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Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach
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Cited by:
- Pradiptarathi Panda & Wasim Ahmad & M. Thiripalraju, 2023. "Better to Give than to Receive: A Study of BRICS Countries Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(2), pages 164-188, June.
- Laura Grace Gabriella & Revathy Suryanarayana & Vania Esady, 2016. "Financial Integration in ASEAN-5," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 62, pages 44-58, April.
- Yarovaya, Larisa & Lau, Marco Chi Keung, 2016. "Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 605-619.
- Ben Rejeb, Aymen & Arfaoui, Mongi, 2016.
"Financial market interdependencies: A quantile regression analysis of volatility spillover,"
Research in International Business and Finance, Elsevier, vol. 36(C), pages 140-157.
- Ben Rejeb, Aymen & Arfaoui, Mongi, 2014. "Financial market interdependencies: a quantile regression analysis of volatility spillover," MPRA Paper 61516, University Library of Munich, Germany.
- Mudakkar, Syeda Rabab & Uppal, Jamshed Y., 2018. "Stability of cross-market bivariate return distributions during financial turbulence," Research in International Business and Finance, Elsevier, vol. 45(C), pages 389-401.
- Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
- Jung-Bin Su, 2022. "The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives," Mathematics, MDPI, vol. 10(8), pages 1-38, April.
- Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
- Kyritsis, Evangelos & Serletis, Apostolos, 2018.
"The zero lower bound and market spillovers: Evidence from the G7 and Norway,"
Research in International Business and Finance, Elsevier, vol. 44(C), pages 100-123.
- Kyritsis, Evangelos & Serletis, Apostolos, 2017. "The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway," Discussion Papers 2017/7, Norwegian School of Economics, Department of Business and Management Science.
- Sang Hoon Kang & Ron McIver & Seong-Min Yoon, 2016. "Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(7), pages 1698-1723, July.
- Vlasova, E. & Luo, D., 2022. "Volatility spillover between the Russia-India-China triad and the United States: A multivariate generalized autoregressive conditional heteroscedasticity analysis," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 111-128.
- Hussain Shahzad, Syed Jawad & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017.
"Dependence of stock markets with gold and bonds under bullish and bearish market states,"
Resources Policy, Elsevier, vol. 52(C), pages 308-319.
- Shahzad, Syed Jawad Hussain & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017. "Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States," MPRA Paper 78595, University Library of Munich, Germany, revised 15 Apr 2017.
- Bruce Q. Budd, 2018. "The transmission of international stock market volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 155-173, January.
- Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Zeitun, Rami & Rehman, Mobeen Ur, 2017. "Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach," Emerging Markets Review, Elsevier, vol. 32(C), pages 130-147.
- Sui, Lu & Sun, Lijuan, 2016. "Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis," Research in International Business and Finance, Elsevier, vol. 36(C), pages 459-471.
- Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014.
"Do global factors impact BRICS stock markets? A quantile regression approach,"
Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.
- Walid Mensi & Shawkat Hammoudeh & Juan Carlos Reboredo & Duc Khuong Nguyen, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Working Papers 2014-159, Department of Research, Ipag Business School.
- Babajide Fowowe & Mohammed Shuaibu, 2016.
"Dynamic spillovers between Nigerian, South African and international equity markets,"
International Economics, CEPII research center, issue 148, pages 59-80.
- Fowowe, Babajide & Shuaibu, Mohammed, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, vol. 148(C), pages 59-80.
- Usman M. Umer, Metin Coskun, Kasim Kiraci, 2018. "Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(1), pages 23-42, March.
- Elie Bouri & Rangan Gupta & Seyedmehdi Hosseini & Chi Keung Marco Lau, 2017. "Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model," Working Papers 201704, University of Pretoria, Department of Economics.
- Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
- Saswat Patra & Pradiptarathi Panda, 2021. "Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 493-514, January.
- Delcoure, Natalya (Natasha) & Singh, Harmeet, 2016. "BRIC or CBRI: It just doesn’t sound as sexy, does it?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 230-239.
- Olga V. Mezentceva & Ann V. Mezentceva, 2015. "Hodrick-Prescott filtering of Large, emerging Economies and Analysis of Russian GDP Growth," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 1(4), pages 287-298, April.
- Slim Mseddi & Noureddine Benlagha, 2017. "An Analysis of Spillovers Between Islamic and Conventional Stock Bank Returns: Evidence from the GCC Countries," Multinational Finance Journal, Multinational Finance Journal, vol. 21(2), pages 91-132, June.
- Das, Suman & Roy, Saikat Sinha, 2023. "Following the leaders? A study of co-movement and volatility spillover in BRICS currencies," Economic Systems, Elsevier, vol. 47(2).
- Bouri, Elie & Gupta, Rangan & Hosseini, Seyedmehdi & Lau, Chi Keung Marco, 2018. "Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model," Emerging Markets Review, Elsevier, vol. 34(C), pages 124-142.