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Volatility states and international diversification of international stock markets
16 references·0 citing·43 second hop
Volatility states and international diversification of international stock markets (2007)Volatility states and international diver…International portfolio diversification to Central European stock markets (2004)International portfolio diver…An examination of financial integration for the group of seven (G7) industrialized countries using an I() cointegration model (2004)An examination of financial i…Modelling the linkages between US and Latin American stock markets (2003)Modelling the linkages betwee…Volatility and cross correlation across major stock markets (1998)Volatility and cross correlat…Stock market volatility and the business cycle (1996)Stock market volatility and t…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Some evidence on the interdependence of national stock markets and the gains from international portfolio diversification (1993)Some evidence on the interdep…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The International Crash of October 1987 (1988)The International Crash of Oc…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)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)What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Oil prices and the stock prices of alternative energy companies (2007)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Generalized autoregressive conditional heteroskedasticity (1986)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Expected stock returns and volatility (1987)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predictable Stock Returns: The Role of Small Sample Bias (1993)Stock Prices, News, and Business Conditions (1993)Firm Size and Cyclical Variations in Stock Returns (2000)ARCH modeling in finance (1992)The Distribution of Stock Return Volatility (2000)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Volatility Spillover Effects in European Equity Markets (2005)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)Competition and Financial Stability (2004)
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References

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  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
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  • 2003Modelling the linkages between US and Latin American stock markets75 cited
  • 1993Some evidence on the interdependence of national stock markets and the gains from international portfolio diversification

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  • 2004An examination of financial integration for the group of seven (G7) industrialized countries using an I() cointegration model38 cited
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