Volatility and Links between National Stock Markets
From MaRDI portal
Publication:4302551
DOI10.2307/2951737zbMath0807.90037OpenAlexW4242129407MaRDI QIDQ4302551
Mervyn A. King, Sushil Wadhwani, Enrique Sentana
Publication date: 21 August 1994
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2951737
asset pricingstock marketstime-varying volatilitycapital market integrationtime-variation in the covariances
Related Items (46)
Analysis of high dimensional multivariate stochastic volatility models ⋮ Inference theory for volatility functional dependencies ⋮ A long-run pure variance common features model for the common volatilities of the Dow Jones ⋮ Regime switching for dynamic correlations ⋮ Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland ⋮ Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks ⋮ Seasonality and idiosyncratic risk in mutual fund performance ⋮ The Wishart autoregressive process of multivariate stochastic volatility ⋮ Granger causality in risk and detection of extreme risk spillover between financial markets ⋮ Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation ⋮ Risk sharing and counter-cyclical variation in market correlations ⋮ Contagion around the October 1987 stock market crash ⋮ Time-varying extreme value dependence with application to leading European stock markets ⋮ Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process ⋮ A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks ⋮ Marginalization and contemporaneous aggregation in multivariate GARCH processes ⋮ Financial integration in the GCC region: market size versus national effects ⋮ Time-varying economic dominance in financial markets: A bistable dynamics approach ⋮ Common volatility and correlation clustering in asset returns ⋮ Testing for mutually exciting jumps and financial flights in high frequency data ⋮ On the univariate representation of BEKK models with common factors ⋮ A structured variational learning approach for switching latent factor models ⋮ Editorial: Dynamic factor models ⋮ Factor representing portfolios in large asset markets ⋮ Temporal aggregation of volatility models ⋮ An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models ⋮ Price volatility and risk with non-separability of preferences ⋮ Backtesting portfolio value‐at‐risk with estimated portfolio weights ⋮ Robust score and portmanteau tests of volatility spillover ⋮ Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects ⋮ Unobserved component models with asymmetric conditional variances ⋮ International market links and volatility transmission ⋮ Factor estimation using MCMC-based Kalman filter methods ⋮ A test for volatility spillover with application to exchange rates ⋮ Nonstationary dynamic factor analysis ⋮ Contemporaneous aggregation of GARCH processes ⋮ Identification, estimation and testing of conditionally heteroskedastic factor models ⋮ Model specification test with correlated but not cointegrated variables ⋮ Forecasting multivariate realized stock market volatility ⋮ A full-factor multivariate GARCH model ⋮ Continuous Time Wishart Process for Stochastic Risk ⋮ Factor Stochastic Volatility in Mean Models: A GMM Approach ⋮ A diagnostic criterion for approximate factor structure ⋮ Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas ⋮ Efficiency bounds for semiparametric models with singular score functions ⋮ Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
This page was built for publication: Volatility and Links between National Stock Markets
