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Correlation in price changes and volatility of major Latin American stock markets
16 references·16 citing·30 second hopsampled
Correlation in price changes and volatility of major Latin American stock markets (1999)Correlation in price changes and volatili…Emerging equity market volatility (1997)Emerging equity market volati…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Studies of stock market volatility changes (1976)Studies of stock market volat…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…International Diversification of Investment Portfolios (1970)International Diversification…Understanding international stock market comovements: A comparison of developed and emerging markets (2017)Understanding international s…Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis (2016)Volatility transmission betwe…An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries (2016)An investigation of return an…An investigation of price discovery and volatility spillovers in India’s foreign exchange market (2015)An investigation of price dis…Global and regional volatility spillovers to GCC stock markets (2014)Global and regional volatilit…Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries (2013)Directional spillovers from t…Return and volatility spillovers among CIVETS stock markets (2012)Return and volatility spillov…Literature review of stock market integration: a global perspective (2012)Literature review of stock ma…The comovements in international stock markets: new evidence from Latin American emerging countries (2009)The comovements in internatio…A factor analysis of international portfolio diversification (2008)A factor analysis of internat…Interdependence of international equity variances: Evidence from East Asian markets (2007)Interdependence of internatio…Stock Return Volatility and Market Crisis In Emerging Economies (2004)Stock Return Volatility and M…Interdependence and dynamic linkages between the emerging stock markets of South Asia (2004)Interdependence and dynamic l…Equity market integration in Latin America: A time-varying integration score analysis (2004)Equity market integration in …Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises (2003)Price Linkages in Asian Equit…Red chips or H shares: which China-backed securities process information the fastest? (2000)Red chips or H shares: which …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Multivariate GARCH models: a surveyOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)International Asset Allocation With Regime Shifts (2002)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Stock return variances (1986)Mean reversion in stock prices (1988)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)Does financial liberalization spur growth? (2005)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Competition and Financial Stability (2004)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1976

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Studies of stock market volatility changes
885 cited

Cited by

  • 2004Interdependence and dynamic linkages between the emerging stock markets of South Asia114 cited
  • 2014Global and regional volatility spillovers to GCC stock markets85 cited
  • 2007Interdependence of international equity variances: Evidence from East Asian markets77 cited
  • 2012Return and volatility spillovers among CIVETS stock markets76 cited
  • 2016Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis69 cited
  • 2004Equity market integration in Latin America: A time-varying integration score analysis62 cited
  • 2009The comovements in international stock markets: new evidence from Latin American emerging countries60 cited
  • 2012Literature review of stock market integration: a global perspective55 cited
  • 2015An investigation of price discovery and volatility spillovers in India’s foreign exchange market53 cited
  • 2013Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries46 cited
  • 2017Understanding international stock market comovements: A comparison of developed and emerging markets46 cited
  • 2000Red chips or H shares: which China-backed securities process information the fastest?46 cited
  • 2008A factor analysis of international portfolio diversification41 cited
  • 2016An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries39 cited
  • 2003Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises39 cited
  • 2004Stock Return Volatility and Market Crisis In Emerging Economies37 cited