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Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis
16 references·10 citing·40 second hop
Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis (2003)Modelling International Price Relationshi…Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH (1995)Futures trading, information …Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE (1993)MEAN AND VOLATILITY SPILLOVER…ARCH modeling in finance (1992)ARCH modeling in financeIntraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Volatility in the St…Evolution in dynamic linkages across daily national stock indexes (1991)Evolution in dynamic linkages…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…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…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Time-Variation in Expected Returns (1988)Time-Variation in Expected Re…The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Information transmission across stock indices and stock index futures: International evidence using wavelet framework (2017)Information transmission acro…Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities (2017)Asymmetric Return and Volatil…Dynamic spillovers between Nigerian, South African and international equity markets (2016)Dynamic spillovers between Ni…Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach (2015)Information transmission betw…Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets (2013)Stock market correlations dur…Return performance, Cointegration and short run dynamics of Islamic and non-Islamic indices: evidence from the US and Malaysia during the subprime crisis (2012)Return performance, Cointegra…Stock Exchanges Industry Consolidation and Shock Transmission (2010)Stock Exchanges Industry Cons…Information transmission between Islamic stock indices in South East Asia (2009)Information transmission betw…Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach (2006)Volatility Spillover in Regio…INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS (2005)INTERRELATIONSHIPS AMONG INTE…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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Stock market volatility and the information content of stock index options (1992)Stock prices and the Wall Street weather (1993)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)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)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Competition and Financial Stability (2004)
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References

  • 1992ARCH modeling in finance4,288 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 1988Time-Variation in Expected Returns465 cited
  • 1991Intraday Volatility in the Stock Index and Stock Index Futures Markets440 cited
  • 1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE313 cited
  • 1995Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH

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290 cited
  • 1991Evolution in dynamic linkages across daily national stock indexes286 cited
  • Cited by

    • 2013Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets61 cited
    • 2015Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach59 cited
    • 2017Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities57 cited
    • 2010Stock Exchanges Industry Consolidation and Shock Transmission43 cited
    • 2005INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS34 cited
    • 2006Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach33 cited
    • 2016Dynamic spillovers between Nigerian, South African and international equity markets28 cited
    • 2009Information transmission between Islamic stock indices in South East Asia26 cited
    • 2017Information transmission across stock indices and stock index futures: International evidence using wavelet framework26 cited
    • 2012Return performance, Cointegration and short run dynamics of Islamic and non-Islamic indices: evidence from the US and Malaysia during the subprime crisis20 cited