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The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price
16 references·5 citing·33 second hop
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(2006)International Differences in …The saving and investment nexus for China: evidence from cointegration tests (2005)The saving and investment nex…Electricity consumption, employment and real income in Australia evidence from multivariate Granger causality tests (2003)Electricity consumption, empl…The use of the ARDL approach in estimating virtual exchange rates in India (2001)The use of the ARDL approach …Privatization, political risk and stock market development in emerging economies (2001)Privatization, political risk…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Expected Returns and Volatility in 135 Countries (1996)Expected Returns and Volatili…Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of So…Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of So…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…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…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…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A cross-country and country-specific modelling of stock market performance, bank development and global equity index in emerging market economies: A case of BRICS countries (2020)A cross-country and country-s…Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices (2019)Information Linkages Among BR…Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look (2019)Analysing systemic risk and t…Which information matters to market risk spreading in Brazil? 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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2001Bounds testing approaches to the analysis of level relationships20,339 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2005The saving and investment nexus for China: evidence from cointegration tests3,530 cited
  • 2006International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?1,369 cited
  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 1996Determinants and Impact of Sovereign Credit Ratings652 cited
  • 2003Electricity consumption, employment and real income in Australia evidence from multivariate Granger causality tests613 cited
  • 1996Determinants and Impact of Sovereign Credit Ratings460 cited
  • 1996Expected Returns and Volatility in 135 Countries346 cited
  • 2001Privatization, political risk and stock market development in emerging economies336 cited

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  • 2001The use of the ARDL approach in estimating virtual exchange rates in India335 cited
  • 2008Financial depth, savings and economic growth in Kenya: A dynamic causal linkage319 cited
  • Cited by

    • 2015Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models76 cited
    • 2019Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look65 cited
    • 2019Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices27 cited
    • 2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas21 cited
    • 2020A cross-country and country-specific modelling of stock market performance, bank development and global equity index in emerging market economies: A case of BRICS countries13 cited