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Real estate global beta and spillovers: An international study
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Real estate global beta and spillovers: An international study (2016)Real estate global beta and spillovers: A…The more contagion effect on emerging markets: The evidence of DCC-GARCH model (2012)The more contagion effect on …Exchange return co-movements and volatility spillovers before and after the introduction of euro (2012)Exchange return co-movements …Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Dynamic spillovers between oi…Volatility spillovers between the Chinese and world equity markets (2011)Volatility spillovers between…Financial contagion and the real economy (2011)Financial contagion and the r…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Characterizing World Market Integration through Time (2007)Characterizing World Market I…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Do Real Estate Prices and Sto…Political Risk, Economic Risk, and Financial Risk (1996)Political Risk, Economic Risk…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…The World Price of Covariance Risk (1991)The World Price of Covariance…Integration vs. Segmentation in the Canadian Stock Market (1986)Integration vs. Segmentation …International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…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)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)An Information Based Explanation of the Domestic Bias in International Equity Investment (1993)International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)Common and fundamental factors in stock returns of Canadian oil and gas companies (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time‐Varying World Market Integration (1995)Value versus Growth: The International Evidence (1998)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The cost of capital, corporation finance and the theory of investment (2008)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Risk and Predictability of International Equity Returns (1993)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Measuring and Testing the Impact of News on Volatility (1993)The great reversals: the politics of financial development in the twentieth century (2003)Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)The Cross‐Section of Volatility and Expected Returns (2006)Emerging equity markets and economic development (2001)Global Capital and National Governments (2001)What Segments Equity Markets? (2011)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1996Political Risk, Economic Risk, and Financial Risk619 cited
  • 2007Characterizing World Market Integration through Time531 cited
  • 1986Integration vs. Segmentation in the Canadian Stock Market439 cited
  • 2012Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries347 cited
  • 2011Financial contagion and the real economy334 cited
  • 1999Do Real Estate Prices and Stock Prices Move Together? An International Analysis294 cited
  • 2012The more contagion effect on emerging markets: The evidence of DCC-GARCH model278 cited
  • 2011Volatility spillovers between the Chinese and world equity markets

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262 cited
  • 2012Exchange return co-movements and volatility spillovers before and after the introduction of euro237 cited
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