Volatility Spillovers Across the Tasman
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DOI: 10.1177/031289629602100104
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Cited by:
- Saurabh Ghosh, 2014.
"Volatility spillover in the foreign exchange market: the Indian experience,"
Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(1), pages 175-194, March.
- Ghosh, Saurabh, 2012. "Volatility spillover in the foreign exchange market: The Indian experience," Kiel Advanced Studies Working Papers 460, Kiel Institute for the World Economy (IfW Kiel).
- el Alaoui, Abdelkader O. & Dewandaru, Ginanjar & Azhar Rosly, Saiful & Masih, Mansur, 2015. "Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 53-70.
- Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
- Suhail Palakkod, 2012. "Integration of Capital, Commodity and Currency Markets: A Study on Volatility Spillover," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 87-100, June.
- Brooks, Chris & Henry, Olan T., 2000.
"Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia,"
Economic Modelling, Elsevier, vol. 17(4), pages 497-513, December.
- Brooks, C. & Henry, O.T., 1999. "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series 676, The University of Melbourne.
- Neda Todorova & Michael Soucek & Eduardo Roca, 2015. "Volatility spillovers from international commodity markets to the Australian equity market," Discussion Papers in Finance finance:201505, Griffith University, Department of Accounting, Finance and Economics.
- Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia.
- Chester Curme & H. Eugene Stanley & Irena Vodenska, 2015. "Coupled Network Approach To Predictability Of Financial Market Returns And News Sentiments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-26, November.
- Sanjay Sehgal & Mala Dutt, 2016. "Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(3), pages 239-258, September.
- Indika Karunanayake & Abbas Valadkhani & Martin O'Brien, 2010. "Financial Crises And International Stock Market Volatility Transmission," Australian Economic Papers, Wiley Blackwell, vol. 49(3), pages 209-221, September.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2019. "Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach," CESifo Working Paper Series 7537, CESifo.
- Güloğlu, Bülent & Kaya, Pınar & Aydemir, Resul, 2016. "Volatility transmission among Latin American stock markets under structural breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 330-340.
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Keywords
STOCK MARKET; VOLATILITY; SPILLOVERS; GARCH;All these keywords.
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