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Stock Market Interdependence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners
16 references·2 citing·38 second hop
Stock Market Interdependence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners (2006)Stock Market Interdependence and Trade Re…Economic determinants of emerging stock market interdependence (2002)Economic determinants of emer…A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis (2000)A study of cointegration and …Unit Roots, Cointegration, and Structural Change (1999)Unit Roots, Cointegration, an…Economic determinants of evolution in international stock market integration (1999)Economic determinants of evol…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …An empirical examination of linkages between Pacific-Basin stock markets (1998)An empirical examination of l…Generalised Impulse Response Analysis in Linear Multivariate Models (1997)Generalised Impulse Response …Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? (1991)Testing the Null Hypothesis o…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…International Transmission of Stock Market Movements (1989)International Transmission of…International Stock Price Movements: Links and Messages (1989)International Stock Price Mov…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Macroeconomics and Reality (1980)Macroeconomics and RealityDynamic interdependence between US and Asian markets: an empirical study (2013)Dynamic interdependence betwe…Episodic nonlinearity in Latin American stock market indices (2006)Episodic nonlinearity in Lati…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International comovement of stock market returns: A wavelet analysis (2009)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Trends and random walks in macroeconmic time series (1982)Time Series Regression with a Unit Root (1987)Long memory processes and fractional integration in econometrics (1996)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)International Technology Diffusion (2004)Energy consumption, income, and carbon emissions in the United States (2006)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1999Unit Roots, Cointegration, and Structural Change1,842 cited
  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1997Generalised Impulse Response Analysis in Linear Multivariate Models412 cited
  • 1989International Stock Price Movements: Links and Messages246 cited
  • 1998An empirical examination of linkages between Pacific-Basin stock markets236 cited
  • 1999Economic determinants of evolution in international stock market integration223 cited

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  • 2002Economic determinants of emerging stock market interdependence213 cited
  • 2000A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis179 cited
  • Cited by

    • 2006Episodic nonlinearity in Latin American stock market indices60 cited
    • 2013Dynamic interdependence between US and Asian markets: an empirical study21 cited