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Volatility Spillovers Across the Tasman
16 references·7 citing·32 second hop
Volatility Spillovers Across the Tasman (1996)Volatility Spillovers Across the TasmanDo Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…No news is good news (1992)No news is good newsARCH modeling in finance (1992)ARCH modeling in financeTransmission of Volatility between Stock Markets (1990)Transmission of Volatility be…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Alternative models for conditional stock volatility (1990)Alternative models for condit…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Studies of stock market volatility changes (1976)Studies of stock market volat…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach (2021)Stock Market Linkages between…Volatility transmission among Latin American stock markets under structural breaks (2016)Volatility transmission among…Stock Market Linkages in Emerging Asia-Pacific Markets (2013)Stock Market Linkages in Emer…Testing Weak form Efficiency in the Indian Capital Market (2011)Testing Weak form Efficiency …Modelling Australian stock market volatility (2011)Modelling Australian stock ma…The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets (2002)The influence of foreign stoc…Identifying the Source of Mean and Volatility Spillovers in Irish Equities: A Multivariate GARCH Analysis* (1998)Identifying the Source of Mea…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)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Competition and Financial Stability (2004)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1992No news is good news1,929 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

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840 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • Cited by

    • 2021Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach40 cited
    • 2013Stock Market Linkages in Emerging Asia-Pacific Markets38 cited
    • 1998Identifying the Source of Mean and Volatility Spillovers in Irish Equities: A Multivariate GARCH Analysis*36 cited
    • 2002The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets34 cited
    • 2016Volatility transmission among Latin American stock markets under structural breaks31 cited
    • 2011Modelling Australian stock market volatility31 cited
    • 2011Testing Weak form Efficiency in the Indian Capital Market27 cited