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U.S. and Latin American stock market linkages
16 references·15 citing·27 second hopsampled
U.S. and Latin American stock market linkages (2011)U.S. and Latin American stock market link…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…No news is good news (1992)No news is good newsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…International Transmission of Stock Market Movements (1989)International Transmission of…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Impact of Environmental, Social and Governance ( ESG) disclosure on firm risk: A meta‐analytical review (2024)Impact of Environmental, Soci…Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis (2018)Quantile dependence between d…BİST-100 VE BİST SEKTÖR ENDEKSLERİ İLE VIX ENDEKSİ ARASINDAKİ İLİŞKİSİNİN ANALİZİ (2018)BİST-100 VE BİST SEKTÖR ENDEK…Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis (2017)Spillovers from the United St…Return spillovers around the globe: A network approach (2017)Return spillovers around the …Implied volatility linkages between the U.S. and emerging equity markets: A note (2017)Implied volatility linkages b…A global network topology of stock markets: Transmitters and receivers of spillover effects (2017)A global network topology of …Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis (2016)Volatility transmission betwe…Volatility transmission among Latin American stock markets under structural breaks (2016)Volatility transmission among…Global portfolio investment network and stock market comovement (2016)Global portfolio investment n…Do oil producing countries offer international diversification benefits? Evidence from GCC countries (2016)Do oil producing countries of…Volatility and dynamic conditional correlations of worldwide emerging and frontier markets (2014)Volatility and dynamic condit…Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis (2014)Dynamic transmissions between…Dynamic stock–bond return correlations and financial market uncertainty (2014)Dynamic stock–bond return cor…Dependence structure among international stock markets: a GARCH–copula analysis (2013)Dependence structure among in…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)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)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)On the Impossibility of Informationally Efficient Markets (1980)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)The Cross‐Section of Volatility and Expected Returns (2006)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1992No news is good news1,929 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets

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1,471 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • Cited by

    • 2024Impact of Environmental, Social and Governance ( ESG) disclosure on firm risk: A meta‐analytical review85 cited
    • 2014Dynamic stock–bond return correlations and financial market uncertainty79 cited
    • 2014Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis70 cited
    • 2016Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis69 cited
    • 2017A global network topology of stock markets: Transmitters and receivers of spillover effects68 cited
    • 2017Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis55 cited
    • 2014Volatility and dynamic conditional correlations of worldwide emerging and frontier markets49 cited
    • 2017Return spillovers around the globe: A network approach46 cited
    • 2016Global portfolio investment network and stock market comovement45 cited
    • 2018Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis38 cited
    • 2018BİST-100 VE BİST SEKTÖR ENDEKSLERİ İLE VIX ENDEKSİ ARASINDAKİ İLİŞKİSİNİN ANALİZİ32 cited
    • 2013Dependence structure among international stock markets: a GARCH–copula analysis31 cited
    • 2016Volatility transmission among Latin American stock markets under structural breaks31 cited
    • 2016Do oil producing countries offer international diversification benefits? Evidence from GCC countries28 cited
    • 2017Implied volatility linkages between the U.S. and emerging equity markets: A note28 cited