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The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe
16 references·1 citing·45 second hop
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(2010)Global financial crisis, extr…A component model for dynamic correlations (2009)A component model for dynamic…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Dynamic stock market integrat…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Financial Market Contagion in the Asian Crisis (1999)Financial Market Contagion in…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION (1992)MONETARY AND PORTFOLIO-BALANC…Exchange Rates and the Current Account. 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this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 1980Exchange Rates and the Current Account.1,042 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 1999Financial Market Contagion in the Asian Crisis594 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 1992MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION438 cited
  • 2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach436 cited
  • 2005Dynamic stock market integration driven by the European Monetary Union: An empirical analysis346 cited
  • 2011Volatility transmission in emerging European foreign exchange markets

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337 cited
  • 2009A component model for dynamic correlations300 cited
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    • 2019Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis33 cited