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The Dark Side of Global Integration: Increasing Tail Dependence
16 references·3 citing·44 second hop
The Dark Side of Global Integration: Increasing Tail Dependence (2008)The Dark Side of Global Integration: Incr…A New Measure of Financial Openness (2008)A New Measure of Financial Op…Testing for Cross-Sectional Dependence in Panel-Data Models (2006)Testing for Cross-Sectional D…Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Estimation and Inference in L…Does financial liberalization spur growth? (2005)Does financial liberalization…Trade Costs (2004)Trade CostsCAViaR (2004)CAViaRModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Trying to Explain Home Bias in Equities and Consumption (1999)Trying to Explain Home Bias i…The Endogenity of the Optimum Currency Area Criteria (1998)The Endogenity of the Optimum…The Correlates of Change in International Financial Regulation (1997)The Correlates of Change in I…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…Geography and Trade (1991)Geography and TradeBiases in Dynamic Models with Fixed Effects (1981)Biases in Dynamic Models with…A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates (2017)A Dynamic Analysis of S&P 500…International stock market interdependence: Are developing markets the same as developed markets? (2013)International stock market in…International income risk-sharing and the global financial crisis of 2008–2009 (2013)International income risk-sha…What matters for financial development? Capital controls, institutions, and interactions (2005)Capital flow waves: Surges, stops, flight, and retrenchment (2012)Capital flows, push versus pull factors and the global financial crisis (2012)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Estimating long-run relationships from dynamic heterogeneous panels (1995)Macroeconomic Forecasting Using Diffusion Indexes (2002)General Diagnostic Tests for Cross Section Dependence in Panels (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)Testing slope homogeneity in large panels (2007)General diagnostic tests for cross-sectional dependence in panels (2020)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)The nature and growth of vertical specialization in world trade (2001)Technology, Geography, and Trade (2002)Gravity with Gravitas: A Solution to the Border Puzzle (2003)Distorted Gravity: The Intensive and Extensive Margins of International Trade (2008)Estimating Trade Flows: Trading Partners and Trading Volumes * (2008)New Trade Models, Same Old Gains? (2012)The Origins of Endogenous Growth (1994)An Introduction to Varieties of Capitalism (2001)Clusters and knowledge: local buzz, global pipelines and the process of knowledge creation (2004)Initial conditions and moment restrictions in dynamic panel data models (1995)Initial conditions and moment restrictions in dynamic panel data models (1998)How to do Xtabond2: An Introduction to Difference and System GMM in Stata (2009)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The Institutional Dynamics of International Political Orders (1998)What Makes the World Hang Together? Neo-utilitarianism and the Social Constructivist Challenge (1998)The determinants of cross-border equity flows (2004)
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References

  • 1981Biases in Dynamic Models with Fixed Effects8,724 cited
  • 1991Geography and Trade6,102 cited
  • 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure5,067 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998The Endogenity of the Optimum Currency Area Criteria2,542 cited
  • 2004Trade Costs2,522 cited
  • 2004CAViaR2,210 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2008A New Measure of Financial Openness2,090 cited
  • 2005Does financial liberalization spur growth?2,011 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1997The Correlates of Change in International Financial Regulation1,397 cited
  • 2006Testing for Cross-Sectional Dependence in Panel-Data Models1,382 cited
  • 1999Trying to Explain Home Bias in Equities and Consumption1,364 cited

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Cited by

  • 2013International stock market interdependence: Are developing markets the same as developed markets?34 cited
  • 2013International income risk-sharing and the global financial crisis of 2008–200934 cited
  • 2017A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates29 cited