European equity market integration and joint relationship of conditional volatility and correlations
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DOI: 10.1016/j.jimonfin.2016.10.007
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- Allard, Anne-Florence & Iania, Leonardo & Smedts, Kristien, 2020. "Stock-bond return correlations: Moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach," LIDAM Reprints LFIN 2020005, Université catholique de Louvain, Louvain Finance (LFIN).
- Ahmed, Walid M.A., 2019. "Islamic and conventional equity markets: Two sides of the same coin, or not?," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 191-205.
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- Erdinc Akyildirim & Shaen Corbet & Duc Khuong Nguyene & Ahmet Sensoy, 2019. "Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework," Working Papers 2019-005, Department of Research, Ipag Business School.
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- Niţoi, Mihai & Pochea, Maria Miruna, 2020. "Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis," Economic Modelling, Elsevier, vol. 86(C), pages 133-147.
- BenSaïda, Ahmed, 2018. "The contagion effect in European sovereign debt markets: A regime-switching vine copula approach," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 153-165.
- Virk, Nader & Javed, Farrukh & Awartani, Basel, 2021. "A reality check on the GARCH-MIDAS volatility models," Working Papers 2021:2, Örebro University, School of Business.
- Xie, Haixia & Sha, Yezhou & Li, Lingyi, 2024. "Synthesization of macroeconomic policies and stock return synchronicity: Evidence from countries along the Belt and Road Initiative," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
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- Man Wang & Yihan Cheng, 2022. "Forecasting value at risk and expected shortfall using high‐frequency data of domestic and international stock markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1595-1607, December.
- Muhammad Owais Qarni & Saqib Gulzar, 2020. "Intra-EMU and non-EMU, EU stock markets’ return spillover: evidence from ESDC," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(3), pages 543-577, August.
- Liu, Guangqiang & Guo, Xiaozhu, 2022. "Forecasting stock market volatility using commodity futures volatility information," Resources Policy, Elsevier, vol. 75(C).
- Chen, Yanhua & Li, Youwei & Pantelous, Athanasios A. & Stanley, H. Eugene, 2022.
"Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach,"
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- Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," MPRA Paper 101700, University Library of Munich, Germany.
- Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
- Niţoi, Mihai & Pochea, Maria Miruna, 2019. "What drives European Union stock market co-movements?," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 57-69.
- Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Patel, Ritesh, 2023. "The importance of ABS 2 journals in finance scholarship: Evidence from a bibliometric case study," Finance Research Letters, Elsevier, vol. 55(PA).
- Chao Liang & Yu Wei & Likun Lei & Feng Ma, 2022. "Global equity market volatility forecasting: New evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 594-609, January.
- Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
- Muhammad Niaz Khan & Suzanne G. M. Fifield & Nongnuch Tantisantiwong & David M. Power, 2022. "Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 87-117, March.
- Heil, Thomas L.A. & Peter, Franziska J. & Prange, Philipp, 2022. "Measuring 25 years of global equity market co-movement using a time-varying spatial model," Journal of International Money and Finance, Elsevier, vol. 128(C).
- Lee, Hyunchul & Kim, Heeho, 2020. "Time varying integration of European stock markets and monetary drivers," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 369-385.
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More about this item
Keywords
Correlation; DCC-MIDAS; GARCH; Volatility;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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