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Dynamics of Return Linkages and Asymmetric Volatility Spillovers among Asian Emerging Stock Markets
16 references·1 citing·44 second hop
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1952Portfolio Selection4,609 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 1997Price and volatility spillovers in Scandinavian stock markets304 cited
  • 2005Stock market integration in ASEAN after the Asian financial crisis294 cited
  • 2003Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis223 cited
  • 1998Volatility spillovers across equity markets: European evidence181 cited
  • 2017Regulating capital flows to emerging markets: An externality view179 cited
  • 2008

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Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework
175 cited
  • 2013Volatility Spillovers and Contagion from Mature to Emerging Stock Markets130 cited
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    • 2021Do COVID-19 Epidemic Explains the Dynamic Conditional Correlation between China’s Stock Market Index and International Stock Market Indices?22 cited