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Citations for "Transmission of Volatility Between Stock Markets"

by Mervyn A. King & Sushil Wadhwani

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  1. Lin, Wen-Ling, 1995. "Market closure and predictability of intradaily stock returns in the United States and Japan," Journal of Empirical Finance, Elsevier, Elsevier, vol. 2(1), pages 19-44, March.
  2. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
  3. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance finance:201003, Griffith University, Department of Accounting, Finance and Economics.
  4. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  5. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(02), pages 373-401, June.
  6. Simplice A., Asongu, 2011. "Political Crises and Risk of Financial Contagion in Developing Countries: Evidence from Africa," MPRA Paper 30391, University Library of Munich, Germany.
  7. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
  8. David G. McMillan & Isabel Ruiz, 2009. "Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 1(1), pages 64-74.
  9. Bong-Han Kim & Hyeongwoo Kim & Bong-Soo Lee, 2012. "Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2012-06, Department of Economics, Auburn University.
  10. P. Hartmann & S. Straetmans & C.G. de Vries, 2001. "Asset Market Linkages in Crisis Periods," Tinbergen Institute Discussion Papers 01-071/2, Tinbergen Institute.
  11. Kohonen, Anssi, 2012. "On detection of volatility spillovers in simultaneously open stock markets," MPRA Paper 37504, University Library of Munich, Germany.
  12. Rigobon, Roberto, 2003. "On the measurement of the international propagation of shocks: is the transmission stable?," Journal of International Economics, Elsevier, vol. 61(2), pages 261-283, December.
  13. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
  14. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".
  15. Charlie Cai & Robert Faff & David Hillier & Michael McKenzie, 2006. "Modelling return and conditional volatility exposures in global stock markets," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 27(2), pages 125-142, September.
  16. Laura E. Kodres & Matthew Pritsker, 1998. "A rational expectations model of financial contagion," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-48, Board of Governors of the Federal Reserve System (U.S.).
  17. Degryse, H.A. & Elahi, M.A. & Penas, M.F., 2012. "Determinants of Banking System Fragility: A Regional Perspective," Discussion Paper, Tilburg University, Center for Economic Research 2012-015, Tilburg University, Center for Economic Research.
  18. Amado Peiro & Javier Quesada & Ezequiel Uriel, 1998. "Transmission of movements in stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 4(4), pages 331-343.
  19. Sarantis Tsiaplias, 2007. "Co-movement and Integration among Developed Equity Markets," Melbourne Institute Working Paper Series wp2007n25, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  20. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(2-3), pages 73-114, June.
  21. Lucey, Brian M. & Muckley, Cal, 2011. "Robust global stock market interdependencies," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 215-224, August.
  22. Romer, David, 1993. "Rational Asset-Price Movements without News," American Economic Review, American Economic Association, vol. 83(5), pages 1112-30, December.
  23. Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005. "Empirical modelling of contagion: a review of methodologies," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(1), pages 9-24.
  24. Mondria, Jordi, 2010. "Portfolio choice, attention allocation, and price comovement," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1837-1864, September.
  25. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
  26. Christian Jochum, 2001. "Is the covariance of international stock market returns regime dependent?," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 247-268.
  27. Rodrigo Alfaro A. & Rodrigo Cifuentes S., 2009. "FinanciaL Stability, Monetary Policy and Central Banking: an Overview," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 5-10, August.
  28. Marc Joëts, 2012. "Energy price transmissions during extreme movements," EconomiX Working Papers 2012-38, University of Paris West - Nanterre la Défense, EconomiX.
  29. Jinliang Li & Robert M. Mooradian & Shiawee X. Yang, 2009. "The Information Content of the NCREIF Index," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 31(1), pages 93-116.
  30. Ibrahim Onour, . "Financial Integration of North Africa Stock Markets," API-Working Paper Series 0908, Arab Planning Institute - Kuwait, Information Center.
  31. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(06), pages 1265-1289, December.
  32. Grieb, Terrance & Reyes, Mario G., 2002. "The temporal relationship between large- and small-capitalization stock returns:: Evidence from the UK," Review of Financial Economics, Elsevier, Elsevier, vol. 11(2), pages 109-118.
  33. Jose Luis Miralles-Marcelo & Jose Luis Miralles-Quiros & Maria del Mar Miralles-Quiros, 2010. "Intraday linkages between the Spanish and the US stock markets: evidence of an overreaction effect," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 42(2), pages 223-235.
  34. Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
  35. Rua, António & Nunes, Luís C., 2009. "International comovement of stock market returns: A wavelet analysis," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(4), pages 632-639, September.
  36. Hassan, Syed Aun & Malik, Farooq, 2007. "Multivariate GARCH modeling of sector volatility transmission," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 47(3), pages 470-480, July.
  37. Jun Nagayasu, 2013. "Co-movements in real effective exchange rates: evidence from the dynamic hierarchical factor model," Working Papers 1318, University of Strathclyde Business School, Department of Economics.
  38. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics, EconWPA 0307004, EconWPA, revised 18 Jul 2003.
  39. Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 872, Board of Governors of the Federal Reserve System (U.S.).
  40. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Estimating non-linear serial and cross-interdependence between financial assets," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 837-846.
  41. Constantinos Katrakilidis & Athanasios Koulakiotis, 2006. "The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 321-338, November.
  42. Gębka, Bartosz & Karoglou, Michail, 2013. "Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3639-3653.
  43. Hammoudeh, Shawkat & Yuan, Yuan & Chiang, Thomas & Nandha, Mohan, 2010. "Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks," Energy Policy, Elsevier, vol. 38(8), pages 3922-3932, August.
  44. Joseph, Nathan Lael, 2003. "Predicting returns in U.S. financial sector indices," International Journal of Forecasting, Elsevier, Elsevier, vol. 19(3), pages 351-367.
  45. Jaiswal-Dale, Ameeta & Jithendranathan, Thadavillil, 2009. "Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 19(5), pages 395-408, December.
  46. repec:wyi:journl:002098 is not listed on IDEAS
  47. Andrea E. Beltratti & Robert J. Shiller, 1991. "Actual and Warranted Relations Between Asset Prices," NBER Working Papers 3640, National Bureau of Economic Research, Inc.
  48. 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.
  49. El Ghini, Ahmed & Saidi, Youssef, 2014. "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper 53439, University Library of Munich, Germany.
  50. Cipriani, Marco & Gardenal, Gloria & Guarino, Antonio, 2013. "Financial contagion in the laboratory: The cross-market rebalancing channel," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4310-4326.
  51. Bayoumi, Tamim & Fazio, Giorgio & Kumar, Manmohan & MacDonald, Ronald, 2007. "Fatal attraction: Using distance to measure contagion in good times as well as bad," Review of Financial Economics, Elsevier, Elsevier, vol. 16(3), pages 259-273.
  52. Koulakiotis, Athanasios & Katrakilidis, Constantinos & Chionis, Dionysios, 2008. "Impact of futures on comovements for UK cross-listed equities," Research in International Business and Finance, Elsevier, Elsevier, vol. 22(2), pages 145-161, June.
  53. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
  54. Støve, Bård & Tjøstheim, Dag & Hufthammer, Karl Ove, 2014. "Using local Gaussian correlation in a nonlinear re-examination of financial contagion," Journal of Empirical Finance, Elsevier, Elsevier, vol. 25(C), pages 62-82.
  55. Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," Papers 2013-10-14, Working Paper.
  56. M. Hashem Pesaran & Andreas Pick, 2004. "Econometric Issues in the Analysis of Contagion," CESifo Working Paper Series 1176, CESifo Group Munich.
  57. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(04), pages 953-986, August.
  58. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
  59. Gallegati, Marco, 2012. "A wavelet-based approach to test for financial market contagion," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3491-3497.
  60. Zouheir Mighri & Faysal Mansouri, 2013. "Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 637-661.
  61. Nikkinen, Jussi & Omran, Mohammad M. & Sahlstrom, Petri & Aijo, Janne, 2008. "Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 27-46.
  62. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(3), pages 476-489, June.
  63. Bekiros, Stelios D. & Georgoutsos, Dimitris A., 2008. "The extreme-value dependence of Asia-Pacific equity markets," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 18(3), pages 197-208, July.
  64. Evangelos Drimbetas & Nikolaos Sariannidis & Nicos Porfiris, 2007. "The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 139-148.
  65. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, Econometric Society, vol. 62(4), pages 901-33, July.
  66. Mahua Barari & Brian Lucey & Svitlana Voronkova, 2005. "CEE Banking Sector Co-Movement: Contagion or Interdependence?," The Institute for International Integration Studies Discussion Paper Series iiisdp078, IIIS.
  67. Hwang, Eugene & Min, Hong-Ghi & Kim, Bong-Han & Kim, Hyeongwoo, 2013. "Determinants of stock market comovements among US and emerging economies during the US financial crisis," Economic Modelling, Elsevier, vol. 35(C), pages 338-348.
  68. Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers, Banque de France 73, Banque de France.
  69. Nyborg, Kjell G. & Östberg, Per, 2014. "Money and liquidity in financial markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 112(1), pages 30-52.
  70. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, Elsevier, vol. 2(4), pages 387-417, December.
  71. Cheung, Yan-Leung & Cheung, Yin-Wong & Ng, Chris C., 2007. "East Asian equity markets, financial crises, and the Japanese currency," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 138-152, March.
  72. G. Mujtaba Mian & Christopher M. Adam, 2000. "Does More Market-Wide Information Originate While an Exchange is Open: Some Anomalous Evidence from the ASX," Australian Journal of Management, Australian School of Business, Australian School of Business, vol. 25(3), pages 339-352, December.
  73. Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting, 2014. "Global contagion of market sentiment during the US subprime crisis," Global Finance Journal, Elsevier, vol. 25(1), pages 17-26.
  74. Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(2), pages 241-260, June.
  75. Ilyes Abid & Khaled Guesmi & Olfa Kaabia & Duc Khuong Nguyen, 2014. "Financial Crises and Contagion Effects between the US and OECD Equity Markets," Working Papers 2014-451, Department of Research, Ipag Business School.
  76. Fernandez-Izquierdo, Angeles & Lafuente, Juan Angel, 2004. "International transmission of stock exchange volatility: Empirical evidence from the Asian crisis," Global Finance Journal, Elsevier, vol. 15(2), pages 125-137, August.
  77. Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Paper 1309, Federal Reserve Bank of Cleveland.
  78. Durdyev, Ruslan & Peresetsky, Anatoly, 2014. "Autocorrelation in the global stochastic trend," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 35(3), pages 39-58.
  79. Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  80. Lakshmi Balasubramanyan, 2005. "Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?," Finance, EconWPA 0509002, EconWPA.
  81. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 27(C), pages 248-268.
  82. Sarai Criado Nuevo, 2005. "Some critics to the contagion correlation test," Working Papers, Asociación Española de Economía y Finanzas Internacionales 05-01, Asociación Española de Economía y Finanzas Internacionales.
  83. Manning, Neil, 2002. "Common trends and convergence? South East Asian equity markets, 1988-1999," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(2), pages 183-202, April.
  84. Germán López-Espinosa & Antonio Moreno & Antonio Rubia & Laura Valderrama, 2012. "Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach," Faculty Working Papers 02/12, School of Economics and Business Administration, University of Navarra.
  85. Sarantis Tsiaplias, 2007. "A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors," Melbourne Institute Working Paper Series wp2007n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  86. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, Elsevier, vol. 103(1-2), pages 183-224, July.
  87. Bailey, Warren & Mao, Connie X. & Sirodom, Kulpatra, 2007. "Investment restrictions and the cross-border flow of information: Some empirical evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(1), pages 1-25, February.
  88. Thomas J.Flavin & Ekaterini Panopoulou, 2007. "On the robustness of international portfolio diversification benefits to regime-switching volatility," Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth n1801007.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  89. Emanuele Bacchiocchi & Marta Bevilacqua, 2008. "International Crisis, Instability Periods and Contagion: The Case of the ERM," UNIMI - Research Papers in Economics, Business, and Statistics, Universitá degli Studi di Milano unimi-1079, Universitá degli Studi di Milano.
  90. Sebastian Edwards & Raul Susmel, 2001. "Volatility Dependence and Contagion in Emerging Equity Markets," NBER Working Papers 8506, National Bureau of Economic Research, Inc.
  91. Elyasiani, Elyas & Kocagil, Ahmet E. & Mansur, Iqbal, 2007. "Information transmission and spillover in currency markets: A generalized variance decomposition analysis," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 47(2), pages 312-330, May.
  92. Alper, C. Emre & Yilmaz, Kamil, 2004. "Volatility and contagion: evidence from the Istanbul stock exchange," Economic Systems, Elsevier, vol. 28(4), pages 353-367, December.
  93. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Stock market networks: The dynamic conditional correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4147-4158.
  94. Frank Westermann, 2002. "Stochastic Trends and Cycles in National Stock Market Indices: Evidence from the U.S., the U.K. and Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 317-328, September.
  95. Wen-Ling Lin & Takatoshi Ito, 1994. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Chapters, in: The Internationalization of Equity Markets, pages 309-343 National Bureau of Economic Research, Inc.
  96. Dungey, Mardi & Gajurel, Dinesh, 2013. "Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies," Working Papers, University of Tasmania, School of Economics and Finance 17213, University of Tasmania, School of Economics and Finance, revised 16 Oct 2013.
  97. Bunda, Irina & Hamann, A. Javier & Lall, Subir, 2009. "Correlations in emerging market bonds: The role of local and global factors," Emerging Markets Review, Elsevier, Elsevier, vol. 10(2), pages 67-96, June.
  98. Sébastien Wälti, 2003. "Testing for contagion in international financial markets: which way to go?," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies 04-2003, Economics Section, The Graduate Institute of International Studies.
  99. Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(7), pages 1206-1228, November.
  100. William Goetzmann & Zoran Ivkovich & K. Rouwenhorst, 2000. "Day Trading International Mutual Funds: Evidence And Policy Solutions," Yale School of Management Working Papers, Yale School of Management ysm138, Yale School of Management, revised 01 Jun 2001.
  101. Juan Pablo Jimeno, 1995. "Transmisión de volatilidad: el caso español en la crisis de 1992," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 19(1), pages 107-125, January.
  102. Cotter, John & Gabriel, Stuart & Roll, Richard, 2011. "Integration and contagion in US housing markets," MPRA Paper 34591, University Library of Munich, Germany.
  103. Thomas Flavin & Ekaterini Panopoulou, 2006. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," The Institute for International Integration Studies Discussion Paper Series iiisdp167, IIIS.
  104. 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.
  105. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle, October.
  106. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
  107. Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.
  108. Assaf Razin & Itay Goldstein, 2012. "Review Of Theories of Financial Crises," 2012 Meeting Papers, Society for Economic Dynamics 214, Society for Economic Dynamics.
  109. Ciner, Cetin, 2006. "A further look at linkages between NAFTA equity markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(3), pages 338-352, July.
  110. Jose Fernandez-Serrano & Simon Sosvilla-Rivero, 2003. "Modelling the linkages between US and Latin American stock markets," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(12), pages 1423-1434.
  111. Fabio Trojani & Francesco Audrino, 2006. "Estimating and predicting multivariate volatility thresholds in global stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(3), pages 345-369.
  112. el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage, return, volatility and contagion: Evidence from the portfolio framework," MPRA Paper 57726, University Library of Munich, Germany.
  113. Leachman, Lori L. & Francis, Bill, 1995. "Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords," Journal of Macroeconomics, Elsevier, Elsevier, vol. 17(4), pages 551-577.
  114. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
  115. López-Espinosa, Germán & Rubia, Antonio & Valderrama, Laura & Antón, Miguel, 2013. "Good for one, bad for all: Determinants of individual versus systemic risk," Journal of Financial Stability, Elsevier, Elsevier, vol. 9(3), pages 287-299.
  116. Melisso Boschi, 2005. "International financial contagion: evidence from the Argentine crisis of 2001-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 153-163.
  117. Khan, Saleheen & Park, Kwang Woo (Ken), 2009. "Contagion in the stock markets: The Asian financial crisis revisited," Journal of Asian Economics, Elsevier, vol. 20(5), pages 561-569, September.
  118. Leachman, Lori L. & Francis, Bill, 1996. "Equity market return volatility: Dynamics and transmission among the G-7 countries," Global Finance Journal, Elsevier, vol. 7(1), pages 27-52.
  119. Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
  120. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.
  121. Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," NBER Working Papers 9817, National Bureau of Economic Research, Inc.
  122. Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, Financial Management Association International, vol. 38(2), pages 381-409, 06.
  123. Urbina, Jilber, 2013. "Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations," Working Papers 2072/211884, Universitat Rovira i Virgili, Department of Economics.
  124. Longstaff, Francis A., 2010. "The subprime credit crisis and contagion in financial markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 97(3), pages 436-450, September.
  125. Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, Elsevier, vol. 36(3), pages 631-654, December.
  126. Saleem, Kashif, 2009. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," Research in International Business and Finance, Elsevier, Elsevier, vol. 23(3), pages 243-256, September.
  127. Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers, York University, Department of Economics 2005_2, York University, Department of Economics.
  128. Gravelle, Toni & Kichian, Maral & Morley, James, 2006. "Detecting shift-contagion in currency and bond markets," Journal of International Economics, Elsevier, vol. 68(2), pages 409-423, March.
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