SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Assessing time-varying stock market integration in Economic and Monetary Union for normal and crisis periods
16 references·8 citing·41 second hop
Assessing time-varying stock market integration in Economic and Monetary Union for normal and crisis periods (2016)Assessing time-varying stock market integ…The pricing of sovereign risk and contagion during the European sovereign debt crisis (2012)The pricing of sovereign risk…EMU and European Stock Market Integration* (2006)EMU and European Stock Market…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Financial market integration in Europe: on the effects of EMU on stock markets (2002)Financial market integration …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Further evidence on breaking trend functions in macroeconomic variables (1997)Further evidence on breaking …Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…A test for independence based on the correlation dimension (1996)A test for independence based…Nonlinear Dynamics, Chaos and Instability Statistical Theory and Economic Evidence. (1993)Nonlinear Dynamics, Chaos and…Financial markets and growth (1993)Financial markets and growthConvergence (1992)ConvergenceEstimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Portfolio Selection (1952)Portfolio SelectionInvestigating the dynamics of crisis transmission channels: A comparative analysis (2023)Investigating the dynamics of…Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis (2021)Euro area stock markets integ…U.S. equity and commodity futures markets: Hedging or financialization? (2020)U.S. equity and commodity fut…The demand for eurozone stocks and bonds in a time-varying asset allocation framework (2019)The demand for eurozone stock…Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices (2019)Information Linkages Among BR…Time varying integration amongst the South Asian equity markets: An empirical study (2018)Time varying integration amon…Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region (2017)Stock Market Integration Dyna…Dynamic Currency Linkages and Their Determinants: An Empirical Study for East Asian Economic Community Region (2017)Dynamic Currency Linkages and…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)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)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)Trends and random walks in macroeconmic time series (1982)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A Mathematical Theory of Saving (1928)A Contribution to the Theory of Economic Growth (1956)Economic Growth in a Cross Section of Countries (1991)The Origins of Endogenous Growth (1994)Africa's Growth Tragedy: Policies and Ethnic Divisions (1997)Endogenous Growth Theory (2018)Extreme Correlation of International Equity Markets (2001)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)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1952Portfolio Selection4,609 cited
  • 1992Convergence4,197 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1993Financial markets and growth1,559 cited
  • 2012The pricing of sovereign risk and contagion during the European sovereign debt crisis567 cited
  • 1993Nonlinear Dynamics, Chaos and Instability Statistical Theory and Economic Evidence.487 cited
  • 2006EMU and European Stock Market Integration*

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

379 cited
  • 2002Financial market integration in Europe: on the effects of EMU on stock markets379 cited
  • Cited by

    • 2020U.S. equity and commodity futures markets: Hedging or financialization?68 cited
    • 2019The demand for eurozone stocks and bonds in a time-varying asset allocation framework27 cited
    • 2019Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices27 cited
    • 2021Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis25 cited
    • 2017Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region24 cited
    • 2023Investigating the dynamics of crisis transmission channels: A comparative analysis23 cited
    • 2018Time varying integration amongst the South Asian equity markets: An empirical study20 cited
    • 2017Dynamic Currency Linkages and Their Determinants: An Empirical Study for East Asian Economic Community Region19 cited