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Volatility spillover in the foreign exchange market: the Indian experience
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Volatility spillover in the foreign exchange market: the Indian experience (2013)Volatility spillover in the foreign excha…Review of World Economics (2013)Review of World EconomicsVolatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence (2000)Volatility Spillovers Between…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Price discovery and volatilit…Volatility spillovers across equity markets: European evidence (1998)Volatility spillovers across …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH (1995)Futures trading, information …Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Multivariate GARCH models: a surveyMultivariate GARCH models: a …The Pricing of Options and Corporate Liabilities (1973)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Stock return variances (1986)Why Does Stock Market Volatility Change Over Time? (1989)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Expected stock returns and volatility (1987)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Theory of rational option pricing (2005)Modeling and Forecasting Realized Volatility (2003)Econometric Analysis of Cross Section and Panel Data (2001)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
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References

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  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
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  • 1995Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH290 cited
  • 1999Price discovery and volatility spillovers in the DJIA index and futures markets284 cited
  • 2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence

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281 cited
  • 1998Volatility spillovers across equity markets: European evidence181 cited
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