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Testing for the Granger-causality between returns in the U.S. and GIPSI stock markets
16 references·0 citing·46 second hop
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,506 cited
  • 2002Financial market integration in Europe: on the effects of EMU on stock markets423 cited
  • 2008Kernel Method for Nonlinear Granger Causality400 cited
  • 2013Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI378 cited
  • 1998Linkages between the US and European equity markets: further evidence from cointegration tests180 cited
  • 2013Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?177 cited
  • 2017Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets174 cited
  • 2014On financial contagion and implied market volatility123 cited
  • 2013How can a small country affect the European economy? The Greek contagion phenomenon101 cited
  • 2017A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test83 cited
  • 2009New evidence on the relation between return volatility and trading volume75 cited
  • 2015Time-varying long term memory in the European Union stock markets

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70 cited
  • 2018Dynamic integration and network structure of the EMU sovereign bond markets35 cited
  • 2015Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach29 cited
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