-
1
-
-
33748805135
-
Measuring international economic linkages with stock market data
-
forthcoming
-
Ammer, J., and J. Mei, 1994, Measuring international economic linkages with stock market data, Journal of Finance, forthcoming.
-
(1994)
Journal of Finance
-
-
Ammer, J.1
Mei, J.2
-
3
-
-
0000299255
-
Good news, bad news, and international spillovers of stock return volatility between Japan and the U.S
-
Bae, K.-H., and G. A. Karolyi, 1994, Good news, bad news, and international spillovers of stock return volatility between Japan and the U.S., Pacific-Basin Finance Journal 2, 405-438.
-
(1994)
Pacific-basin Finance Journal
, vol.2
, pp. 405-438
-
-
Bae, K.-H.1
Karolyi, G.A.2
-
4
-
-
84993905064
-
Time-varying world market integration
-
Bekaert, G., and C. Harvey, 1995, Time-varying world market integration, Journal of Finance 50, 403-444.
-
(1995)
Journal of Finance
, vol.50
, pp. 403-444
-
-
Bekaert, G.1
Harvey, C.2
-
5
-
-
84977718189
-
Characterizing predictable components in excess returns on equity and foreign exchange markets
-
Bekaert, G., and R. Hodrick, 1992, Characterizing predictable components in excess returns on equity and foreign exchange markets, Journal of Finance 47, 467-511.
-
(1992)
Journal of Finance
, vol.47
, pp. 467-511
-
-
Bekaert, G.1
Hodrick, R.2
-
6
-
-
0001211603
-
Estimation and inference in nonlinear structural models
-
Berndt, E., B. Hall, R. Hall, and J. Hausman, 1974, Estimation and inference in nonlinear structural models, Annals of Economic and Social Measurement 3, 653-665.
-
(1974)
Annals of Economic and Social Measurement
, vol.3
, pp. 653-665
-
-
Berndt, E.1
Hall, B.2
Hall, R.3
Hausman, J.4
-
7
-
-
0002629587
-
Investing in ADRs: Characteristics of an ADR portfolio
-
Bertolotti, A., and B. Enyeart, 1995, Investing in ADRs: Characteristics of an ADR portfolio, BARRA Newsletter 156, Spring, 1-3.
-
(1995)
BARRA Newsletter
, vol.156
, Issue.SPRING
, pp. 1-3
-
-
Bertolotti, A.1
Enyeart, B.2
-
8
-
-
42449156579
-
Generalized autoregressive conditional heteroscedasticity
-
Bollerslev, T., 1986, Generalized autoregressive conditional heteroscedasticity, Journal of Econometrics 31, 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
9
-
-
0001199238
-
ARCH modeling in finance: A review of the theory and empirical evidence
-
Bollerslev, T., R. Chou, and K. Kroner, 1992, ARCH modeling in finance: A review of the theory and empirical evidence, Journal of Econometrics 37, 231-356.
-
(1992)
Journal of Econometrics
, vol.37
, pp. 231-356
-
-
Bollerslev, T.1
Chou, R.2
Kroner, K.3
-
10
-
-
70349218800
-
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
-
Bollerslev, T. and J. Wooldridge, 1992, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews 11, 143-172.
-
(1992)
Econometric Reviews
, vol.11
, pp. 143-172
-
-
Bollerslev, T.1
Wooldridge, J.2
-
11
-
-
0344839169
-
Stock returns and the term structure
-
Campbell, J. Y., 1987, Stock returns and the term structure, Journal of Financial Economics 18, 375-399.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 375-399
-
-
Campbell, J.Y.1
-
12
-
-
84960563837
-
Trading volume and serial correlation in stock returns
-
Campbell, J. Y., S. J. Grossman, and J. Wang, 1993, Trading volume and serial correlation in stock returns, Quarterly Journal of Economics 108, 905-940.
-
(1993)
Quarterly Journal of Economics
, vol.108
, pp. 905-940
-
-
Campbell, J.Y.1
Grossman, S.J.2
Wang, J.3
-
13
-
-
84977709173
-
Predictable stock returns in the United States and Japan: A study of long-term capital market integration
-
Campbell, J. Y., and Y. Hamao, 1992, Predictable stock returns in the United States and Japan: A study of long-term capital market integration, Journal of Finance 47, 43-69.
-
(1992)
Journal of Finance
, vol.47
, pp. 43-69
-
-
Campbell, J.Y.1
Hamao, Y.2
-
14
-
-
0040963697
-
Information, trading and stock returns: Lessons from dually-listed securities
-
forthcoming
-
Chan, K. C., W.-M. Fong, B.-C. Kho, and R. M. Stulz, 1995, Information, trading and stock returns: Lessons from dually-listed securities, Journal of Banking and Finance, forthcoming.
-
(1995)
Journal of Banking and Finance
-
-
Chan, K.C.1
Fong, W.-M.2
Kho, B.-C.3
Stulz, R.M.4
-
15
-
-
44049114170
-
Global financial markets and the risk premium on U.S. Equity
-
Chan, K. C., G. A. Karolyi, and R. M. Stulz, 1992, Global financial markets and the risk premium on U.S. equity, Journal of Financial Economics 32, 137-167.
-
(1992)
Journal of Financial Economics
, vol.32
, pp. 137-167
-
-
Chan, K.C.1
Karolyi, G.A.2
Stulz, R.M.3
-
17
-
-
0001629190
-
Market efficiency around the clock: Some supporting evidence using foreign-based derivatives
-
Craig, A., A. Dravid, and M. Richardson, 1995, Market efficiency around the clock: Some supporting evidence using foreign-based derivatives, Journal of Financial Economics 39, 161-180.
-
(1995)
Journal of Financial Economics
, vol.39
, pp. 161-180
-
-
Craig, A.1
Dravid, A.2
Richardson, M.3
-
19
-
-
84993867978
-
How markets process information: News releases and volatility
-
Ederington, L. H., and J. H. Lee, 1993, How markets process information: News releases and volatility, Journal of Finance, 1161-1192.
-
(1993)
Journal of Finance
, pp. 1161-1192
-
-
Ederington, L.H.1
Lee, J.H.2
-
20
-
-
0000051984
-
Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation
-
Engle, R., 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation, Econometrica 50, 987-1008.
-
(1982)
Econometrica
, vol.50
, pp. 987-1008
-
-
Engle, R.1
-
22
-
-
0013115233
-
-
Working paper, McGill University
-
Errunza, V., K. Hogan, and M.-W. Hung, 1995, Characterizing world market integration through time, Working paper, McGill University.
-
(1995)
Characterizing World Market Integration Through Time
-
-
Errunza, V.1
Hogan, K.2
Hung, M.-W.3
-
23
-
-
84977707061
-
Stock returns, expected returns, and real activity
-
Fama, E., 1990, Stock returns, expected returns, and real activity, Journal of Finance 5, 1089-1108.
-
(1990)
Journal of Finance
, vol.5
, pp. 1089-1108
-
-
Fama, E.1
-
24
-
-
84936823605
-
Permanent and temporary components of stock prices
-
Fama, E., and K. French, 1988, Permanent and temporary components of stock prices, Journal of Political Economy 96, 246-273.
-
(1988)
Journal of Political Economy
, vol.96
, pp. 246-273
-
-
Fama, E.1
French, K.2
-
25
-
-
84934453931
-
The variation of economic risk premiums
-
Ferson, W., and C. Harvey, 1991, The variation of economic risk premiums, Journal of Political Economy 99, 385-415.
-
(1991)
Journal of Political Economy
, vol.99
, pp. 385-415
-
-
Ferson, W.1
Harvey, C.2
-
27
-
-
0001698432
-
Correlations in price changes and volatility across international stock markets
-
Hamao, Y., R. Masulis, and V. Ng, 1990, Correlations in price changes and volatility across international stock markets, Review of Financial Studies 3, 281-308.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 281-308
-
-
Hamao, Y.1
Masulis, R.2
Ng, V.3
-
28
-
-
84977722638
-
The world price of covariance risk
-
Harvey, C., 1991, The world price of covariance risk, Journal of Finance 46, 111-159.
-
(1991)
Journal of Finance
, vol.46
, pp. 111-159
-
-
Harvey, C.1
-
29
-
-
0002268752
-
Does industrial structure explain the benefits of international diversification?
-
Heston, S. L., and K. G. Rouwenhorst, 1994, Does industrial structure explain the benefits of international diversification? Journal of Financial Economics, 3-28.
-
(1994)
Journal of Financial Economics
, pp. 3-28
-
-
Heston, S.L.1
Rouwenhorst, K.G.2
-
31
-
-
84992529786
-
Volatility and links between national stock markets
-
King, M., E. Sentana, and S. Wadhwani, 1994, Volatility and links between national stock markets, Econometrica 62, 901-934.
-
(1994)
Econometrica
, vol.62
, pp. 901-934
-
-
King, M.1
Sentana, E.2
Wadhwani, S.3
-
34
-
-
0000264314
-
Do bulls and bears move across borders? transmission of international stock returns and volatility
-
Lin, W. L., R. F. Engle, and T. Ito, 1994, Do bulls and bears move across borders? Transmission of international stock returns and volatility, Review of Financial Studies 7, 507-538.
-
(1994)
Review of Financial Studies
, vol.7
, pp. 507-538
-
-
Lin, W.L.1
Engle, R.F.2
Ito, T.3
-
35
-
-
0002525307
-
Is the correlation in international equity returns constant: 1970-1990
-
Longin, F. and B. Solnik, 1995, Is the correlation in international equity returns constant: 1970-1990, Journal of International Money and Finance, 14, 3-26.
-
(1995)
Journal of International Money and Finance
, vol.14
, pp. 3-26
-
-
Longin, F.1
Solnik, B.2
-
36
-
-
0000619934
-
Index-futures arbitrage and the behavior of stock index futures prices
-
MacKinlay, C. and K. Ramaswamy, 1988, Index-futures arbitrage and the behavior of stock index futures prices, Review of Financial Studies 1, 137-157.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 137-157
-
-
Mackinlay, C.1
Ramaswamy, K.2
-
37
-
-
21344488530
-
Stock prices, news, and business conditions
-
McQueen, G., and V. V. Roley, 1993, Stock prices, news, and business conditions, Review of Financial Studies 7, 683-708.
-
(1993)
Review of Financial Studies
, vol.7
, pp. 683-708
-
-
McQueen, G.1
Roley, V.V.2
-
38
-
-
0000706085
-
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistant covariance matrix
-
Newey, W. K., and K. D. West, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistant covariance matrix, Econometrica 55, 703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
39
-
-
0001256372
-
The excess co-movement of commodity prices
-
Pindyck, R., and J. Rotemberg, 1990, The excess co-movement of commodity prices, Economic Journal 100, 1173-1189.
-
(1990)
Economic Journal
, vol.100
, pp. 1173-1189
-
-
Pindyck, R.1
Rotemberg, J.2
-
40
-
-
84977714155
-
Industrial structure and the comparative behavior of international stock market indices
-
Roll, R., 1992, Industrial structure and the comparative behavior of international stock market indices, Journal of Finance 47, 3-42.
-
(1992)
Journal of Finance
, vol.47
, pp. 3-42
-
-
Roll, R.1
-
41
-
-
0002629437
-
The performance of international asset allocation strategies using conditioning information
-
Solnik, B., 1993, The performance of international asset allocation strategies using conditioning information, Journal of Empirical Finance 1, 33-56.
-
(1993)
Journal of Empirical Finance
, vol.1
, pp. 33-56
-
-
Solnik, B.1
-
42
-
-
0003227167
-
International portfolio choice and asset pricing: An integrative survey
-
V. Maksimovic and W. Ziemba, Eds: North Holland
-
Stulz, R. M., 1995a, International portfolio choice and asset pricing: An integrative survey, in V. Maksimovic and W. Ziemba, Eds: The Handbook of Modern Finance (North Holland).
-
(1995)
The Handbook of Modern Finance
-
-
Stulz, R.M.1
-
43
-
-
0002066835
-
The cost of capital in internationally integrated markets: The case of Nestlé
-
Stulz, R. M., 1995b, The cost of capital in internationally integrated markets: The case of Nestlé, European Financial Management 1, 11-22.
-
(1995)
European Financial Management
, vol.1
, pp. 11-22
-
-
Stulz, R.M.1
-
44
-
-
0001277321
-
International stock price movements: Links and messages
-
von Furstenberg, G., and B. N. Jeon, 1989, International stock price movements: Links and messages, Brookings Papers on Economic Activity, I, 125-167.
-
(1989)
Brookings Papers on Economic Activity, I
, vol.1
, pp. 125-167
-
-
Von Furstenberg, G.1
Jeon, B.N.2
|