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Simultaneous stochastic volatility transmission across american equity markets

Weber, Enzo (contributor) - 2008

solved by considering heteroscedasticity of the structural volatility innovations, and estimation takes place in an … market to three American countries are revealed. The impact is strongest for Canada, followed by Mexico and Brazil, which are …

Persistent link: https://www.econbiz.de/10003727720

Simultaneous stochastic volatility transmission across American equity markets

Weber, Enzo - In: The quarterly review of economics and finance : journal … 53 (2013) 1, pp. 53-60

Persistent link: https://www.econbiz.de/10009721374

Co-movements of sector index returns in the world's major stock markets in bull and bear markets : portfolio diversification implications

Meriç, İlhan; Ratner, Mitchell; Meriç, Gülser - In: International review of financial analysis 17 (2008) 1, pp. 156-177

Persistent link: https://www.econbiz.de/10003765315

Comovements in international stock markets : what can we learn from a common trend-common cycle analysis?

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - In: De economist : Netherlands economic review ; quarterly … 148 (2000) 3, pp. 395-406

Persistent link: https://www.econbiz.de/10001508864

Choice of copulas in explaining stock market contagion

Lim, Kian-Guan - In: Uncertainty analysis in econometrics with applications …, (pp. 129-140). 2013

Persistent link: https://www.econbiz.de/10009711158

The relationship between the Vietnam stock market and its major trading partners : TECM with bivariate asymmetric GARCH model

Chang, Hsu-Ling; Su, Chi-Wei - In: Applied economics letters 17 (2010) 13/15, pp. 1279-1283

Persistent link: https://www.econbiz.de/10008938309

Contagion and impulse response of international stock markets around the 9-11 terrorist attacks

Mun, C. Kyung-Chun - In: Global finance journal 16 (2005) 1, pp. 48-68

Persistent link: https://www.econbiz.de/10003081331

An empirical analysis of the capital markets' response to cataclysmic events

Chen, Andrew H. (contributor); Siems, Thomas F. (contributor) - In: The economic consequences of global terrorism. 2002

Persistent link: https://www.econbiz.de/10001696477

Asymmetric effects, conditional volatility, inter-influences, and predictability in Asian stock markets

Abid, Fathi; Mikhail, Azmi D. - In: Global economy quarterly 1 (2000) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10001613378

Stock market exuberance : linkages between the US and the European markets

Cifarelli, Giulio; Paladino, Giovanna - 2000

Persistent link: https://www.econbiz.de/10001604060

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