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Citations for "Common stochastic trends in international stock markets"

by Kasa, Kenneth

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  1. Ulph, A. & Ulph, D., 1994. "Trade, strategic innovation and strategic environmental policy: a general analysis," Discussion Paper Series In Economics And Econometrics 9416, Economics Division, School of Social Sciences, University of Southampton.
  2. Breitung, Jörg & Wulff, Christian, 1999. "Nonlinear error correction and the efficient market hypothesis: The case of German dual-class shares," SFB 373 Discussion Papers 1999,67, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Claire G.Gilmore & Brian Lucey & Ginette M.McManus, 2005. "The Dynamics of Central European Equity Market Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp069, IIIS.
  4. Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
  5. Choudhry, Taufiq & Lu, Lin & Peng, Ke, 2007. "Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 242-261.
  6. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  7. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
  8. Michael E. Drew & Leonard Chong, 2002. "Stock Market Interdependence: Evidence from Australia," School of Economics and Finance Discussion Papers and Working Papers Series 106, School of Economics and Finance, Queensland University of Technology.
  9. Yoshiro Tsutsui & Kenjiro Hirayama, 2003. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data," Discussion Papers in Economics and Business 03-04-Rev, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP), revised Oct 2004.
  10. Xiao-Ming Li, 2006. "A Revisit Of International Stock Market Linkages: New Evidence From Rank Tests For Nonlinear Cointegration," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(2), pages 174-197, 05.
  11. 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.
  12. Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.
  13. 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.
  14. Chetverikov Viktor, 2000. "Arbitrage Possibilities in Russian Spot and Future Markets," EERC Working Paper Series 98-057e, EERC Research Network, Russia and CIS.
  15. Panagiotis Mantalos & Kristofer Mansson & Ghazi Shukur, 2010. "The effect of spillover on the Johansen tests for cointegration: a Monte Carlo analysis," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 327-342.
  16. Fairburn, James A. & Malcomson, James M., 1994. "Rewarding performance by promotion to a different job," European Economic Review, Elsevier, vol. 38(3-4), pages 683-690, April.
  17. Flad, Michael & Jung, Robert C., 2008. "A common factor analysis for the US and the German stock markets during overlapping trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 498-512, December.
  18. Chan Leong, Su & Felmingham, Bruce, 2003. "The interdependence of share markets in the developed economies of East Asia," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 219-237, April.
  19. Darrat, Ali F. & Pennathur, Anita, 2002. "Are the Arab Maghreb countries really integratable?: Some evidence from the theory of cointegrated systems," Review of Financial Economics, Elsevier, vol. 11(2), pages 79-90.
  20. Crowder, William J. & Wohar, Mark E., 1998. "Cointegration, forecasting and international stock prices," Global Finance Journal, Elsevier, vol. 9(2), pages 181-204.
  21. Dajcman, Silvio & Festic, Mejra, 2012. "The Interdependence of the Stock Markets of Slovenia, The Czech Republic and Hungary with Some Developed European Stock Markets – The Effects of Joining the European Union and the Global Financial Cri," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 163-180, December.
  22. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  23. Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42.
  24. Black, Angela J. & Fraser, Patricia & McMillan, David G., 2007. "Are international value premiums driven by the same set of fundamentals?," International Review of Economics & Finance, Elsevier, vol. 16(1), pages 113-129.
  25. Leitao, Joao & Armada, Manuel Rocha & Ferreira, Joaaquim, 2012. "Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?," MPRA Paper 42474, University Library of Munich, Germany.
  26. Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1021-1040, November.
  27. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
  28. Olgun, Hasan & Ozdemir, Zeynel Abidin, 2008. "Linkages between the center and periphery stock prices: Evidence from the vector ARFIMA model," Economic Modelling, Elsevier, vol. 25(3), pages 512-519, May.
  29. Ferkingstad, Egil & Løland, Anders & Wilhelmsen, Mathilde, 2011. "Causal modeling and inference for electricity markets," Energy Economics, Elsevier, vol. 33(3), pages 404-412, May.
  30. Buerhan Saiti & Mansur Masih, 2016. "The Co-movement of Selective Conventional and Islamic Stock Indices: Is there any Impact on Shariah Compliant Equity Investment in China?," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1895-1905.
  31. Rizwan Mushtaq & Syed Zulfiqar Ali Shah, 2014. "International Portfolio Diversification: United States and South Asian Equity Markets," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(2), pages 241-252, March.
  32. Masih, A. Mansur M. & Masih, Rumi, 2002. "Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period," Global Finance Journal, Elsevier, vol. 13(1), pages 63-91.
  33. Roland Füss & Dieter Kaiser, 2007. "The tactical and strategic value of hedge fund strategies: a cointegration approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(4), pages 425-444, December.
  34. Wolfgang Drobetz & Patrick Wegmann, 2002. "Mean Reversion on Global Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 215-239, September.
  35. Claudio Morana, 2006. "Multivariate modelling of long memory processes with common components," ICER Working Papers 40-2006, ICER - International Centre for Economic Research.
  36. Michel Beine & Gunther G. Capelle-Blancard & Hélène Raymond, 2008. "International nonlinear causality between stock markets," ULB Institutional Repository 2013/167466, ULB -- Universite Libre de Bruxelles.
  37. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Working Papers halshs-00567472, HAL.
  38. Dahalan, Jauhari & Sharma, Subhash C. & Sylwester, Kevin, 2005. "Divisia monetary aggregates and money demand for Malaysia," Journal of Asian Economics, Elsevier, vol. 15(6), pages 1137-1153, January.
  39. Syed Muhammad Aamir Shah & Muhammad Husnain & Ashraf Ali, 2012. "Is Pakistani Equity Market Integrated to the Equity Markets of Group of Eight (G8) Countries? An Empirical Analysis of Karachi Stock Exchange," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(45), pages 289-324, September.
  40. MASIH Rumi & PETERS Sanjay, "undated". "Oil Price Volatility and Stock Price Fluctuations in an Emerging Market: Evidence from South Korea," EcoMod2003 330700096, EcoMod.
  41. Jian Yang & Moosa M. Khan & Lucille Pointer, 2003. "Increasing Integration Between the United States and Other International Stock Markets? : A Recursive Cointegration Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 39(6), pages 39-53, November.
  42. Morana, Claudio, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Working Paper Series 0321, European Central Bank.
  43. Emerson Fernandes Marçal & Fernando Barbi, 2010. "“Quo Vadis Real? Estimating the Brazilian Real Exchange Rate Misalignment in Vector Error Correction Model with Structural Change”," Working Papers 10-2010, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
  44. Ozdemir, Zeynel Abidin, 2009. "Linkages between international stock markets: A multivariate long-memory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2461-2468.
  45. 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.
  46. Syriopoulos, Theodore, 2011. "Financial integration and portfolio investments to emerging Balkan equity markets," Journal of Multinational Financial Management, Elsevier, vol. 21(1), pages 40-54, February.
  47. Koutmos, Gregory, 1997. "Do emerging and developed stock markets behave alike? Evidence from six pacific basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 221-234, October.
  48. Amaresh Das, 2005. "Do stock prices and interest rates possess a common trend?," Recherches économiques de Louvain, De Boeck Université, vol. 71(4), pages 383-390.
  49. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany.
  50. Shahzad, Syed Jawad Hussain & Ahmed, Tanveer & Rehman, Mobeen Ur & Zakaria, Muhammad, 2014. "Relationship between Developed, Emerging and South Asian Equity Markets: Empirical Evidence with a Multivariate Framework Analysis," MPRA Paper 60398, University Library of Munich, Germany.
  51. Booth, G. Geoffrey & Martikainen, Teppo & Tse, Yiuman, 1997. "Price and volatility spillovers in Scandinavian stock markets," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 811-823, June.
  52. Chien, Mei-Se & Lee, Chien-Chiang & Hu, Te-Chung & Hu, Hui-Ting, 2015. "Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5," Economic Modelling, Elsevier, vol. 51(C), pages 84-98.
  53. Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1299-1316, December.
  54. Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009. "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper 36862, University Library of Munich, Germany, revised 22 Feb 2012.
  55. Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
  56. Matei, Florin, 2014. "An empirical examination of stock market integration in EMU," MPRA Paper 60717, University Library of Munich, Germany.
  57. Nils Holinski & Robert Vermeulen, 2012. "The international wealth channel: a global error-correcting analysis," Empirical Economics, Springer, vol. 43(3), pages 985-1010, December.
  58. Horobet, Alexandra & Lupu, Radu, 2009. "Are Capital Markets Integrated? A Test of Information Transmission within the European Union," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(2), pages 64-80, June.
  59. Chen, Cathy W.S. & Gerlach, Richard & Cheng, Nick Y.P. & Yang, Y.L., 2009. "The impact of structural breaks on the integration of the ASEAN-5 stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2654-2664.
  60. Ip-wing Yu & Laurence Fung & Chi-sang Tam, 2007. "Assessing Financial Market Integration In Asia - Equity Markets," Working Papers 0704, Hong Kong Monetary Authority.
  61. Jose Soares da Fonseca, 2010. "The performance of the European stock markets: a time-varying Sharpe ratio approach," The European Journal of Finance, Taylor & Francis Journals, vol. 16(7), pages 727-741.
  62. Richard Fu & Marco Pagani, 2012. "On the cointegration of international stock indices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 463-480, April.
  63. Yunus, Nafeesa, 2015. "Trends and convergence in global housing markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 100-112.
  64. Solarin Sakiru Adebola & Jauhari Dahalan, 2012. "An Empirical Analysis of Stock Markets Integration in Selected African Countries," EuroEconomica, Danubius University of Galati, issue 2(31), pages 166-177, May.
  65. Mann, Steven V. & Moore, William T. & Ramanlal, Pradipkumar, 1995. "International transmission of monthly changes in equity values," International Review of Economics & Finance, Elsevier, vol. 4(4), pages 373-385.
  66. Egil Ferkingstad & Anders L{\o}land & Mathilde Wilhelmsen, 2011. "Causal modeling and inference for electricity markets," Papers 1110.5429, arXiv.org.
  67. Saadet Kirbas Kasman, 2006. "The Relationship Between Macroeconomic Volatility and Stock Market Volatility," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(32), pages 1-10.
  68. Michael J. Artis, 2000. "The UK and the EMU," EUI-RSCAS Working Papers 67, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
  69. Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR," Textos para discussão 384, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  70. Al Nasser, Omar M. & Hajilee, Massomeh, 2016. "Integration of emerging stock markets with global stock markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 1-12.
  71. Nildag Basak Ceylan, 2006. "The Effects of G-7 Countries’ Stock Markets on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(32), pages 37-56.
  72. Taufiq Choudhry, 2002. "Money-Income Relationships between Three ERM Countries," Journal of Applied Economics, Universidad del CEMA, vol. 5, pages 59-94, May.
  73. 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.
  74. John Hatgioannides & Spiros Mesomeris, 2005. "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005 64, Money Macro and Finance Research Group.
  75. Krämer, Walter, 1997. "Kointegration von Aktienkursen," Technical Reports 1997,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  76. Yoshiro Tsutsui & Kenjiro Hirayama, 2008. "How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data," Discussion Papers in Economics and Business 08-32, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  77. Mahfuzul Haque & Hannarong Shamsub, 2015. "Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 3(4), pages 557-557, December.
  78. Phengpis, Chanwit & Swanson, Peggy E., 2004. "Increasing input information and realistically measuring potential diversification gains from international portfolio investments," Global Finance Journal, Elsevier, vol. 15(2), pages 197-217, August.
  79. Holinski Nils & Vermeulen Robert, 2009. "The International Wealth Effect: A Global Error-Correcting Analysis," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  80. Manolis Syllignakis & Georgios Kouretas, 2010. "German, US and Central and Eastern European Stock Market Integration," Open Economies Review, Springer, vol. 21(4), pages 607-628, September.
  81. José L. Fernández-Serrano & Simón Sosvilla-Rivero, "undated". "Modelling the linkages between US and Latin American stock markets," Working Papers 2002-14, FEDEA.
  82. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64.
  83. Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, vol. 11(2), pages 91-108.
  84. Harissis H. & Mesomeris S. & Staikouras S., 2001. "Long-Term Trends and Short-Run Dynamics in International Stock Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 103-120, July - De.
  85. Lucey, Brian M. & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis : evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland, Institute for Economies in Transition.
  86. Hafsa Hina & Abdul Qayyum, 2015. "Re-estimation of Keynesian Model by Considering Critical Events and Multiple Cointegrating Vectors," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(2), pages 123-145.
  87. Hina, Hafsa & Qayyum, Abdul, 2013. "Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors," MPRA Paper 52611, University Library of Munich, Germany.
  88. Gilles Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Open Economies Review, Springer, vol. 27(5), pages 969-986, November.
  89. Yu, Ip-Wing & Fung, Kang-Por & Tam, Chi-Sang, 2010. "Assessing financial market integration in Asia - Equity markets," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2874-2885, December.
  90. Ding, David K. & Harris, Frederick H. deB. & Lau, Sie Ting & McInish, Thomas H., 1999. "An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 317-329, November.
  91. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, EconWPA.
  92. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
  93. Akarim, Yasemin Deniz & Sevim, Serafettin, 2013. "The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets," Economic Modelling, Elsevier, vol. 31(C), pages 453-459.
  94. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2000. "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?," Working Papers 00-2, University of Pennsylvania, Wharton School, Weiss Center.
  95. Erie Febrian & Aldrin Herwany, 2010. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Business, Management and Finance 201005, Department of Management and Business, Padjadjaran University, revised May 2010.
  96. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
  97. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. international equity investment and past prospective returns," International Finance Discussion Papers 1016, Board of Governors of the Federal Reserve System (U.S.).
  98. Hyeongwoo Kim & Deockhyun Ryu, 2013. "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Auburn Economics Working Paper Series auwp2013-06, Department of Economics, Auburn University.
  99. Rousova, Linda, 2009. "Are the Central European Stock Markets Still Different? A Cointegration Analysis," Discussion Papers in Economics 10993, University of Munich, Department of Economics.
  100. Curcuru, Stephanie E. & Thomas, Charles P. & Warnock, Francis E. & Wongswan, Jon, 2014. "Uncovered Equity Parity and rebalancing in international portfolios," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 86-99.
  101. GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994. "Comovements in Large Systems," CORE Discussion Papers 1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  102. D Brookfield & A Azizan, 2006. "Contagion and the Role of Market Development: the Case of the Malaysian Futures Market during the East Asian Crisis of 1997," Economic Issues Journal Articles, Economic Issues, vol. 11(2), pages 1-18, September.
  103. Hüseyin Dağli; & Uğur Sivri & Semra Bank, 2012. "International portfolio diversification opportunities between Turkey and other emerging markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(1), pages 4-23.
  104. Guglielmo Maria Caporale & Nicola Spagnolo, 2010. "Stock Market Integration between three CEECs, Russia and the UK," CESifo Working Paper Series 2978, CESifo Group Munich.
  105. He, Hui & Locke, Peter, 2011. "Global trends in real risk free rates," Research in International Business and Finance, Elsevier, vol. 25(1), pages 53-63, January.
  106. José Torres, 2007. "A non-parametric analysis of ERM exchange rate fundamentals," Empirical Economics, Springer, vol. 32(1), pages 67-84, April.
  107. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236 Bank for International Settlements.
  108. Virk, Nader & Javed, Farrukh, 2017. "European equity market integration and joint relationship of conditional volatility and correlations," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 53-77.
  109. Choudhry, Taufiq, 2003. "Stock market volatility and the US consumer expenditure," Journal of Macroeconomics, Elsevier, vol. 25(3), pages 367-385, September.
  110. Paulo Rogério Faustino Matos & Christiano Modesto Penna & Ana Balbina Gomes Silva, 2015. "Mutual Investments Funds in Shares in Brazil: Incentives, Management and Convergence," Brazilian Business Review, Fucape Business School, vol. 12(2), pages 110-144, March.
  111. Jose Antonio R. Tan, III, 1998. "Contagion effects during the Asian financial crisis: stock price data," Pacific Basin Working Paper Series 98-06, Federal Reserve Bank of San Francisco.
  112. Francisca Pérez, 2013. "Are International Market Linkages Stronger? Comparison between 1990s and 2000s," Working Papers Central Bank of Chile 687, Central Bank of Chile.
  113. Yusaku Nishimura, 2010. "The paradox of China's international stock market co-movement," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing, vol. 3(3), pages 235-253, October.
  114. Ceylan Onay & Gözde Ünal, 2012. "Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(1), pages 66-90, February.
  115. Ahlgren, Niklas & Antell, Jan, 2006. "Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series," Working Papers 519, Hanken School of Economics.
  116. Aldrin Herwany & Erie Febrian, 2009. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," Working Papers in Economics and Development Studies (WoPEDS) 200909, Department of Economics, Padjadjaran University, revised Sep 2009.
  117. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004.
  118. Shamsuddin, Abul F. M. & Kim, Jae H., 2003. "Integration and interdependence of stock and foreign exchange markets: an Australian perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 237-254, July.
  119. Huh, Hyeon-seung & Kim, David, 2013. "An empirical test of exogenous versus endogenous growth models for the G-7 countries," Economic Modelling, Elsevier, vol. 32(C), pages 262-272.
  120. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37 Bank for International Settlements.
  121. Xu, Xiaoqing Eleanor & Fung, Hung-Gay, 2005. "Cross-market linkages between U.S. and Japanese precious metals futures trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 107-124, April.
  122. Hina, Hafsa & Qayyum, Abdul, 2015. "Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis," MPRA Paper 61997, University Library of Munich, Germany.
  123. Anthony J. Richards, 1996. "Comovements in National Stock Market Returns; Evidence of Predictability But Not Cointegration," IMF Working Papers 96/28, International Monetary Fund.
  124. Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014. "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper 57064, University Library of Munich, Germany.
  125. 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), vol. 138(III), pages 317-328, September.
  126. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
  127. Yeo, JunHo & Ahn, Sung K. & Holland, David W., 2001. "Labor Market Behavior In Washington: A Cointegration Approach," 2001 Annual meeting, August 5-8, Chicago, IL 20614, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  128. Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates," Textos para discussão 401, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  129. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Working papers 159, Banque de France.
  130. Claudio Morana, 2009. "An omnibus noise filter," Computational Statistics, Springer, vol. 24(3), pages 459-479, August.
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