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Stock market integration between new EU member states and the Euro-zone
16 references·15 citing·35 second hop
Stock market integration between new EU member states and the Euro-zone (2009)Stock market integration between new EU m…Meta-analysis of the business cycle correlation between the euro area and the CEECs (2006)Meta-analysis of the business…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Dynamic stock market integrat…Comovement in international equity markets: A sectoral view (2005)Comovement in international e…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Volatility and cross correlation across major stock markets (1998)Volatility and cross correlat…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…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Nonlinearities and Chaos: A New Analysis of CEE Stock Markets (2021)Nonlinearities and Chaos: A N…MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY (2021)MODELLING VOLATILITY SPILLOVE…New empirical evidence on CEE's stock markets integration (2020)New empirical evidence on CEE…The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe (2019)The Comovement of Exchange Ra…Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management (2019)Correlation and spillover eff…STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS (2018)STOCK RETURNS, VOLATILITY AND…Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance (2017)Stock market contagion in Cen…Dynamic linkages among developed, emerging and frontier capital markets of Asia-Pacific region (2017)Dynamic linkages among develo…Return and volatility interdependences in up and down markets across developed and emerging countries (2015)Return and volatility interde…An analysis of dependence between Central and Eastern European stock markets (2015)An analysis of dependence bet…Determinants of stock exchange integration: evidence in worldwide perspective (2014)Determinants of stock exchang…Interdependence Between Some Major European Stock Markets - A Wavelet Lead/Lag Analysis (2013)Interdependence Between Some …Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model (2012)Stock Market Comovements in C…Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states (2012)Monetary policy and stock pri…Stock Market Integration between Three CEECs, Russia, and the UK (2011)Stock Market Integration betw…Foreign Speculators and Emerging Equity Markets (2000)‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)Modeling financial contagion using mutually exciting jump processes (2015)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)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)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging equity market volatility (1997)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Does financial liberalization spur growth? (2005)Statistical aspects of ARCH and stochastic volatility (1996)A New Approach to Measuring Financial Contagion (2000)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)
this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2001Long-Term Global Market Correlations783 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited
  • 1998Volatility and cross correlation across major stock markets525 cited
  • 2005Dynamic stock market integration driven by the European Monetary Union: An empirical analysis346 cited
  • 2005Comovement in international equity markets: A sectoral view289 cited

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  • 2006Meta-analysis of the business cycle correlation between the euro area and the CEECs262 cited
  • Cited by

    • 2011Stock Market Integration between Three CEECs, Russia, and the UK76 cited
    • 2013Interdependence Between Some Major European Stock Markets - A Wavelet Lead/Lag Analysis55 cited
    • 2017Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance38 cited
    • 2018STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS37 cited
    • 2015Return and volatility interdependences in up and down markets across developed and emerging countries36 cited
    • 2017Dynamic linkages among developed, emerging and frontier capital markets of Asia-Pacific region34 cited
    • 2019The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe34 cited
    • 2015An analysis of dependence between Central and Eastern European stock markets31 cited
    • 2012Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states28 cited
    • 2021MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY27 cited
    • 2019Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management27 cited
    • 2021Nonlinearities and Chaos: A New Analysis of CEE Stock Markets25 cited
    • 2020New empirical evidence on CEE's stock markets integration25 cited
    • 2012Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model23 cited
    • 2014Determinants of stock exchange integration: evidence in worldwide perspective22 cited