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Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region
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Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region (2017)Stock Market Integration Dynamics and its…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Market Integration and Contagion (2005)Market Integration and Contag…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Trying to Explain Home Bias in Equities and Consumption (1999)Trying to Explain Home Bias i…The variation of certain speculative prices (1997)The variation of certain spec…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Domestic Saving and International Capital Flows (1980)Domestic Saving and Internati…Specification Tests in Econometrics (1978)Specification Tests in Econom…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Generalized autoregressive conditional heteroskedasticity (1986)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)ARCH modeling in finance (1992)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)International Corporations: The Industrial Economics of Foreign Investment (1971)The analysis of household surveys (1997)Familiarity Breeds Investment (2001)The saving and investment nexus for China: evidence from cointegration tests (2005)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)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)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1978Specification Tests in Econometrics18,788 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1980Domestic Saving and International Capital Flows2,767 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1999Trying to Explain Home Bias in Equities and Consumption1,364 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 2005Market Integration and Contagion1,061 cited

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  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
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