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Does Shift Contagion Exist Between OECD Stock Markets During The Financial Crisis?
16 references·1 citing·37 second hopsampled
Does Shift Contagion Exist Between OECD Stock Markets During The Financial Crisis? (2013)Does Shift Contagion Exist Between OECD S…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…The portfolio flows of international investors (2001)The portfolio flows of intern…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Contagious Currency Crises (1996)Contagious Currency CrisesTests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Nonstationarity and Level Shi…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Macroeconomics and Reality (1980)Macroeconomics and RealityInternationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe (2014)Global Financial Crisis and S…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)The Behavior of Stock-Market Prices (1965)Measuring and Testing the Impact of News on Volatility (1993)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Testing for the Constancy of Parameters Over Time (1989)Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Econometrics of Financial Markets (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Multivariate GARCH models: a survey (2006)The Econometrics of Financial Markets (2012)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Aggregate Confusion: The Divergence of ESG Ratings (2019)
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References

  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity1,230 cited
  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements999 cited
  • 1996

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Contagious Currency Crises
968 cited
  • 2001The portfolio flows of international investors956 cited
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    • 2014Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe22 cited