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Volatility transmission among Latin American stock markets under structural breaks
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Volatility transmission among Latin American stock markets under structural breaks (2016)Volatility transmission among Latin Ameri…U.S. and Latin American stock market linkages (2011)U.S. and Latin American stock…International stock market linkages: Evidence from Latin America (2009)International stock market li…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…A Lagrange multiplier test for causality in variance (2006)A Lagrange multiplier test fo…Neglecting parameter changes in GARCH models (2005)Neglecting parameter changes …Testing for changes in the unconditional variance of financial time series. (2004)Testing for changes in the un…Testing for Changes in the Unconditional Variance of Financial Time Series (2003)Testing for Changes in the Un…Critical values for multiple structural change tests (2003)Critical values for multiple …Stock market linkages: Evidence from Latin America (2002)Stock market linkages: Eviden…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A test for volatility spillover with application to exchange rates (2001)A test for volatility spillov…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Correlation in price changes and volatility of major Latin American stock markets (1999)Correlation in price changes …Stochastic Trends in Stock Prices: Evidence from Latin American Markets (1997)Stochastic Trends in Stock Pr…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Generalized autoregressive conditional heteroskedasticity (1986)Volatility spillover between oil and agricultural commodity markets (2012)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Stock market integration in ASEAN after the Asian financial crisis (2005)Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A long memory property of stock market returns and a new model (1993)Modelling structural breaks, long memory and stock market volatility: an overview (2004)Structural breaks and GARCH models of exchange rate volatility (2008)Volatility transmission between gold and oil futures under structural breaks (2012)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Dealing with Structural Breaks (2005)Inequality and Unsustainable Growth: Two Sides of the Same Coin? (2017)Econometric Analysis of Cross Section and Panel Data (2001)Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Commodity volatility breaks (2012)Does financial development influence renewable energy consumption to achieve carbon neutrality in the USA? (2021)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
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  • 2005Neglecting parameter changes in GARCH models321 cited
  • 2003Testing for Changes in the Unconditional Variance of Financial Time Series219 cited
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  • 1997Stochastic Trends in Stock Prices: Evidence from Latin American Markets169 cited
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  • 2011U.S. and Latin American stock market linkages113 cited
  • 2009International stock market linkages: Evidence from Latin America

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103 cited
  • 2004Testing for changes in the unconditional variance of financial time series.85 cited
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