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Citations for "Transmission of Volatility Between Stock Markets"

by Mervyn A. King & Sushil Wadhwani

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  1. Bailey, Warren & Choi, J. Jay, 2003. "International market linkages," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 399-404.
  2. Toni Gravelle & Maral Kichian & James Morley, 2003. "Shift Contagion in Asset Markets," Working Papers 03-5, Bank of Canada.
  3. David Matesanz & Guillermo Ortega, 2014. "Network analysis of exchange data: interdependence drives crisis contagion," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 1835-1851, July.
  4. 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, vol. 42(2), pages 223-235.
  5. Nikola Gradojević & Eldin Dobardžić, 2013. "Causality between Regional Stock Markets: A Frequency Domain Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(5), pages 633-647, September.
  6. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 17-42.
  7. Andrew S. Duncan & Alain Kabundi, 2011. "Volatility Spillovers across South African Asset Classes during Domestic and Foreign," Working Papers 202, Economic Research Southern Africa.
  8. William Goetzmann & Zoran Ivkovich & K. Rouwenhorst, 2000. "Day Trading International Mutual Funds: Evidence And Policy Solutions," Yale School of Management Working Papers ysm138, Yale School of Management, revised 01 Jun 2001.
  9. Fabio Trojani & Francesco Audrino, 2005. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005 2005-04, Department of Economics, University of St. Gallen.
  10. Hakim, Abdul & McAleer, Michael, 2009. "Forecasting conditional correlations in stock, bond and foreign exchange markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2830-2846.
  11. Juan Pablo Jimeno, 1995. "Transmisión de volatilidad: el caso español en la crisis de 1992," Investigaciones Economicas, Fundación SEPI, vol. 19(1), pages 107-125, January.
  12. Khaled Guesmi & Ilyes Abid & Olfa Kaabia, 2014. "Conditional Correlations and Volatility Spillovers between Crude Oil and Oil- exporting and importing countries," Working Papers 2014-334, Department of Research, Ipag Business School.
  13. Burdekin, Richard C.K. & Siklos, Pierre L., 2012. "Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–2010," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 521-541.
  14. Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004. "Return-volatility linkages in the international equity and currency markets," Finance 0405022, EconWPA.
  15. Fooladi, Iraj J. & Rumsey, John, 2006. "Globalization and portfolio risk over time: The role of exchange rate," Review of Financial Economics, Elsevier, vol. 15(3), pages 223-236.
  16. Evzen Kocenda & Vit Bubak & Filip Zikes, 2011. "Volatility Transmission in Emerging European Foreign Exchange Markets," William Davidson Institute Working Papers Series wp1020, William Davidson Institute at the University of Michigan.
  17. Faten Ben Slimane & Mohamed Mehanaoui & Irfan Akbar Kazi, 2013. "How Does the Financial Crisis Affect Volatility Behavior and Transmission Among European Stock Markets?," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(3), pages 81-101, August.
  18. 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.
  19. 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.
  20. Ibrahim A. Onour, 2009. "Financial integration of GCC capital markets: evidence of non-linear cointegration," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 1(3), pages 251-265.
  21. Christodoulakis, George A. & Satchell, Stephen E., 2002. "Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns," European Journal of Operational Research, Elsevier, vol. 139(2), pages 351-370, June.
  22. 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.
  23. Edwards, Sebastian & Susmel, Raul, 2001. "Volatility dependence and contagion in emerging equity markets," Journal of Development Economics, Elsevier, vol. 66(2), pages 505-532, December.
  24. Kenourgios, Dimitris & Padhi, Puja, 2012. "Emerging markets and financial crises: Regional, global or isolated shocks?," Journal of Multinational Financial Management, Elsevier, vol. 22(1), pages 24-38.
  25. Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.
  26. Hsin, Chin-Wen, 2004. "A multilateral approach to examining the comovements among major world equity markets," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 433-462.
  27. Abdulnasser Hatemi-J & R. Scott Hacker, 2005. "An alternative method to test for contagion with an application to the Asian financial crisis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(6), pages 343-347, November.
  28. Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
  29. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, School of Economics and Management.
  30. 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, vol. 16(3), pages 259-273.
  31. Clément REY & Serge REY & Jean-Renaud VIALA, 2013. "Detection of High and Low States in Stock Market Returns with MCMC Method in a Markov Switching Model," Working Papers 2012-2013_11, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Jul 2013.
  32. Jordi Mondria & Climent Quintana‐Domeque, 2013. "Financial Contagion and Attention Allocation," Economic Journal, Royal Economic Society, vol. 123(568), pages 429-454, 05.
  33. repec:wyi:journl:002098 is not listed on IDEAS
  34. 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, vol. 47(2), pages 312-330, May.
  35. Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2014. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.], University of Cologne, Centre for Financial Research (CFR).
  36. Kjell G. NYBORG & Per OSTBERG, 2009. "Money and Liquidity in Financial Markets," Swiss Finance Institute Research Paper Series 10-25, Swiss Finance Institute, revised Jun 2010.
  37. 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.
  38. Lee, Cheng F & Rui, Oliver M, 2000. " Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets," Review of Quantitative Finance and Accounting, Springer, vol. 14(4), pages 341-60, June.
  39. Christiansen, Charlotte & Ranaldo, Angelo, 2009. "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1048-1057, June.
  40. Connor, Gregory & Suurlaht, Anita, 2013. "Dynamic stock market covariances in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
  41. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
  42. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2012. "Short-term wholesale funding and systemic risk: A global CoVaR approach," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3150-3162.
  43. Mondria, Jordi, 2010. "Portfolio choice, attention allocation, and price comovement," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1837-1864, September.
  44. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005.
  45. 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.
  46. Lin, Wen-Ling, 1995. "Market closure and predictability of intradaily stock returns in the United States and Japan," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 19-44, March.
  47. Simplice A. ASONGU, 2012. "Globalization, Financial Crisis And Contagion: Time - Dynamic Evidence From Financial Markets Of Developing Countries," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(2), pages 131-139, January.
  48. Ciccarelli, Matteo & Rebucci, Alessandro, 2003. "Measuring contagion with a Bayesian, time-varying coefficient model," Working Paper Series 0263, European Central Bank.
  49. Gannon, Gerard, 2005. "Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 326-336.
  50. Francois Chesnay & Eric Jondeau, 2001. "Does Correlation Between Stock Returns Really Increase During Turbulent Periods?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, 02.
  51. Nagayasu, Jun, 2010. "Economic Factors Contributing to Time-Varying Conditional Correlations in Stock Returns," MPRA Paper 28391, University Library of Munich, Germany.
  52. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
  53. L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  54. Hon, Mark T. & Strauss, Jack K. & Yong, Soo-Keong, 2007. "Deconstructing the Nasdaq bubble: A look at contagion across international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 213-230, July.
  55. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
  56. Lee, Hyun-Hoon & Park, Cyn-Young & Byun, Hyung-suk, 2013. "Do contagion effects exist in capital flow volatility?," Journal of the Japanese and International Economies, Elsevier, vol. 30(C), pages 76-95.
  57. Asongu Simplice, 2013. "Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters," Working Papers 13/035, African Governance and Development Institute..
  58. Durdyev, Ruslan & Peresetsky, Anatoly, 2014. "Autocorrelation in the global stochastic trend," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 39-58.
  59. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2010. "Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis," Emerging Markets Review, Elsevier, vol. 11(3), pages 250-260, September.
  60. Craig, Alastair & Dravid, Ajay & Richardson, Matthew, 1995. "Market efficiency around the clock Some supporting evidence using foreign-based derivatives," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 161-180.
  61. Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series 0452, European Central Bank.
  62. 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.
  63. repec:wyi:journl:002068 is not listed on IDEAS
  64. Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers 06/09, Department of Economics, City University London.
  65. Thomas Kraus, 2001. "The Impact of the EMUon the Structure of European Equity Returns; An Empirical Analysis of the First 21 Months," IMF Working Papers 01/84, International Monetary Fund.
  66. Ahrend, Rudiger & Goujard, Antoine, 2014. "Are all forms of financial integration equally risky? Asset price contagion during the global financial crisis," Journal of Financial Stability, Elsevier, vol. 14(C), pages 35-53.
  67. Laura E. Kodres & Matthew Pritsker, 1998. "A rational expectations model of financial contagion," Finance and Economics Discussion Series 1998-48, Board of Governors of the Federal Reserve System (U.S.).
  68. Kim, Bong-Han & Kim, Hyeongwoo & Min, Hong-Ghi, 2013. "Reassessing the link between the Japanese yen and emerging Asian currencies," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 306-326.
  69. Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George, 2012. "Volatility spillovers and the effect of news announcements," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2260-2273.
  70. 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, vol. 1(1), pages 64-74.
  71. Claudio E. V. Borio & Robert N. McCauley, 1996. "The Anatomy of the Bond Market Turbulence of 1994," Economics Working Paper Archive wp_159, Levy Economics Institute.
  72. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008. "Contagion as Domino Effect in Global Stock Markets," ERIM Report Series Research in Management ERS-2008-071-F&A, 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.
  73. Khaled Guesmi & Salma Fattoum, 2014. "Measuring contagion effects between crude oil and OECD stock markets," Working Papers 2014-090, Department of Research, Ipag Business School.
  74. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  75. Belén Martín-Barragán & Sofía B. Ramos & Helena Veiga, 2013. "Correlations between oil and stock markets : a wavelet-based approach," Statistics and Econometrics Working Papers ws130504, Universidad Carlos III, Departamento de Estadística y Econometría.
  76. 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, vol. 9(3), pages 287-299.
  77. 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, vol. 25(C), pages 62-82.
  78. 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.
  79. Ginny ju-ann Yang & Koyin Chang & Yung-Hsiang Ying & Chen-hsun Lee, 2014. "Spillover Effects of Chinese Stock Markets," Economics Bulletin, AccessEcon, vol. 34(1), pages 200-205.
  80. El GHINI, Ahmed & SAIDI, Youssef, 2013. "Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market," MPRA Paper 53392, University Library of Munich, Germany.
  81. 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.
  82. El Alaoui, Marwane & Benbachir, Saâd, 2012. "Spillover Effect in the MENA Area: Case of Four Financial Markets," MPRA Paper 48682, University Library of Munich, Germany.
  83. Edwards, Sebastian & Biscarri, Javier Gomez & Perez de Gracia, Fernando, 2003. "Stock market cycles, financial liberalization and volatility," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 925-955, December.
  84. Bertrand Candelon & Sessi Tokpavi, 2014. "A Nonparametric Test for Grangercausality in Distribution with Application to Financial Contagion," Working Papers 2014-162, Department of Research, Ipag Business School.
  85. Lakshmi Balasubramanyan, 2005. "Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?," Finance 0509002, EconWPA.
  86. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
  87. Ben Rejeb, Aymen & Boughrara, Adel, 2014. "Financial integration in emerging market economies: effects on volatility transmission and contagion," MPRA Paper 61519, University Library of Munich, Germany.
  88. Rudiger Ahrend & Antoine Goujard, 2012. "International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil?: Asset Price Contagion During the Global Financial ," OECD Economics Department Working Papers 969, OECD Publishing.
  89. Marais, Elise & Bates, Samuel, 2006. "An empirical study to identify shift contagion during the Asian crisis," Economics Papers from University Paris Dauphine 123456789/272, Paris Dauphine University.
  90. 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.
  91. 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.
  92. 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.
  93. Joseph, Nathan Lael, 2003. "Predicting returns in U.S. financial sector indices," International Journal of Forecasting, Elsevier, vol. 19(3), pages 351-367.
  94. 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, vol. 11(2), pages 109-118.
  95. Beltratti, Andrea E & Shiller, Robert J, 1993. "Actual and Warranted Relations between Asset Prices," Oxford Economic Papers, Oxford University Press, vol. 45(3), pages 387-402, July.
  96. Arfaoui, Mongi & Ben Rejeb, Aymen, 2015. "Return dynamics and volatility spillovers between FOREX and MENA stock markets: what to remember for portfolio choice?," MPRA Paper 61520, University Library of Munich, Germany.
  97. 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.
  98. Mierau, Jochen O. & Mink, Mark, 2013. "Are stock market crises contagious? The role of crisis definitions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4765-4776.
  99. van Dijk, D.J.C. & Osborn, D.R. & Sensier, M., 2004. "Testing for causality in variance in the presence of breaks," Econometric Institute Research Papers EI 2004-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  100. Ye, Wuyi & Liu, Xiaoquan & Miao, Baiqi, 2012. "Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions," European Journal of Operational Research, Elsevier, vol. 222(1), pages 96-103.
  101. Dungey, Mardi & Gajurel, Dinesh, 2014. "Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies," Economic Systems, Elsevier, vol. 38(2), pages 161-177.
  102. Yushi Yoshida, 2010. "Is this time different for Asia?: Evidence from stock Markets," Discussion Papers 40, Kyushu Sangyo University, Faculty of Economics.
  103. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
  104. Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2001. "A new approach to measuring financial contagion," Proceedings 743, Federal Reserve Bank of Chicago.
  105. 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.
  106. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
  107. Manning, Neil, 2002. "Common trends and convergence? South East Asian equity markets, 1988-1999," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 183-202, April.
  108. Christiansen, Charlotte, 2003. "Volatility-Spillover E ffects in European Bond Markets," Finance Working Papers 03-8, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  109. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May.
  110. Manner Hans & Candelon Bertrand, 2007. "Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas," Research Memorandum 052, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  111. Chris Stivers & Licheng Sun, 2002. "Stock market uncertainty and the relation between stock and bond returns," Working Paper 2002-3, Federal Reserve Bank of Atlanta.
  112. Brian M Lucey & Cal Muckley, 2011. "Robust Global Stock Market Interdependencies," The Institute for International Integration Studies Discussion Paper Series iiisdp353, IIIS.
  113. 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, vol. 27(C), pages 248-268.
  114. Onour, Ibrahim, 2009. "Financial Integration of North Africa Stock Markets," MPRA Paper 14938, University Library of Munich, Germany.
  115. 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.
  116. 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.
  117. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
  118. 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.
  119. Roberto Rigobon, 1999. "On the Measurement of the International Propagation of Shocks," NBER Working Papers 7354, National Bureau of Economic Research, Inc.
  120. Ramchand, Latha & Susmel, Raul, 1998. "Variances and covariances of international stock returns: the international capital asset pricing model revisited," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 39-57, January.
  121. Hartwell , Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies: a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
  122. Daniel Daugaard & Tom Valentine, 1992. "Share Prices: A Comparison of Fundamental Models," Working Paper Series 20, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  123. John Cotter & Stuart Gabriel & Richard Roll, 2011. "Integration and Contagion in US Housing Markets," Working Papers 201131, Geary Institute, University College Dublin.
  124. Allen, Franklin & Gu, Xian & Kowalewski, Oskar, 2012. "Financial crisis, structure and reform," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2960-2973.
  125. Gregory H. Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Working Papers 04-47, Bank of Canada.
  126. Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers) 407, Bank of Italy, Economic Research and International Relations Area.
  127. 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.
  128. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
  129. Randall J. Pozdena, 1991. "Is banking really prone to panics?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct11.
  130. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885.
  131. Sebastian Edwards & Raul Susmel, 2000. "Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s," NBER Working Papers 7813, National Bureau of Economic Research, Inc.
  132. Marc Joëts, 2012. "Energy price transmissions during extreme movements," EconomiX Working Papers 2012-38, University of Paris West - Nanterre la Défense, EconomiX.
  133. Simplice A, Asongu, 2011. "Political crises and risk of financial contagion in developing countries: Evidence from Africa," MPRA Paper 37459, University Library of Munich, Germany.
  134. Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, vol. 24(6), pages 525-538, November.
  135. Ribeiro, André L.P. & Hotta, Luiz K., 2013. "An analysis of contagion among Asian countries using the canonical model of contagion," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 62-69.
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