-
1
-
-
0001758906
-
Heteroskedasticity and autocorrelation consistent covariance matrix estimation
-
Andrews D.W.K. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 1991, 59:817-858.
-
(1991)
Econometrica
, vol.59
, pp. 817-858
-
-
Andrews, D.W.K.1
-
2
-
-
33644564740
-
Modelling international price relationships and interdependencies between the stock index and stock index futures markets of three EU countries: a multivariate analysis
-
Antoniou A., Pescetto G., Violaris A. Modelling international price relationships and interdependencies between the stock index and stock index futures markets of three EU countries: a multivariate analysis. Journal of Business, Finance & Accounting 2003, 30:645-667.
-
(2003)
Journal of Business, Finance & Accounting
, vol.30
, pp. 645-667
-
-
Antoniou, A.1
Pescetto, G.2
Violaris, A.3
-
3
-
-
0039066446
-
Distributional characteristics of emerging market returns and asset allocation
-
Bekaert G., Erb C.B., Harvey C., Viskanta T. Distributional characteristics of emerging market returns and asset allocation. Journal of Portfolio Management 1998, 24:102-116.
-
(1998)
Journal of Portfolio Management
, vol.24
, pp. 102-116
-
-
Bekaert, G.1
Erb, C.B.2
Harvey, C.3
Viskanta, T.4
-
4
-
-
81155140553
-
-
Measuring financial integration in the euro area. ECB Occasional Paper Series 14, Frankfurt/Main.
-
Baele, L., Ferrando, A., Hördahl, P., Krylova, E., Monnet, C., 2004. Measuring financial integration in the euro area. ECB Occasional Paper Series 14, Frankfurt/Main.
-
(2004)
-
-
Baele, L.1
Ferrando, A.2
Hördahl, P.3
Krylova, E.4
Monnet, C.5
-
5
-
-
21144458942
-
Volatility spillover effects in European equity markets
-
Baele L. Volatility spillover effects in European equity markets. Journal of Financial and Quantitative Analysis 2005, 40:373-401.
-
(2005)
Journal of Financial and Quantitative Analysis
, vol.40
, pp. 373-401
-
-
Baele, L.1
-
6
-
-
0040485278
-
Fractionally integrated generalized autoregressive conditional heteroskedasticity
-
Baillie R.T., Bollerslev T., Mikkelsen H.O. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 1996, 74:3-30.
-
(1996)
Journal of Econometrics
, vol.74
, pp. 3-30
-
-
Baillie, R.T.1
Bollerslev, T.2
Mikkelsen, H.O.3
-
9
-
-
81155136856
-
-
Integration of the euro equity markets: An empirical analysis. Working Paper, Università Politecnica delle Marche - Department of Economics, Ancona.
-
Croci, M., 2004. Integration of the euro equity markets: An empirical analysis. Working Paper, Università Politecnica delle Marche - Department of Economics, Ancona.
-
(2004)
-
-
Croci, M.1
-
10
-
-
0035998182
-
Dynamic conditional correlation-a simple class of multivariate GARCH models
-
Engle R.F. Dynamic conditional correlation-a simple class of multivariate GARCH models. Journal of Business and Economic Statistics 2002, 20:339-350.
-
(2002)
Journal of Business and Economic Statistics
, vol.20
, pp. 339-350
-
-
Engle, R.F.1
-
11
-
-
0012912862
-
-
Mimeo, UCSD, La Jolla, CA
-
Engle R.F., Sheppard K. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH 2001, Mimeo, UCSD, La Jolla, CA.
-
(2001)
Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
-
-
Engle, R.F.1
Sheppard, K.2
-
13
-
-
0036373039
-
Financial market integration in Europe: on the effects of EMU on stock markets
-
Fratzscher M. Financial market integration in Europe: on the effects of EMU on stock markets. International Journal of Finance and Economics 2002, 7:165-193.
-
(2002)
International Journal of Finance and Economics
, vol.7
, pp. 165-193
-
-
Fratzscher, M.1
-
14
-
-
0040360986
-
Postwar U.S. business cycles: an empirical investigation
-
Hodrick R.J., Prescott E.C. Postwar U.S. business cycles: an empirical investigation. Journal of Money, Credit, and Banking 1997, 29:1-16.
-
(1997)
Journal of Money, Credit, and Banking
, vol.29
, pp. 1-16
-
-
Hodrick, R.J.1
Prescott, E.C.2
-
16
-
-
23844441526
-
Dynamic stock market integration driven by the European Monetary Union: an empirical analysis
-
Kim S.J., Moshirian F., Wu E. Dynamic stock market integration driven by the European Monetary Union: an empirical analysis. Journal of Banking & Finance 2005, 29:2475-2502.
-
(2005)
Journal of Banking & Finance
, vol.29
, pp. 2475-2502
-
-
Kim, S.J.1
Moshirian, F.2
Wu, E.3
-
17
-
-
70350103524
-
Model choice and specification analysis
-
North-Holland, Amsterdam
-
Leamer E.E. Model choice and specification analysis. Handbook of Econometrics 1983, vol. 1:285-330. North-Holland, Amsterdam.
-
(1983)
Handbook of Econometrics
, vol.1
, pp. 285-330
-
-
Leamer, E.E.1
-
18
-
-
0009662024
-
Extreme correlation of international equity markets
-
Longin F., Solnik B. Extreme correlation of international equity markets. The Journal of Finance 2001, 56:649-676.
-
(2001)
The Journal of Finance
, vol.56
, pp. 649-676
-
-
Longin, F.1
Solnik, B.2
-
20
-
-
0036509956
-
Economic determinants of emerging stock market interdependence
-
Pretorius E. Economic determinants of emerging stock market interdependence. Emerging Markets Review 2002, 3:84-105.
-
(2002)
Emerging Markets Review
, vol.3
, pp. 84-105
-
-
Pretorius, E.1
-
21
-
-
70349811593
-
Spillovers and correlations between US and major European stock markets: the role of the euro
-
Savva C.S., Osborn D.R., Gill L. Spillovers and correlations between US and major European stock markets: the role of the euro. Applied Financial Economics 2009, 19:1595-1604.
-
(2009)
Applied Financial Economics
, vol.19
, pp. 1595-1604
-
-
Savva, C.S.1
Osborn, D.R.2
Gill, L.3
-
22
-
-
81155154724
-
-
Multivariate GARCH Models. SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm.
-
Silvennoinen, A., Teräsvirta, T., 2008. Multivariate GARCH Models. SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm.
-
(2008)
-
-
Silvennoinen, A.1
Teräsvirta, T.2
|