References

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• 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
• 2012The Econometrics of Financial Markets5,875 cited
• 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
• 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
• 1991Investor Diversification and International Equity Markets2,542 cited
• 1997Emerging equity market volatility1,703 cited
• 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
• 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
• 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
• 1994Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium671 cited
• 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
• 1999Some tests for parameter constancy in cointegrated VAR‐models617 cited
• 1991Cointegration: how short is the long run?564 cited
• 1993International stock market linkages: Evidence from the pre- and post-October 1987 period