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VOLATILITY SPILLOVER BETWEEN TOCK AND FOREIGN EXCHANGE MARKETS: INDIAN EVIDENCE
16 references·2 citing·27 second hop
VOLATILITY SPILLOVER BETWEEN TOCK AND FOREIGN EXCHANGE MARKETS: INDIAN EVIDENCE (2007)VOLATILITY SPILLOVER BETWEEN TOCK AND FOR…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model (2003)Dollar exchange rate and stoc…Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence (2000)Volatility Spillovers Between…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models (2019)Time-varying asymmetric volat…Volatility Spillover Between Stock Prices and Exchange Rates: New Evidence Across the Recent Financial Crisis Period (2015)Volatility Spillover Between …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Introductory Econometrics for Finance (2008)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Competition and Financial Stability (2004)
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References

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281 cited
  • 2003Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model274 cited
  • Cited by

    • 2019Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models42 cited
    • 2015Volatility Spillover Between Stock Prices and Exchange Rates: New Evidence Across the Recent Financial Crisis Period28 cited