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A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada
0 references·16 citing·49 second hopsampled
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(1989)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model (2017)The financial economics of white precious metals — A survey (2017)Time Series Analysis: Forecasting and Control (1977)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2011)Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries (2017)The Econometrics of Financial Markets (1997)Integration and shock transmissions across European electricity forward markets (2009)Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets (2009)Return and Volatility Transmission in U.S. Housing Markets (2011)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Intra- and inter-regional spillovers between emerging capital markets around the world (2006)Oil and stock markets before and after financial crises: A local Gaussian correlation approach (2017)Understanding stock market volatility: What is the role of U.S. uncertainty? 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  • 2004International transmission of stock market movements: a wavelet analysis133 cited
  • 2005Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis133 cited
  • 2004Price discovery in the hang seng index markets: Index, futures, and the tracker fund132 cited
  • 2004Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests125 cited
  • 2004Cross-market linkages between U.S. and Japanese precious metals futures trading122 cited
  • 2003Market Integration and Contagion122 cited
  • 2003Volatility and shocks spillover before and after EMU in European stock markets113 cited
  • 2008On the sensitivity of the volume and volatility of bilateral trade flows to exchange rate uncertainty103 cited
  • 2007Increasing correlations or just fat tails?95 cited
  • 2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS94 cited
  • 2008Economic linkages across commodity futures: Hedging and trading implications

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92 cited
  • 2016Risk Everywhere: Modeling and Managing Volatility83 cited
  • 2006Price and Volatility Transmission across Borders79 cited