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Price and volatility spillovers in Scandinavian stock markets

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Author Info
Booth, G. Geoffrey
Martikainen, Teppo
Tse, Yiuman
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File URL: http://www.sciencedirect.com/science/article/B6VCY-3SWYBYT-C/2/37cc352869b5122159470595c805a9ae
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 21 (1997)
Issue (Month): 6 (June)
Pages: 811-823
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Handle: RePEc:eee:jbfina:v:21:y:1997:i:6:p:811-823

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  1. Huseyin Tastan, 2005. "Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets," Working Papers 2005/10, Turkish Economic Association. [Downloadable!]
  2. Aamir R. Hashmi & Anthony S. Tay, 2001. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Departmental Working Papers wp0116, National University of Singapore, Department of Economics. [Downloadable!]
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  3. Pollard, Stephen K. & Sapra, Sunil K. & Canarella, Giorgio, 2007. "Asymmetry and Spillover Effects in the North American Equity Markets," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 1(12), pages 1-52. [Downloadable!]
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  4. Jorge A. Chan-Lau & Iryna V. Ivaschenko, 2002. "Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia," IMF Working Papers 02/154, International Monetary Fund. [Downloadable!]
  5. Menelaos Karanasos & J. Kim, . "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York. [Downloadable!]
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  6. Rune Höglund & Ralf Östermark, 2003. "Size and power of some cointegration tests under structural breaks and heteroskedastic noise," Statistical Papers, Springer, vol. 44(1), pages 1-22, January. [Downloadable!] (restricted)
  7. Yoon Sook Kim & Jorge A. Chan-Lau, 2004. "Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets," IMF Working Papers 04/27, International Monetary Fund. [Downloadable!]
  8. G. G. Booth, T. Martikainen, 1999. "Excess returns and international diversification: The Scandinavian view," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 181-185, September. [Downloadable!] (restricted)
  9. L. Baele, 2003. "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
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  10. Söderberg, Jonas, 2008. "Liquidity on the Scandinavian Order-driven Stock Exchanges," CAFO Working Papers 2009:11, Centre for Labour Market Policy Research (CAFO), School of Management and Economics, Växjö University. [Downloadable!]
  11. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Documents de Travail 57, Banque de France. [Downloadable!]
  12. Gerard Gannon, 2004. "Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets," Accounting, Finance, Financial Planning and Insurance Series 2004_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  13. Ralf Östermark & Jaana Aaltonen & Henrik Saxén & Kenneth Söderlund, 2004. "Nonlinear modelling of the Finnish Banking and Finance branch index," European Journal of Finance, Taylor and Francis Journals, vol. 10(4), pages 277-289, August. [Downloadable!] (restricted)
  14. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics. [Downloadable!]
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  15. Hahn Shik Lee, 2004. "International transmission of stock market movements: a wavelet analysis," Applied Economics Letters, Taylor and Francis Journals, vol. 11(3), pages 197-201, February. [Downloadable!] (restricted)
  16. Elias Oikarinen, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy. [Downloadable!]
  17. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, School of Economics and Business Administration, Tallinn University of Technology. [Downloadable!]
  18. R-P. Berben & W.J. Jansen, 2001. "Comovement in International Equity Markets: a Sectoral View," MEB Series (discontinued) 2001-11, Netherlands Central Bank, Monetary and Economic Policy Department. [Downloadable!]
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  19. Tao Sun & Xiaojing Zhang, 2009. "Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets," IMF Working Papers 09/166, International Monetary Fund. [Downloadable!]
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