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Main driving factors of the interest rate-stock market Granger causality
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Main driving factors of the interest rate-stock market Granger causality (2017)Main driving factors of the interest rate…Does gold act as a hedge or a safe haven for stocks? A smooth transition approach (2014)Does gold act as a hedge or a…The Determinants of Stock and Bond Return Comovements (2010)The Determinants of Stock and…Why does the correlation between stock and bond returns vary over time? (2007)Why does the correlation betw…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Stock and Bond Returns with Moody Investors (2006)Stock and Bond Returns with M…Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Stock Market Uncertainty and …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A test for volatility spillover with application to exchange rates (2001)A test for volatility spillov…Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Sensitivity of the bank stock…Testing the adequacy of smooth transition autoregressive models (1996)Testing the adequacy of smoot…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…The Pricing of Interest-Rate Risk: Evidence from the Stock Market (1986)The Pricing of Interest-Rate …The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…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)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Volatility spillover between oil and agricultural commodity markets (2012)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)Discretion versus policy rules in practice (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Do recessions permanently change output? (1993)A nonlinear approach to US GNP (1995)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)Geopolitical risks and the oil-stock nexus over 1899–2016 (2017)Non-monetary news in central bank communication (2019)Asset returns and inflation (1977)Risk measurement when shares are subject to infrequent trading (1979)Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe (2002)Does the stock market value bank diversification? (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Illiquidity and stock returns: cross-section and time-series effects (2002)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Hedge Fund Stock Trading in the Financial Crisis of 2007-2009 (2011)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Testing for a unit root in the nonlinear STAR framework (2002)Analysis of Financial Time Series (2006)Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals (2000)Panel Smooth Transition Regression Models (2005)Modelling Nonlinear Economic Time Series (2010)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
  • 1996Testing the adequacy of smooth transition autoregressive models536 cited
  • 2010The Determinants of Stock and Bond Return Comovements533 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited
  • 2014Does gold act as a hedge or a safe haven for stocks? A smooth transition approach436 cited
  • 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market283 cited
  • 1998Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model251 cited

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  • 2006Stock and Bond Returns with Moody Investors199 cited
  • 2007Why does the correlation between stock and bond returns vary over time?195 cited
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