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Frontier and emerging government bond markets
16 references·0 citing·55 second hopsampled
Frontier and emerging government bond markets (2015)Frontier and emerging government bond mar…Timescale-dependent stock market comovement: BRICs vs. developed markets (2014)Timescale-dependent stock mar…Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets (2011)Macroeconomic fundamentals, p…EMU and European government bond market integration (2009)EMU and European government b…Time-varying market integration and stock and bond return concordance in emerging markets (2008)Time-varying market integrati…Foreign participation in local currency bond markets (2006)Foreign participation in loca…Evolution of international stock and bond market integration: Influence of the European Monetary Union (2005)Evolution of international st…Dynamics of bond market integration between established and accession European Union countries (2005)Dynamics of bond market integ…Downside risk and asset pricing (2005)Downside risk and asset prici…Expected returns, risk and the integration of international bond markets (2003)Expected returns, risk and th…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dating the integration of world equity markets (2002)Dating the integration of wor…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Testing for mean-variance spanning: a survey (2001)Testing for mean-variance spa…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Mean-Variance Spanning (1987)Mean-Variance SpanningMultivariate GARCH models: a surveyMultivariate GARCH models: a …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)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)Business conditions and expected returns on stocks and bonds (1989)Measuring and Testing the Impact of News on Volatility (1993)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? 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(2005)Stock prices and exchange rate dynamics (2005)Characterizing World Market Integration through Time (2007)Has the US Finance Industry Become Less Efficient? On the Theory and Measurement of Financial Intermediation (2015)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1987Mean-Variance Spanning590 cited
  • 2002Dating the integration of world equity markets561 cited
  • 2006Foreign participation in local currency bond markets225 cited
  • 2005Evolution of international stock and bond market integration: Influence of the European Monetary Union213 cited
  • 2001Testing for mean-variance spanning: a survey167 cited
  • 2003Expected returns, risk and the integration of international bond markets155 cited
  • 2009EMU and European government bond market integration135 cited
  • 2005Downside risk and asset pricing118 cited
  • 2008Time-varying market integration and stock and bond return concordance in emerging markets93 cited
  • 2014Timescale-dependent stock market comovement: BRICs vs. developed markets90 cited
  • 2005Dynamics of bond market integration between established and accession European Union countries84 cited

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  • 2011Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets79 cited
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