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The Impact of the Euro on Financial Markets
16 references·5 citing·28 second hop
The Impact of the Euro on Financial Markets (2006)The Impact of the Euro on Financial Marke…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Bond Yields and the Federal Reserve (2005)Bond Yields and the Federal R…CAViaR (2004)CAViaRA no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Endogenous OCA Analysis and the Early Euro Experience (2010)Endogenous OCA Analysis and t…The Euro and Cross-Border Banking: Evidence from Bilateral Data (2007)The Euro and Cross-Border Ban…Financial Integration, GDP Correlation and the Endogeneity of Optimum Currency Areas (2007)Financial Integration, GDP Co…What Effects is Emu Having on the Euro Area and its Member Countries? An Overview (2006)What Effects is Emu Having on…Financial Integration, GDP Correlation and the Endogeneity of Optimum Currency Areas (2005)Financial Integration, GDP Co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)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)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)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)The Cross‐Section of Volatility and Expected Returns (2006)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)
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References

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  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
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  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2004CAViaR2,210 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements

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968 cited
  • 2005Bond Yields and the Federal Reserve557 cited
  • Cited by

    • 2007Financial Integration, GDP Correlation and the Endogeneity of Optimum Currency Areas44 cited
    • 2005Financial Integration, GDP Correlation and the Endogeneity of Optimum Currency Areas44 cited
    • 2010Endogenous OCA Analysis and the Early Euro Experience43 cited
    • 2007The Euro and Cross-Border Banking: Evidence from Bilateral Data40 cited
    • 2006What Effects is Emu Having on the Euro Area and its Member Countries? An Overview37 cited