Volatility linkage across global equity markets
Tài liệu tham khảo
Agmon, 1972, The relations among equity markets: A study of share price co-movements in the United States, United Kingdom, Germany and Japan, Journal of Finance, 27, 839, 10.1111/j.1540-6261.1972.tb01315.x
Äijö, 2008, Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices, Global Finance Journal, 18, 290, 10.1016/j.gfj.2006.11.003
Allen, 2000, Financial contagion, Journal of Political Economy, 108, 1, 10.1086/262109
Andrews, 1993, Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821, 10.2307/2951764
Andrews, 1994, Optimal tests when a nuisance parameter is present only under the alternative, Econometrica, 62, 1383, 10.2307/2951753
Barclay, 1990, Private information, trading volume, and stock-return variances, Review of Financial Studies, 3, 233, 10.1093/rfs/3.2.233
Blair, 2001, Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high frequency index returns, Journal of Econometrics, 105, 5, 10.1016/S0304-4076(01)00068-9
Bollerslev, 1988, A capital-asset pricing model with time-varying covariances, Journal of Political Economy, 96, 116, 10.1086/261527
Brunnermeier, 2009, Market liquidity and funding liquidity, Review of Financial Studies, 22, 2201, 10.1093/rfs/hhn098
Chakrabarti, 2002, East Asia and Europe during the 1997 Asian collapse: A clinical study of a financial crisis, Journal of Financial Markets, 5, 1, 10.1016/S1386-4181(01)00022-2
Chesnay, 2001, Does correlation between stock returns really increase during turbulent periods?, Economic Notes, 30, 53, 10.1111/1468-0300.00047
Dornbusch, 2000, Contagion: Understanding how it spreads, The World Bank Research Observer, 15, 177, 10.1093/wbro/15.2.177
Erb, 1994, Forecasting international equity correlations, Financial Analysts Journal, 50, 32, 10.2469/faj.v50.n6.32
Eun, 1989, International transmission of stock market movements, Journal of Financial and Quantitative Analysis, 24, 241, 10.2307/2330774
Fleming, 1995, Predicting stock market volatility: A new measure, Journal of Futures Markets, 15, 265, 10.1002/fut.3990150303
Forbes, 2002, No contagion, only interdependence: Measuring stock market comovements, Journal of Finance, 57, 2223, 10.1111/0022-1082.00494
Goetzmann, 2005, Long-term global market correlations, The Journal of Business, 78, 1, 10.1086/426518
Hamao, 1990, Correlations in price changes and volatility across international stock markets, Review of Financial Studies, 3, 281, 10.1093/rfs/3.2.281
Hansen, 1997, Approximate asymptotic P values for structural-change tests, Journal of Business and Economic Statistics, 15, 60
Hilliard, 1979, The relationship between equity indices on world exchanges, Journal of Finance, 34, 103, 10.1111/j.1540-6261.1979.tb02074.x
Hon, 2004, Contagion in financial markets after September 11: Myth or reality?, Journal of Financial Research, 27, 95, 10.1111/j.1475-6803.2004.00079.x
Jennrich, 1970, An asymptotic Chi-square test for the equality of two correlation matrices, Journal of the American Statistical Association, 65, 904
Jorion, 1995, Predicting volatility in the foreign exchange market, Journal of Finance, 50, 507, 10.1111/j.1540-6261.1995.tb04793.x
King, 1990, Transmission of volatility between stock markets, Review of Financial Studies, 3, 5, 10.1093/rfs/3.1.5
Kiyotaki, 2002, Balance-sheet contagion, American Economic Review: Papers and Proceedings, 92, 46, 10.1257/000282802320188989
Lin, 1994, Do bulls and bears move across borders? International transmission of stock returns and volatility, Review of Financial Studies, 7, 507, 10.1093/rfs/7.3.507
Longin, 1995, Is the correlation in international equity returns constant: 1960–1990?, Journal of International Money and Finance, 14, 3, 10.1016/0261-5606(94)00001-H
Nikkinen, 2004, International transmission of uncertainty implicit in stock index option prices, Global Finance Journal, 15, 1, 10.1016/j.gfj.2003.10.007
Solnik, 1996, International market correlation and volatility, Financial Analysts Journal, 52, 17, 10.2469/faj.v52.n5.2021
Stoll, 1990, Stock market structure and volatility, Review of Financial Studies, 3, 37, 10.1093/rfs/3.1.37
Theodossiou, 1993, Mean and volatility spillovers across major national stock markets: Further empirical evidence, Journal of Financial Research, XVI, 337, 10.1111/j.1475-6803.1993.tb00152.x