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Examining dynamic currency linkages amongst South Asian economies: An empirical study
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Examining dynamic currency linkages amongst South Asian economies: An empirical study (2017)Examining dynamic currency linkages among…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…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…What matters for financial development? Capital controls, institutions, and interactions (2005)What matters for financial de…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …The variation of certain speculative prices (1997)The variation of certain spec…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)Capital Inflows and Real Exch…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…Macroeconomics and Reality (1980)Macroeconomics and RealityThe Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor (2021)Spillovers and connectedness …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)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The robustness of identified VAR conclusions about money (1998)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 PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1980Macroeconomics and Reality12,826 cited
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  • 2002Dynamic Conditional Correlation7,126 cited
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  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
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  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

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1,775 cited
  • 1993Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors1,512 cited
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    • 2021Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor74 cited