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Which market integration measure? · Study

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ArticleWhich market integration measure?

Monica Billio2016

Article2016

Which market integration measure?

Monica Billio · Michael Donadelli · Antonio Paradiso · Max Riedel

94 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Global Financial Crisis and Policies

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References

2002Dynamic Conditional Correlation 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2001Extreme Correlation of International Equity Markets 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 1995Is the correlation in international equity returns constant: 1960–1990?1971Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series

Cited by

2022Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle 2021Capital flows at risk: Taming the ebbs and flows 2019Modelling volatility spillovers from the US equity market to ASEAN stock markets 2020Does Regulatory Cooperation Help Integrate Equity Markets?2018Financial liberalization and cross-border market integration: Evidence from China's stock market

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Details

Year2016

Typearticle

Published2016-12-07

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations94

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2016.12.002

openalex_workW2559923082

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2020Financial fragmentation and SMEs’ access to finance

2022Financial Integration in the EU28 Equity Market: measures and drivers

2023The importance of ABS 2 journals in finance scholarship: Evidence from a bibliometric case study