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Citations for "Spillovers Across U.S. Financial Markets"

by Roberto Rigobon & Brian Sack

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  1. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization; What Do the Data Reveal About Causality?," IMF Working Papers 07/33, International Monetary Fund.
  2. Jón Dan�elsson & Ryan Love, 2006. "Feedback trading This paper is also available at www.riskresearch.org," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 35-53.
  3. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, . "Multivariate GARCH models: a survey," CORE Discussion Papers RP -1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Lee, Ha Yan & Ricci, Luca Antonio & Rigobon, Roberto, 2004. "Once again, is openness good for growth?," Journal of Development Economics, Elsevier, vol. 75(2), pages 451-472, December.
  5. Rigobon, Roberto & Rodrik, Dani, 2004. "Rule of Law, Democracy, Openness and Income: Estimating the Interrelationships," CEPR Discussion Papers 4653, C.E.P.R. Discussion Papers.
  6. Weber, Enzo, 2007. "Who Leads Financial Markets?," MPRA Paper 5099, University Library of Munich, Germany, revised Oct 2007.
  7. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 47190, University Library of Munich, Germany, revised 17 May 2013.
  8. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, School of Economics and Management, University of Aarhus.
  9. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October.
  10. 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.
  11. Enzo Weber, 2010. "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
  12. Giot, Pierre & Petitjean, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," International Journal of Forecasting, Elsevier, vol. 23(2), pages 289-305.
  13. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," CORE Discussion Papers 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  14. Ahmet Sensoy & Cihat Sobaci, 2013. "Effects Of Volatility Shocks On The Dynamic Linkages Between Exchange Rate, Interest Rate And The Stock Market: The Case Of Turkey," Working Paper 10, Research and Business Development Department, Borsa Istanbul.
  15. John Beirne & Jana Gieck, 2014. "Interdependence and Contagion in Global Asset Markets," Review of International Economics, Wiley Blackwell, vol. 22(4), pages 639-659, 09.
  16. Gordon de Brouwer, 2003. "Discussion of 'It Takes More Than a Bubble to Become Japan'," RBA Annual Conference Volume, in: Anthony Richards & Tim Robinson (ed.), Asset Prices and Monetary Policy Reserve Bank of Australia.
  17. Mulyadi, Martin Surya, 2009. "Volatility spillover in Indonesia, USA, and Japan capital market," MPRA Paper 16914, University Library of Munich, Germany.
  18. Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012. "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-24, January.
  19. de Wet, W.A., 2006. "A structural GARCH model: An application on South African data," Economic Modelling, Elsevier, vol. 23(5), pages 775-791, September.
  20. Campbell, John Y & Viceira, Luis M, 2005. "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers 4914, C.E.P.R. Discussion Papers.
  21. Julius Moschitz, 2004. "Spillovers across High Yield Markets," Finance 0412024, EconWPA.
  22. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
  23. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
  24. Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 297-310, November.
  25. Elena Corallo, 2007. "The effect of the war risk: a comparison of the consequences of the two Iraq wars," International Review of Economics, Springer, vol. 54(3), pages 371-382, September.
  26. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, School of Economics and Management, University of Aarhus.
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