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Citations for "A causality-in-variance test and its application to financial market prices"

by Cheung, Yin-Wong & Ng, Lilian K.

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  1. Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
  2. Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta, 2013. "Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test," Working Papers 201384, University of Pretoria, Department of Economics.
  3. Li, Haiqi & Zhong, Wanling & Park, Sung Y., 2016. "Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations," Economic Modelling, Elsevier, vol. 52(PB), pages 661-671.
  4. Pantelidis, Theologos & Pittis, Nikitas, 2004. "Testing for Granger causality in variance in the presence of causality in mean," Economics Letters, Elsevier, vol. 85(2), pages 201-207, November.
  5. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, 06.
  6. Bhar, Ramaprasad & Hamori, Shigeyuki, 2008. "Information content of commodity futures prices for monetary policy," Economic Modelling, Elsevier, vol. 25(2), pages 274-283, March.
  7. Ai-ru (Meg) Cheng & Yin-Wong Cheung, 2008. "Return, Trading Volume, and Market Depth in Currency Futures Markets," Working Papers 202008, Hong Kong Institute for Monetary Research.
  8. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
  9. Bhar, Ramaprasad & Hamori, Shigeyuki, 2005. "Causality in variance and the type of traders in crude oil futures," Energy Economics, Elsevier, vol. 27(3), pages 527-539, May.
  10. Pablo Mendieta & Sergio Cerezo & Javier Cossio, 2009. "¿La inflación está de vuelta en Sudamérica?: choques exógenos, expectativas y credibilidad de la política monetaria," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 359-389, octubre-d.
  11. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
  12. Hu, John Wei-Shan & Chen, Mei-Yuan & Fok, Robert C. W. & Huang, Bwo-Nung, 1997. "Causality in volatility and volatility spillover effects between US, Japan and four equity markets in the South China Growth Triangular," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 351-367, December.
  13. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics, Finance and Accounting Department Working Paper Series n1540305, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  14. Tomoaki Nakatani & Timo Terasvirta, 2009. "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, 03.
  15. Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009. "Causality in quantiles and dynamic stock return-volume relations," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1351-1360, July.
  16. Kitamura, Yoshihiro, 2010. "Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 158-171, June.
  17. Kanas, Angelos & Kouretas, Georgios P., 2005. "A cointegration approach to the lead-lag effect among size-sorted equity portfolios," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 181-201.
  18. Agata Kliber, 2014. "The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 330-350, September.
  19. Brooks, C. & Henry, O.T., 1999. "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series 676, The University of Melbourne.
  20. Reboredo, Juan C., 2014. "Volatility spillovers between the oil market and the European Union carbon emission market," Economic Modelling, Elsevier, vol. 36(C), pages 229-234.
  21. Hwahsin Cheng & John Glascock, 2005. "Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 24(4), pages 343-357, June.
  22. Hafner, C.M. & Herwartz, H., 2004. "Testing for causality in variance using multivariate GARCH models," Econometric Institute Research Papers EI 2004-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  23. Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," LSE Research Online Documents on Economics 22875, London School of Economics and Political Science, LSE Library.
  24. Murat Tasdemir & Abdullah Yalama, 2010. "Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil," Working Papers 2010/8, Turkish Economic Association, revised Jan 2010.
  25. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh, 2014. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 213-227.
  26. 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.
  27. Inoue, Takeshi, 2012. "Central bank intervention and exchange rate behaviour : empirical evidence for India," IDE Discussion Papers 353, Institute of Developing Economies, Japan External Trade Organization(JETRO).
  28. Bouri, Elie, 2015. "A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market," Energy Policy, Elsevier, vol. 85(C), pages 271-279.
  29. Vít Bubák & Evžen Kocenda & Filip Zikes, 2010. "Volatility Transmission in Emerging European Foreign Exchange Markets," CESifo Working Paper Series 3063, CESifo Group Munich.
  30. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy (IfW).
  31. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Asian Real Estate Society, vol. 17(2), pages 157-202.
  32. Elie Bouri & Riza Demirer, 2016. "On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 33(1), pages 63-82, April.
  33. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2012. "Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data," Discussion Papers in Economics and Business 12-01, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  34. J. Piplack & M. Beine & B. Candelon, 2009. "Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach," Working Papers 09-10, Utrecht School of Economics.
  35. Nazlioglu, Saban & Erdem, Cumhur & Soytas, Ugur, 2013. "Volatility spillover between oil and agricultural commodity markets," Energy Economics, Elsevier, vol. 36(C), pages 658-665.
  36. Fujii, Eiji, 2005. "Intra and inter-regional causal linkages of emerging stock markets: evidence from Asia and Latin America in and out of crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 315-342, October.
  37. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
  38. Lu, Feng-bin & Hong, Yong-miao & Wang, Shou-yang & Lai, Kin-keung & Liu, John, 2014. "Time-varying Granger causality tests for applications in global crude oil markets," Energy Economics, Elsevier, vol. 42(C), pages 289-298.
  39. Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
  40. Yusaku Nishimura & Ming Men, 2010. "The paradox of China's international stock market co-movement: Evidence from volatility spillover effects between China and G5 stock markets," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing, vol. 3(3), pages 235-253, December.
  41. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
  42. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.
  43. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics.
  44. Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
  45. Yin-Wong Cheung & Hung-Gay Fung, 1997. "Information Flows Between Eurodollar Spot and Futures Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(4), pages 255-271, December.
  46. Hafner, Christian M. & Herwartz, Helmut, 2006. "A Lagrange multiplier test for causality in variance," Economics Letters, Elsevier, vol. 93(1), pages 137-141, October.
  47. Mirzosaid Sultonov, 2016. "Dynamic conditional correlation and causality relationship among foreign exchange, stock and commodity markets: Evidence from 2014 Russian financial crisis," Economics Bulletin, AccessEcon, vol. 36(2), pages 949-962.
  48. Murat Taşdemir & Abdullah Yalama, 2014. "Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(2), pages 190-202, March.
  49. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
  50. Tom\'a\v{s} V\'yrost & \v{S}tefan Ly\'ocsa & Eduard Baum\"ohl, 2014. "Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment," Papers 1408.2985,
  51. Cruz, Jose Cesar Jr. & Silveira, Rodrigo L. F. & Capitani, Daniel H. D. & Urso, Fabiana S. P. & Martines, Joao G. Filho, 2016. "The effect of Brazilian corn and soybean crop expansion on price and volatility transmission," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 236127, Agricultural and Applied Economics Association.
  52. Tae-Hwy Lee & Weiping Yang, 2014. "Granger-Causality in Quantiles between Financial Markets: Using Copula Approach," Working Papers 201406, University of California at Riverside, Department of Economics.
  53. Ben Rejeb, Aymen & Arfaoui, Mongi, 2014. "Financial market interdependencies: a quantile regression analysis of volatility spillover," MPRA Paper 61516, University Library of Munich, Germany.
  54. Speight, Alan E. H. & McMillan, David G., 2001. "Volatility spillovers in East European black-market exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 367-378, June.
  55. Guillermo Benavides & Carlos Capistrán, 2009. "A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008," Working Papers 2009-10, Banco de México.
  56. Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
  57. Bouri, Elie, 2015. "Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis," Energy Economics, Elsevier, vol. 51(C), pages 590-598.
  58. Dibooglu, Sel & Cevik, Emrah. I., 2016. "The effect of North Korean threats on financial markets in South Korea and Japan," Journal of Asian Economics, Elsevier, vol. 43(C), pages 18-26.
  59. Inagaki, Kazuyuki, 2007. "Testing for volatility spillover between the British pound and the euro," Research in International Business and Finance, Elsevier, vol. 21(2), pages 161-174, June.
  60. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, 06.
  61. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 26(2), pages 92-112.
  62. Etoundi Atenga, Eric Martial, 2014. "Asymmetric shocks, persistence in volatility and spillover effects between non ferrous metals on the LME spot market," MPRA Paper 61017, University Library of Munich, Germany.
  63. Abdelaziz Rouabah, 2007. "Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques," BCL working papers 25, Central Bank of Luxembourg.
  64. Kritika Mathur & Nidhi Kaicker & Raghav Gaiha & Katsushi S. Imai & Ganesh Thapa, 2014. "Financialisation of food commodity markets, price surge and volatility: new evidence," Chapters, in: Handbook on Food, chapter 7, pages 149-176 Edward Elgar Publishing.
  65. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
  66. Theologos Pantelidis, 2012. "Testing for Granger causality in a system of more than two variables," Discussion Paper Series 2012_02, Department of Economics, University of Macedonia, revised Jan 2012.
  67. Marcelo Bianconi & Xiaxin Hua & Chih Ming Tan, 2013. "Determinants of Systemic Risk and Information Dissemination," Discussion Papers Series, Department of Economics, Tufts University 0776, Department of Economics, Tufts University.
  68. Hsiao, Cheng & Perrigne, Isabelle, 2001. "Studies in Estimation and Testing," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 1-4, July.
  69. Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013. "On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010," Discussion Papers of DIW Berlin 1289, DIW Berlin, German Institute for Economic Research.
  70. Nicholas Tay & Zhen Zhu, 2000. "Correlations in Returns and Volatilities in Pacific-Rim Stock Markets," Open Economies Review, Springer, vol. 11(1), pages 27-47, January.
  71. Go Tamakoshi & Shigeyuki Hamori, 2014. "Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 627-642, October.
  72. Alexander C. M. Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
  73. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  74. Ji, Qiang & Fan, Ying, 2016. "Modelling the joint dynamics of oil prices and investor fear gauge," Research in International Business and Finance, Elsevier, vol. 37(C), pages 242-251.
  75. Guillermo Benavides & Carlos Capistrán, 2009. "Una nota sobre las volatilidades de la tasa de interés y del tipo de cambio según diferentes instrumentos de política monetaria: México 1998-2008," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 391-412, octubre-d.
  76. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
  77. Döpke, Jörg & Pierdzioch, Christian, 1998. "Brokers and business cycles: Does financial market volatility cause real fluctuations?," Kiel Working Papers 899, Kiel Institute for the World Economy.
  78. McMillan, David G. & Speight, Alan E.H., 2010. "Return and volatility spillovers in three euro exchange rates," Journal of Economics and Business, Elsevier, vol. 62(2), pages 79-93, March.
  79. Papież, Monika & Śmiech, Sławomir, 2013. "Causality-in-mean and causality-in-variance within the international steam coal market," Energy Economics, Elsevier, vol. 36(C), pages 594-604.
  80. Cevik, Emrah Ismail & Pekkaya, Mehmet, 2007. "Spot Ve Vadeli̇ İşlem Fi̇yatlarinin Varyanslari Arasindaki̇ Nedenselli̇k Testi̇
    [Causality in variance test between spot and futures prices]
    ," MPRA Paper 71301, University Library of Munich, Germany.
  81. Demirer, Rıza & Kutan, Ali M. & Shen, Fanglin, 2012. "The effect of ethanol listing on corn prices: Evidence from spot and futures markets," Energy Economics, Elsevier, vol. 34(5), pages 1400-1406.
  82. D van Dijk & D R Osborn & M Sensier, 2004. "Testing for causality in variance in the presence of breaks," Centre for Growth and Business Cycle Research Discussion Paper Series 45, Economics, The Univeristy of Manchester.
  83. Tomasz Wozniak, 2015. "Granger-causal analysis of GARCH models: a Bayesian approach "Abstract: A multivariate GARCH model is used to investigate Granger causality in the conditional variance of time series. Parametric ," Department of Economics - Working Papers Series 1194, The University of Melbourne.
  84. Nakajima, Tadahiro & Hamori, Shigeyuki, 2013. "Testing causal relationships between wholesale electricity prices and primary energy prices," Energy Policy, Elsevier, vol. 62(C), pages 869-877.
  85. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
  86. Chan, Tze-Haw & Hooy, Chee Wooi, 2003. "On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911," MPRA Paper 2032, University Library of Munich, Germany, revised 2006.
  87. Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
  88. H. Wong & W. Li, 2002. "Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 45-59, March.
  89. Liow, Kim Hiang & Schindler, Felix, 2011. "An assessment of the relationship between public real estate markets and stock markets at the local, regional, and global levels," ZEW Discussion Papers 11-056, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  90. Soytas, Ugur & Oran, Adil, 2011. "Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey," Applied Energy, Elsevier, vol. 88(1), pages 354-360, January.
  91. Jian Zhang & Dongxiang Zhang & Juan Wang & Yue Zhang, 2013. "Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 205-217, December.
  92. repec:wyi:journl:002098 is not listed on IDEAS
  93. Hanabusa, Kunihiro, 2009. "Causality relationship between the price of oil and economic growth in Japan," Energy Policy, Elsevier, vol. 37(5), pages 1953-1957, May.
  94. Mahmod Qadan & Joseph Yagil, 2012. "Fear sentiments and gold price: testing causality in-mean and in-variance," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 363-366, March.
  95. Chen, Guifu & Hamori, Shigeyuki, 2009. "Energy prices and China’s international competitiveness," MPRA Paper 18827, University Library of Munich, Germany.
  96. Bouri, Elie & Awartani, Basel & Maghyereh, Aktham, 2016. "Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010," Energy Economics, Elsevier, vol. 56(C), pages 205-214.
  97. Urmee Khan & Robert Lieli, 2010. "Information Processing in Prediction Markets: An Empirical Investigation," Working Papers 201426, University of California at Riverside, Department of Economics.
  98. Li, Jing, 2006. "Testing Granger Causality in the presence of threshold effects," International Journal of Forecasting, Elsevier, vol. 22(4), pages 771-780.
  99. González, Mariano, 2016. "Asymmetric causality in-mean and in-variance among equity markets indexes," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 49-68.
  100. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS.
  101. Ikram Jebabli & Mohamed Arouri & Frédéric Teulon, 2014. "On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVPVAR models with stochastic volatility," Working Papers 2014-209, Department of Research, Ipag Business School.
  102. Anderson, Randy I. & Chen, Yi-Chi & Wang, Li-Min, 2015. "A range-based volatility approach to measuring volatility contagion in securitized real estate markets," Economic Modelling, Elsevier, vol. 45(C), pages 223-235.
  103. Takashi Miyazaki & Shigeyuki Hamori, 2013. "Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 27-40, January.
  104. Nazlioglu, Saban & Soytas, Ugur & Gupta, Rangan, 2015. "Oil prices and financial stress: A volatility spillover analysis," Energy Policy, Elsevier, vol. 82(C), pages 278-288.
  105. Eric Ghysels & Joanna Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
  106. Metiu Norbert, 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  107. Celso Brunetti & Christopher L. Gilbert, 1999. "Bivariate FIGARCH and Fractional Cointegration," Working Papers 408, Queen Mary University of London, School of Economics and Finance.
  108. Ahmed Shamiri & Abu Hassan, 2005. "Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities," Econometrics 0509015, EconWPA.
  109. Javier Pereda, 2009. "Estimación de la curva de rendimiento para el Perú y su uso para el análisis monetario," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 413-450, octubre-d.
  110. Okur, Mustafa & Cevik, Emrah Ismail, 2013. "Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE," MPRA Paper 71477, University Library of Munich, Germany, revised 2013.
  111. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
  112. Rodrigues, Paulo M.M. & Rubia, Antonio, 2007. "Testing for causality in variance under nonstationarity in variance," Economics Letters, Elsevier, vol. 97(2), pages 133-137, November.
  113. Döpke, Jörg & Pierdzioch, Christian, 1998. "Brokers and business cycles: Does financial market volatility cause real fluctuations?," Kiel Working Papers 899, Kiel Institute for the World Economy (IfW).
  114. Brzeszczyński, Janusz & Kutan, Ali M., 2015. "Public information arrival and investor reaction during a period of institutional change: An episode of early years of a newly independent central bank," Journal of Comparative Economics, Elsevier, vol. 43(3), pages 727-753.
  115. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
  116. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
  117. Philip Kostov & Ziping Wu & Seamus McErlean, 2004. "Do Chinese stock markets share common information arrival processes?," Econometrics 0410001, EconWPA.
  118. Gormus, N. Alper & Atinc, Guclu, 2016. "Volatile oil and the U.S. economy," Economic Analysis and Policy, Elsevier, vol. 50(C), pages 62-73.
  119. Joseph D. ALBA & Donghyun PARK, 2004. "Granger Causality Among Pre-Crisis East Asian Exchange Rates," Econometric Society 2004 Far Eastern Meetings 697, Econometric Society.
  120. Chkili, Walid & Aloui, Chaker & Nguyen, Duc Khuong, 2014. "Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 354-366.
  121. Agata Kliber, 2011. "Sovereign CDS Instruments in Central Europe – Linkages and Interdependence," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 111-128.
  122. Eduard Baumohl & Evzen Kocenda & Stefan Lyocsa & Tomas Vyrost, 2016. "Networks of volatility spillovers among stock markets," KIER Working Papers 941, Kyoto University, Institute of Economic Research.
  123. Yin-Wong Cheung & Frank Westermann, 2001. "Equity Price Dynamics Before and After the Introduction of the Euro: A Note," Multinational Finance Journal, Multinational Finance Journal, vol. 5(2), pages 113-128, June.
  124. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 397-412, July.
  125. Nikolaos Giannellis & Angelos Kanas & Athanasios P. Papadopoulos, 2010. "Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(4), pages 429-445, December.
  126. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1993-2007, April.
  127. Mario Reyna Cerecero & Diana Salazar Cavazos & Héctor Salgado Banda, 2009. "La curva de rendimiento y su relación con la actividad económica: una aplicación para México," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 297-357, octubre-d.
  128. Onour, Ibrahim, 2012. "Volatility Spillover Across GCC Stock Markets," MPRA Paper 57086, University Library of Munich, Germany.
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