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MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY
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MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY (2021)MODELLING VOLATILITY SPILLOVERS, CROSS-MA…Are We Ready for the Challenge of Banks 4.0? Designing a Roadmap for Banking Systems in Industry 4.0 (2020)Are We Ready for the Challeng…Determinants of financial stress in emerging market economies (2013)Determinants of financial str…Multivariate GARCH Models (2009)Multivariate GARCH ModelsEstimating stock market volatility using asymmetric GARCH models (2008)Estimating stock market volat…Interdependence between Eastern and Western European stock markets: Evidence from intraday data (2007)Interdependence between Easte…Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact? (2005)Dynamic linkages between emer…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns (1994)Time Variations and Covariati…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Time‐Varying World Market Integration (1995)Foreign Speculators and Emerging Equity Markets (2000)Extreme Correlation of International Equity Markets (2001)‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)Modeling financial contagion using mutually exciting jump processes (2015)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Expected stock returns and volatility (1987)Agency Costs, Net Worth, And Business Fluctuations (1988)Uncovering the Risk-Return Relation in the Stock Market (2001)Instability of return prediction models (2006)‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Forecasting Volatility in Financial Markets: A Review (2003)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Are Financial Assets Priced Locally or Globally? (2002)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)
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References

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  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
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  • 1994Threshold heteroskedastic models2,294 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
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  • 1994Volatility and Links between National Stock Markets679 cited
  • 1994Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns494 cited
  • 2009Multivariate GARCH Models491 cited
  • 2008Estimating stock market volatility using asymmetric GARCH models274 cited
  • 2005Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?194 cited
  • 2007Interdependence between Eastern and Western European stock markets: Evidence from intraday data165 cited
  • 2013Determinants of financial stress in emerging market economies

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162 cited
  • 2020Are We Ready for the Challenge of Banks 4.0? Designing a Roadmap for Banking Systems in Industry 4.0122 cited
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