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Mapping Risk–Return Linkages and Volatility Spillover in BRICS Stock Markets through the Lens of Linear and Non-Linear GARCH Models
16 references·0 citing·27 second hop
Mapping Risk–Return Linkages and Volatility Spillover in BRICS Stock Markets through the Lens of Linear and Non-Linear GARCH Models (2024)Mapping Risk–Return Linkages and Volatili…Stock Market Volatility Spillovers in G7 and BRIC (2021)Stock Market Volatility Spill…Volatility in International Stock Markets: An Empirical Study during COVID-19 (2020)Volatility in International S…Modelling and forecasting the stock market volatility of SSE Composite Index using GARCH models (2017)Modelling and forecasting the…Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia (2017)Does volatility spillover amo…Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies (2016)Return and volatility spillov…Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets (2014)Modelling Volatility Spillove…Financial crises, stock returns and volatility in an emerging stock market: the case of Jordan (2012)Financial crises, stock retur…Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework (2008)Return, volatility spillovers…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Good and bad volatility spillovers: An asymmetric connectedness (2018)Analyzing volatility spillovers between oil market and Asian stock markets (2020)Asymmetric volatility spillover among Chinese sectors during COVID-19 (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Studies of stock market volatility changes (1976)BRIC and the U.S. financial crisis: An empirical investigation of stock and bond markets (2012)Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis (2015)Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)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

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
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  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2014Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets268 cited
  • 2008Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework175 cited
  • 2020Volatility in International Stock Markets: An Empirical Study during COVID-19159 cited
  • 2017Modelling and forecasting the stock market volatility of SSE Composite Index using GARCH models149 cited
  • 2017Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia94 cited
  • 2016Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

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88 cited
  • 2021Stock Market Volatility Spillovers in G7 and BRIC73 cited
  • 2012Financial crises, stock returns and volatility in an emerging stock market: the case of Jordan72 cited
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