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Causality in volatility and volatility spillover effects between US, Japan and four equity markets in the South China Growth Triangular
11 references·13 citing·33 second hop
Causality in volatility and volatility spillover effects between US, Japan and four equity markets in the South China Growth Triangular (1997)Causality in volatility and volatility sp…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …Volatility and price change spillover effects across the developed and emerging markets (1995)Volatility and price change s…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …Assessing the contribution of China’s financial sectors to systemic risk (2020)Assessing the contribution of…STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS (2018)STOCK RETURNS, VOLATILITY AND…China–Africa financial markets linkages: Volatility and interdependence (2018)China–Africa financial market…Volatility spillover between the US, Chinese and Australian stock markets (2017)Volatility spillover between …Examining volatility spillover between Asian countries’ stock markets (2016)Examining volatility spillove…Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach (2013)Internal and external spillov…Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach (2012)Asymmetry effects of shocks i…Volatility Spillovers between Chinese and World Equity Markets (2011)Volatility Spillovers between…Is the Chinese stock market really inefficient? (2011)Is the Chinese stock market r…Stock return seasonalities and investor structure: Evidence from China's B-share markets (2010)Stock return seasonalities an…Stock Return Volatility and Market Crisis In Emerging Economies (2004)Stock Return Volatility and M…Information flows within and across sectors in Chinese stock markets (2003)Information flows within and …An analysis of industry and country effects in global stock returns: evidence from Asian countries and the U.S. (2003)An analysis of industry and c…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)A test for volatility spillover with application to exchange rates (2001)Volatility spillover between oil and agricultural commodity markets (2012)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)The variation of certain speculative prices (1997)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Chapter 49 Arch models (1994)Idiosyncratic Risk Matters! (2003)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)The econometrics of financial markets (1996)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 1995Volatility and price change spillover effects across the developed and emerging markets118 cited

Cited by

  • 2011Is the Chinese stock market really inefficient?61 cited
  • 2013Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach51 cited
  • 2003Information flows within and across sectors in Chinese stock markets50 cited

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

  • 2020Assessing the contribution of China’s financial sectors to systemic risk46 cited
  • 2016Examining volatility spillover between Asian countries’ stock markets41 cited
  • 2003An analysis of industry and country effects in global stock returns: evidence from Asian countries and the U.S.38 cited
  • 2011Volatility Spillovers between Chinese and World Equity Markets38 cited
  • 2018STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS37 cited
  • 2004Stock Return Volatility and Market Crisis In Emerging Economies37 cited
  • 2018China–Africa financial markets linkages: Volatility and interdependence30 cited
  • 2010Stock return seasonalities and investor structure: Evidence from China's B-share markets28 cited
  • 2017Volatility spillover between the US, Chinese and Australian stock markets26 cited
  • 2012Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach25 cited