Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Non-synchronous trading and testing for market integration in Central European emerging markets

16 references·16 citing·40 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
2003Modeling and Forecasting Realized Volatility3,887 cited
1977Estimating betas from nonsynchronous data2,751 cited
2001The distribution of realized stock return volatility2,264 cited
1995Time‐Varying World Market Integration2,152 cited
1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
1997Emerging equity market volatility1,703 cited
1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
2005Market Integration and Contagion1,061 cited
2003DotCom Mania: The Rise and Fall of Internet Stock Prices916 cited
2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
2003Emerging markets finance755 cited
1995Time-Varying World Market Integration594 cited
2001Coase Versus the Coasians546 cited
2002Research in emerging markets finance: looking to the future

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

453 cited

Cited by

2008STOCK MARKET INTEGRATION FOR THE TRANSITION ECONOMIES: TIME‐VARYING CONDITIONAL CORRELATION APPROACH85 cited
2008STOCK MARKET INTEGRATION FOR THE TRANSITION ECONOMIES: TIME-VARYING CONDITIONAL CORRELATION APPROACH81 cited
2014Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust63 cited
2012A risk-based explanation of return patterns—Evidence from the Polish stock market59 cited
2009German, US and Central and Eastern European Stock Market Integration50 cited
2016Global portfolio investment network and stock market comovement45 cited
2019Is there an illiquidity premium in frontier markets?43 cited
2020Return and volatility spillovers to African equity markets and their determinants42 cited
2018Long-Run Wavelet-Based Correlation for Financial Time Series39 cited
2012Is market integration associated with informational efficiency of stock markets?39 cited
2014The Eurozone crisis and its contagion effects on the European stock markets36 cited
2017A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets34 cited
2021Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model31 cited
2017The global financial market integration of selected emerging markets29 cited
2006Long and Short-Run Linkages in CEE Stock Markets: Implications for Portfolio Diversification and Stock Market Integration29 cited
2012On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries28 cited