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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets · Study

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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

John Beirne, Guglielmo Maria Caporale, Marianne Schulze‐Ghattas, Nicola Spagnolo

2009-01-01preprintSSRN Electronic Journal136 citationsgreen

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 136 citations exist upstream.

References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements

1995Multivariate Simultaneous Generalized ARCH

1993Measuring and Testing the Impact of News on Volatility

1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1995Time‐Varying World Market Integration

1990Correlations in Price Changes and Volatility across International Stock Markets

2000Foreign Speculators and Emerging Equity Markets

1995Is the correlation in international equity returns constant: 1960–1990?

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2009Female Labor Supply and Parental Leave Benefits: The Causal Effect of Paying Higher Transfers for a Shorter Period of Time

2009Financial Spillovers to Emerging Markets During the Global Financial Crisis

2009Financial Spillovers to Emerging Markets During the Global Financial Crisis

2009International Trade Integration: A Disaggregated Approach

Details

Year2009

Typepreprint

VenueSSRN Electronic Journal

Languageen

Files0 public / 0

Identifiers

doi10.2139/ssrn.1340401

openalex_workW2157992186

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