International market links and volatility transmission
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 3850298 (Why is no real title available?)
- scientific article; zbMATH DE number 1057566 (Why is no real title available?)
- A Conditional Kolmogorov Test
- A Tale of Two Time Scales
- A causality-in-variance test and its application to financial market prices
- A general version of the fundamental theorem of asset pricing
- A test for volatility spillover with application to exchange rates
- A theory of the term structure of interest rates
- ARMA representation of integrated and realized variances
- Approximating conditional density functions using dimension reduction
- Approximating conditional distribution functions using dimension reduction
- Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
- Bootstrap Methods for Markov Processes
- Bootstrap in Markov-sequences based on estimates of transition density
- Bootstrapping a consistent nonparametric goodness-of-fit test
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Central limit theorems for generalizedU-statistics with applications in nonparametric specification
- Comparing nonparametric versus parametric regression fits
- Consistent Nonparametric Entropy-Based Testing
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
- Goodness-of-fit tests for kernel regression with an application to option implied volatilities
- Martingales and stochastic integrals in the theory of continuous trading
- Modeling and Forecasting Realized Volatility
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Nonparametric transition-based tests for jump diffusions
- On some global measures of the deviations of density function estimates
- On the bootstrap of \(U\) and \(V\) statistics
- Predictive Inference for Integrated Volatility
- Pricing options on realized variance
- Some higher-order theory for a consistent non-parametric model specification test
- Test of Significance Based on Wavelet Thresholding and Neyman's Truncation
- Testing for Granger causality in variance in the presence of causality in mean
- Testing for causality in variance in the presence of breaks
- Testing the Markov property with high frequency data
- The Distribution of Realized Exchange Rate Volatility
- The Econometrics of Individual Risk
- The local bootstrap for Markov processes
- Ultra high frequency volatility estimation with dependent microstructure noise
- Volatility and Links between National Stock Markets
Cited in
(22)- Are volatility indices in international stock markets forward looking?
- Volatility spillovers, interdependence and comovements: a Markov switching approach
- Conditional quantile analysis for realized GARCH models
- Capturing the spillover effect with multiplicative error models
- 24-hour realized volatilities and transatlantic volatility interdependence
- Testing for mutually exciting jumps and financial flights in high frequency data
- Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- Testing conditional independence via empirical likelihood
- Internationalization and Stock Market Liquidity*
- A test for volatility spillovers.
- Investigating volatility transmission across international equity markets using multivariate fractional models
- International capital markets and redundant securities
- Dispersion in macroeconomic volatility between the core and periphery of the international trade network
- Volatility transmission patterns and terrorist attacks
- Volatility spillover effect: a semiparametric analysis of non-cointegrated process
- Testing for jump spillovers without testing for jumps
- A practical multivariate approach to testing volatility spillover
- A nonparametric test of a strong leverage hypothesis
- Testing for volatility co-movement in bivariate stochastic volatility models
- Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
- Dynamic linkages and higher moments risk connectedness among international stock markets
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