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Comovements and Contagion in Emergent Markets: Stock Indexes Volatilities
16 references·1 citing·43 second hop
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References

  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 2000Bayesian Dynamic Factor Models and Portfolio Allocation454 cited
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  • 1999Time-Varying Covariances: A Factor Stochastic Volatility Approach97 cited
  • 1981Posterior analysis of the factor model90 cited
  • 1998The relation between conditionally heteroskedastic factor models and factor GARCH models74 cited
  • 1999On the Measurement of the International Propagation of Shocks73 cited
  • 1995Spearman and the origin and development of factor analysis71 cited
  • 1998Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion69 cited
  • 2000Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s66 cited
  • 1995Models and Priors for Multivariate Stochastic Volatility

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36 cited
  • 1998Contagion, Bank Lending Spreads and Output Fluctuations34 cited
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    • 2015Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching29 cited