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Symmetric and asymmetric volatility spillover among BRICS countries' stock markets
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Symmetric and asymmetric volatility spillover among BRICS countries' stock markets (2023)Symmetric and asymmetric volatility spill…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The distribution of realized stock return volatility (2001)The distribution of realized …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…No news is good news (1992)No news is good newsTransmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*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)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Illiquidity and stock returns: cross-section and time-series effects (2002)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)On the Estimation of Security Price Volatilities from Historical Data (1980)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Testing for unit roots in heterogeneous panels (2003)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1992No news is good news1,929 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,814 cited
  • 1990Transmission of Volatility between Stock Markets

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1,588 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
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