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Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets
16 references·2 citing·26 second hop
Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets (2017)Do international investors cause stock ma…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …The Econometrics of Financial Markets (1997)The Econometrics of Financial…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…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…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses (2023)Spillovers and connectedness …Dependence and risk spillovers between mainland China and London stock markets before and after the Stock Connect programs (2019)Dependence and risk spillover…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Macroeconomics and Reality (1980)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Bounds testing approaches to the analysis of level relationships (2001)Oil and the Macroeconomy since World War II (1983)Testing for Granger non-causality in heterogeneous panels (2012)
this work references cited by second hop

References

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  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
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1995
Multivariate Simultaneous Generalized ARCH
4,510 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
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    • 2023Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses27 cited
    • 2019Dependence and risk spillovers between mainland China and London stock markets before and after the Stock Connect programs25 cited