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The return and volatility nexus among stock market and macroeconomic fundamentals for China
16 references·1 citing·29 second hop
The return and volatility nexus among stock market and macroeconomic fundamentals for China (2019)The return and volatility nexus among sto…Volatility spillovers between oil prices and the stock market under structural breaks (2015)Volatility spillovers between…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…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…Dynamic analysis between the US stock returns and the macroeconomic variables (2007)Dynamic analysis between the …Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence (2006)Macroeconomic Variables and S…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…MACRO ECONOMETRICS OF STOCK PRICE FLUCTUATIONS (1993)MACRO ECONOMETRICS OF STOCK P…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Expected stock returns and volatility (1987)Expected stock returns and vo…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Impacts of COVID‐19 on the Return and Volatility Nexus among Cryptocurrency Market (2022)Impacts of COVID‐19 on the Re…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Econometric Analysis of Cross Section and Panel Data (2001)SRISK: A conditional capital shortfall measure of systemic risk (2017)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1987Expected stock returns and volatility4,147 cited
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  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL685 cited
  • 2007Dynamic analysis between the US stock returns and the macroeconomic variables256 cited
  • 2006Macroeconomic Variables and Stock Market Interactions: New Zealand Evidence226 cited

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  • 2015Volatility spillovers between oil prices and the stock market under structural breaks186 cited
  • 1993MACRO ECONOMETRICS OF STOCK PRICE FLUCTUATIONS146 cited
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    • 2022Impacts of COVID‐19 on the Return and Volatility Nexus among Cryptocurrency Market19 cited