SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The dynamics of Central European equity market comovements
11 references·16 citing·37 second hop
The dynamics of Central European equity market comovements (2006)The dynamics of Central European equity m…Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes (2004)Equity market integration in …Common trends and convergence? South East Asian equity markets, 1988–1999 (2002)Common trends and convergence…The comovements of stock markets in Hungary, Poland and the Czech Republic (2001)The comovements of stock mark…Financial market spillovers in transition economies (2001)Financial market spillovers i…A Time Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies (2001)A Time Varying Parameter Mode…Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…Emerging equity market volatility (1997)Emerging equity market volati…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Recursive Estimation in Cointegrated VAR-Models (1992)Recursive Estimation in Coint…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Financial markets of the LAC region: Does the crisis influence the financial integration? (2019)Financial markets of the LAC …Directional spillover effects between ASEAN and world stock markets (2019)Directional spillover effects…The Impact of Investor Sentiment on Stock Returns in Emerging Markets: The Case of Central European Markets (2015)The Impact of Investor Sentim…Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5 (2015)Dynamic Asian stock market co…Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework (2014)Linkages between emerging and…Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management (2014)Dependence and extreme depend…An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits (2014)An analysis of South-Eastern …International stock market integration: Central and South Eastern Europe compared (2013)International stock market in…Dynamic relationship between precious metals (2013)Dynamic relationship between …Baltic stock markets and the financial crisis of 2008–2009 (2012)Baltic stock markets and the …Stock Market Integration between Three CEECs, Russia, and the UK (2011)Stock Market Integration betw…Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade (2010)Dynamic European stock market…Time‐varying characteristics of cross‐market linkages with empirical application to Gulf stock markets (2009)Time‐varying characteristics …The comovements in international stock markets: new evidence from Latin American emerging countries (2009)The comovements in internatio…Spillover effects from London and Frankfurt to Central and Eastern European stock markets (2009)Spillover effects from London…German, US and Central and Eastern European Stock Market Integration (2009)German, US and Central and Ea…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)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)Testing for a Unit Root in Time Series Regression (1988)Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact? (2005)Interdependence between Eastern and Western European stock markets: Evidence from intraday data (2007)A time-varying copula approach to oil and stock market dependence: The case of transition economies (2013)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach (2007)Stock market comovements in Central Europe: Evidence from the asymmetric DCC model (2013)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)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)Transmission of Volatility between Stock Markets (1990)No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)On crises, contagion, and confusion (2000)What Is International Financial Contagion? (2003)Financial contagion vulnerability and resistance: A comparison of European stock markets (2005)Measuring financial stress in transition economies (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Crude oil and stock markets: Stability, instability, and bubbles (2009)CO2 emissions, energy consumption, income and foreign trade: A South African perspective (2013)The environmental Kuznets curve, economic growth, renewable and non-renewable energy, and trade in Tunisia (2015)Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)CO2 emissions, electricity consumption and output in ASEAN (2010)The contribution of foreign direct investment to clean energy use, carbon emissions and economic growth (2013)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)Equity market integration in emerging Balkan markets (2011)Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis (2013)
this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1992Recursive Estimation in Cointegrated VAR-Models267 cited
  • 2004Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes250 cited
  • 2001The comovements of stock markets in Hungary, Poland and the Czech Republic180 cited
  • 2001Financial market spillovers in transition economies151 cited
  • 2002Common trends and convergence? South East Asian equity markets, 1988–1999137 cited
  • 2001A Time Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies133 cited

Cited by

  • 2015Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5125 cited
  • 2010Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade121 cited
  • 2013International stock market integration: Central and South Eastern Europe compared

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

118 cited
  • 2013Dynamic relationship between precious metals116 cited
  • 2014An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits80 cited
  • 2019Directional spillover effects between ASEAN and world stock markets77 cited
  • 2011Stock Market Integration between Three CEECs, Russia, and the UK76 cited
  • 2014Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management69 cited
  • 2019Financial markets of the LAC region: Does the crisis influence the financial integration?65 cited
  • 2012Baltic stock markets and the financial crisis of 2008–200960 cited
  • 2009The comovements in international stock markets: new evidence from Latin American emerging countries60 cited
  • 2015The Impact of Investor Sentiment on Stock Returns in Emerging Markets: The Case of Central European Markets56 cited
  • 2009Time‐varying characteristics of cross‐market linkages with empirical application to Gulf stock markets50 cited
  • 2009German, US and Central and Eastern European Stock Market Integration50 cited
  • 2014Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework47 cited
  • 2009Spillover effects from London and Frankfurt to Central and Eastern European stock markets44 cited