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Virtual integration of financial markets: a dynamic correlation analysis of the creation of the Latin American Integrated Market
16 references·4 citing·42 second hopsampled
Virtual integration of financial markets: a dynamic correlation analysis of the creation of the Latin American Integrated Market (2015)Virtual integration of financial markets:…International stock market integration: Central and South Eastern Europe compared (2013)International stock market in…U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis (2012)U.S. stock returns and oil pr…Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)Dynamic correlation analysis …Global market integration: An alternative measure and its application☆ (2009)Global market integration: An…East Asian Financial Contagion under DCC-Garch (2009)East Asian Financial Contagio…Time-varying market integration and stock and bond return concordance in emerging markets (2008)Time-varying market integrati…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Characterizing World Market Integration through Time (2007)Characterizing World Market I…Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model (2005)Is the Response of Output to …Evolution of international stock and bond market integration: Influence of the European Monetary Union (2005)Evolution of international st…Index futures and positive feedback trading: evidence from major stock exchanges (2004)Index futures and positive fe…Emerging markets finance (2003)Emerging markets financeStock market linkages: Evidence from Latin America (2002)Stock market linkages: Eviden…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Stochastic Trends in Stock Prices: Evidence from Latin American Markets (1997)Stochastic Trends in Stock Pr…ARCH modeling in finance (1992)ARCH modeling in financeSustainability engagement in Latin America firms and cost of equity (2021)Sustainability engagement in …Impact of earnings management on agency costs: evidence from MILA markets (2021)Impact of earnings management…Is the Virtual Integration of Financial Markets Beneficial in Emerging Markets? Evidence from MILA (2017)Is the Virtual Integration of…Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages (2017)Identifying bubbles in Latin …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)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)Value versus Growth: The International Evidence (1998)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)What Segments Equity Markets? (2011)Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012)How does competition affect bank systemic risk? (2013)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Stock market integration in ASEAN after the Asian financial crisis (2005)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Extreme risk spillovers between crude oil and stock markets (2015)Oil prices and financial stress: A volatility spillover analysis (2015)Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak (2021)A Survey of Corporate Governance (1997)Law and Finance (1998)Corporate Ownership Around the World (1999)Corporate Governance and Expected Stock Returns: Evidence from Germany (2004)Finance and inequality: Channels and evidence (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The stock–bond correlation and macroeconomic conditions: One and a half centuries of evidence (2008)Current Account Imbalances and Financial Integration in the Euro Area (2009)Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis (2014)Measuring and Testing the Impact of News on Volatility (1993)The great reversals: the politics of financial development in the twentieth century (2003)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)The more contagion effect on emerging markets: The evidence of DCC-GARCH model (2012)Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)An empirical analysis of herd behavior in global stock markets (2010)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2003Emerging markets finance755 cited
  • 2009Global market integration: An alternative measure and its application☆621 cited
  • 2007Characterizing World Market Integration through Time531 cited
  • 2002Stock market linkages: Evidence from Latin America421 cited
  • 2011Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets391 cited
  • 2012U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis223 cited
  • 2005Evolution of international stock and bond market integration: Influence of the European Monetary Union213 cited
  • 2005Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model179 cited
  • 2004Index futures and positive feedback trading: evidence from major stock exchanges176 cited
  • 1997Stochastic Trends in Stock Prices: Evidence from Latin American Markets169 cited
  • 2013International stock market integration: Central and South Eastern Europe compared118 cited
  • 2009

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East Asian Financial Contagion under DCC-Garch
113 cited
  • 2008Time-varying market integration and stock and bond return concordance in emerging markets93 cited
  • Cited by

    • 2017Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages37 cited
    • 2021Sustainability engagement in Latin America firms and cost of equity33 cited
    • 2021Impact of earnings management on agency costs: evidence from MILA markets27 cited
    • 2017Is the Virtual Integration of Financial Markets Beneficial in Emerging Markets? Evidence from MILA24 cited