Co-movements of Shanghai and New York stock prices by time-varying regressions

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

Robert F. Engle, Takatoshi Ito, Wenling Lin · Econometrica · 1990 · 863 citations · Full text

Social Sciences, Economics, Finance +17

The simulation smoother for time series models

Piet de Jong, Neil Shephard · Biometrika · 1995 · 579 citations

Business, Business Economics, Economics +10

Who Moves the Asia‐Pacific Stock Markets—US or Japan? Empirical Evidence Based on the Theory of Cointegration

Asim Ghosh, Rezà F. Saidi, Keith H. Johnson · Financial Review · 1999 · 229 citations

Social Sciences, Economics, Finance +11

International linkages of the Chinese stock exchanges: a multivariate GARCH analysis

Hong Li · Applied Financial Economics · 2007 · 164 citations

Business, Economics, Finance +15

Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan

Hwahsin Cheng, John L. Glascock · Review of Quantitative Finance and Accounting · 2005 · 88 citations

Social Sciences, Economics, Finance +11