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Citations for "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis"

by Andrew Worthington & Helen Higgs

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  1. repec:ipg:wpaper:2014-500 is not listed on IDEAS
  2. Manuel A. Hernandez & Raul Ibarra & Danilo R. Trupkin, 2014. "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 41(2), pages 301-325.
  3. Ellul, Reuben, 2015. "Analysing correlation between the MSE index and global stock markets," MPRA Paper 72464, University Library of Munich, Germany.
  4. Shenqiu Zhang & Ivan Paya & David Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(23), pages 1847-1857.
  5. 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.
  6. Carlos Bautista & Philippe Rous & Amine Tarazi, 2008. "The Determinants of Domestic and Cross Border Bank Contagion Risk in Southeast Asia," Revue économique, Presses de Sciences-Po, vol. 59(6), pages 1215-1242.
  7. Saleem, Kashif & Vaihekoski, Mika, 2010. "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 686-697, October.
  8. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
  9. 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, 11.
  10. Leoni Eleni Oikonomikou, 2016. "Modeling Financial Market Volatility in Transition Markets: A Multivariate Case," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 204, Courant Research Centre PEG.
  11. Priyanka Singh & Brajesh Kumar & Pandey, Ajay, . "Price and Volatility Spillovers across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Market," IIMA Working Papers WP2008-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department.
  12. 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.
  13. repec:ecu:wpaper:2010-01 is not listed on IDEAS
  14. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  15. Abdul Hakim & Michael McAleer, 2009. "Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets," CIRJE F-Series CIRJE-F-663, CIRJE, Faculty of Economics, University of Tokyo.
  16. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
  17. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series 2794, CESifo Group Munich.
  18. 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.
  19. van Dieijen, M. & Borah, A. & Tellis, G.J. & Franses, Ph.H.B.F., 2016. "Volatility Spillovers Across User-Generated Content and Stock Market Performance," ERIM Report Series Research in Management ERS-2016-008-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  20. Horvath Roman & Poldauf Petr, 2012. "International Stock Market Comovements: What Happened during the Financial Crisis?," Global Economy Journal, De Gruyter, vol. 12(1), pages 1-21, March.
  21. Singh, Priyanka & Kumar, Brajesh & Pandey, Ajay, 2010. "Price and volatility spillovers across North American, European and Asian stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 55-64, January.
  22. David E. Giles & Yanan Li, 2013. "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets," Econometrics Working Papers 1301, Department of Economics, University of Victoria.
  23. Kuttu, Saint, 2014. "Return and volatility dynamics among four African equity markets: A multivariate VAR-EGARCH analysis," Global Finance Journal, Elsevier, vol. 25(1), pages 56-69.
  24. Claus, Edda & Lucey, Brian M., 2012. "Equity market integration in the Asia Pacific region: Evidence from discount factors," Research in International Business and Finance, Elsevier, vol. 26(2), pages 137-163.
  25. 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.
  26. Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy & Vo, Tuan Kiet, 2015. "The transmission of market shocks and bilateral linkages: Evidence from emerging economies," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 349-357.
  27. Balli, Faruk & Hajhoj, Hassan Rafdan & Basher, Syed Abul & Ghassan, Hassan Belkacem, 2015. "An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 311-325.
  28. Viviana Fernandez, 2004. "Time-Scale Decomposition of Price Transmission in International Markets," Documentos de Trabajo 189, Centro de Economía Aplicada, Universidad de Chile.
  29. Loh, Lixia, 2013. "Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 29(C), pages 1-13.
  30. Gardebroek, Cornelis & Hernandez, Manuel A., 2013. "Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets," Energy Economics, Elsevier, vol. 40(C), pages 119-129.
  31. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2016. "Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 96-114.
  32. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia.
  33. Marcel Aloy & Gilles De Truchis & Gilles Dufrénot & Benjamin Keddad, 2013. "Shift-Volatility Transmission in East Asian Equity Markets," Working Papers halshs-00935364, HAL.
  34. repec:lan:wpaper:2594 is not listed on IDEAS
  35. Viviana Fernández, 2006. "Extremal dependence in European capital markets," Journal of Applied Economics, Universidad del CEMA, vol. 9, pages 275-293, November.
  36. 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.
  37. Joshi Prashant, 2014. "Volatility Interactions among India and US Stock Markets," Case Studies in Business and Management, Macrothink Institute, vol. 1(1), pages 107-117, June.
  38. Katharina Diekmann, 2011. "Are there Spillover Effects from Hong Kong and the United States to Chinese Stock Markets?," Working Papers 89, Institute of Empirical Economic Research.
  39. Gallo, Giampiero M. & Otranto, Edoardo, 2015. "Forecasting realized volatility with changing average levels," International Journal of Forecasting, Elsevier, vol. 31(3), pages 620-634.
  40. repec:lan:wpaper:2371 is not listed on IDEAS
  41. Sin, Chor-Yiu (CY), 2013. "Using CARRX models to study factors affecting the volatilities of Asian equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 552-564.
  42. repec:lan:wpaper:2452 is not listed on IDEAS
  43. Angi RÖSCH & Harald SCHMIDBAUER, . "The Dependency of Extreme Returns on Stock Indices Across Borders in Bull and Bear Periods," EcoMod2004 330600120, EcoMod.
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