SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Time-Varying World Market Integration
16 references·16 citing·33 second hopsampled
Time-Varying World Market Integration (1995)Time-Varying World Market IntegrationMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Market Integration and Investment Barriers in Emerging Equity Markets (1995)Market Integration and Invest…Regime switching with time-varying transition probabilities (1994)Regime switching with time-va…The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…The World Price of Covariance Risk (1991)The World Price of Covariance…Time-varying conditional covariances in tests of asset pricing models (1989)Time-varying conditional cova…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…A model of international asset pricing (1981)A model of international asse…On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)On Estimating the Expected Re…An equilibrium model of the international capital market (1974)An equilibrium model of the i…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…What Factors Drive Global Stock Returns? (2011)What Factors Drive Global Sto…The world price of liquidity risk (2010)The world price of liquidity …Striking oil: Another puzzle? (2008)Striking oil: Another puzzle?Stock prices and exchange rate dynamics (2005)Stock prices and exchange rat…The structure of interdependence in international stock markets (2003)The structure of interdepende…On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach (2003)On the relationship between t…A simple measure of the intensity of capital controls (2003)A simple measure of the inten…The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)The Halloween Indicator, “Sel…Research in emerging markets finance: looking to the future (2002)Research in emerging markets …Dating the integration of world equity markets (2002)Dating the integration of wor…Are Financial Assets Priced Locally or Globally? (2002)Are Financial Assets Priced L…Emerging equity markets and economic development (2001)Emerging equity markets and e…Stock Market Openings: Experience of Emerging Economies (2000)Stock Market Openings: Experi…Globalization of Equity Markets and the Cost of Capital (1999)Globalization of Equity Marke…How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1 (1998)How big is the premium for cu…Stock returns and volatility in emerging financial markets (1997)Stock returns and volatility …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)A Note on Uncertainty and Indifference Curves (1969)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)The Behavior of Stock-Market Prices (1965)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Predictable Risk and Returns in Emerging Markets (1994)Market Integration and Contagion (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 1989Time-varying conditional covariances in tests of asset pricing models851 cited
  • 1981A model of international asset pricing807 cited
  • 1980On Estimating the Expected Return on the Market: An Exploratory Investigation755 cited
  • 1995Market Integration and Investment Barriers in Emerging Equity Markets

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

600 cited
  • 1994Regime switching with time-varying transition probabilities291 cited
  • Cited by

    • 2008Striking oil: Another puzzle?616 cited
    • 2011What Factors Drive Global Stock Returns?576 cited
    • 2002Dating the integration of world equity markets561 cited
    • 2000Stock Market Openings: Experience of Emerging Economies557 cited
    • 2002Are Financial Assets Priced Locally or Globally?548 cited
    • 1998How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1506 cited
    • 2010The world price of liquidity risk487 cited
    • 2003On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach468 cited
    • 1997Stock returns and volatility in emerging financial markets465 cited
    • 2003A simple measure of the intensity of capital controls459 cited
    • 2005Stock prices and exchange rate dynamics459 cited
    • 2002Research in emerging markets finance: looking to the future453 cited
    • 1999Globalization of Equity Markets and the Cost of Capital439 cited
    • 2003The structure of interdependence in international stock markets413 cited
    • 2002The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle413 cited
    • 2001Emerging equity markets and economic development408 cited