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Spillovers of stock return volatility to Asian equity markets from Japan and the US

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1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
1997Emerging equity market volatility1,703 cited
1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
1995The World Price of Foreign Exchange Risk765 cited
2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
1998How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1506 cited
1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
1995Good News, Bad News, Volatility, and Betas406 cited

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