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Intraday price discovery and volatility spillovers in an emerging market
16 references·2 citing·24 second hop
Intraday price discovery and volatility spillovers in an emerging market (2018)Intraday price discovery and volatility s…Price discovery and common factor models (2002)Price discovery and common fa…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Some tests for parameter constancy in cointegrated VAR‐models (1999)Some tests for parameter cons…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Arbitrage, Cointegration, and…Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis (1994)Price discovery in petroleum …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Sectoral volatility spillovers and their determinants in Vietnam (2022)Sectoral volatility spillover…Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models (2020)Lead-lag relationship between…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Econometric Analysis of Cross Section and Panel Data (2001)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1988Testing for Common Trends1,894 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1999Some tests for parameter constancy in cointegrated VAR‐models617 cited
  • 2002Price discovery and common factor models546 cited

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  • 1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets315 cited
  • 1994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis283 cited
  • Cited by

    • 2020Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models27 cited
    • 2022Sectoral volatility spillovers and their determinants in Vietnam25 cited