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The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks
16 references·0 citing·30 second hopsampled
The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks (2018)The impact of trade intensity and Market …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…Chapter 12 Finance and Growth: Theory and Evidence (2005)Chapter 12 Finance and Growth…Gravity with Gravitas: A Solution to the Border Puzzle (2003)Gravity with Gravitas: A Solu…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Financial Dependence and Growth (1996)Financial Dependence and Grow…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Expected stock returns and volatility (1987)Expected stock returns and vo…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Credit Rationing in Markets with Imperfect Information (1981)A Contribution to the Empirics of Economic Growth (1992)Financial intermediation and growth: Causality and causes (2000)Law, Finance, and Economic Growth in China (2003)Finance and Growth: Theory and Evidence (2004)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Aggregate Confusion: The Divergence of ESG Ratings (2019)A Theoretical Foundation for the Gravity Equation. (1979)Technology, Geography, and Trade (2002)Do free trade agreements actually increase members' international trade? (2006)The Log of Gravity (2006)American Economic Review (2019)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1996Financial Dependence and Growth8,055 cited
  • 2003Gravity with Gravitas: A Solution to the Border Puzzle7,559 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,841 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,654 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2005Chapter 12 Finance and Growth: Theory and Evidence

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2,984 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
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