)A cross-country analysis of herd behavior in Europe (2014)Glued to the TV: Distracted Noise Traders and Stock Market Liquidity (2019)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)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)The Euro and European financial market dependence (2007)How does oil price volatility affect non-energy commodity markets? (2011)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? 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References

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  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
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  • 1985Seasonal and Size Anomalies in the Japanese Stock Market256 cited
  • 1997Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets205 cited
  • 1991Asymmetric Predictability of Conditional Variances197 cited
  • 1996MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS195 cited
  • 1994Alternative Models for the Conditional Heteroscedasticity of Stock Returns194 cited
  • 1997CO‐MOVEMENTS IN INTERNATIONAL EQUITY MARKETS

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67 cited
  • 1998International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets60 cited
  • Cited by

    • 2003Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets85 cited
    • 2009Oil Prices and Equity Returns in the BRIC Countries82 cited
    • 2010FINANCIAL CRISES AND INTERNATIONAL STOCK MARKET VOLATILITY TRANSMISSION49 cited
    • 2019Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models42 cited
    • 2006Valuing volatility spillovers42 cited
    • 2005Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain35 cited
    • 2017Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries31 cited
    • 2011Modelling Australian stock market volatility31 cited
    • 2005Cross‐market dynamics in property stock markets27 cited
    • 2009Information transmission between Islamic stock indices in South East Asia26 cited
    • 2013Exogenous Shocks and Information Transmission in Global Copper Futures Markets25 cited
    • 2008The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM24 cited
    • 2017Asymmetry Effects in Volatility on the Major European Stock Markets: the EGARCH Based Approach19 cited
    • 2009Modelling Australian stock market volatility: a multivariate GARCH approach19 cited