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A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets
16 references·2 citing·38 second hop
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2003The great reversals: the politics of financial development in the twentieth century3,327 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2005Does financial liberalization spur growth?2,011 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 2007Liquidity and Expected Returns: Lessons from Emerging Markets1,081 cited
  • 2002Investor protection and equity markets1,071 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 2000Equity markets and growth: Cross-country evidence on timing and outcomes, 1980–1995782 cited
  • 2005Handbook of New Institutional Economics729 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited

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1991
Chaos and order in the capital markets
566 cited

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  • 2019Impact of Brexit vote on the London stock exchange: A sectorial analysis of its volatility and efficiency30 cited