Concepedia

Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis

John Beirne, Guglielmo Maria Caporale, Marianne Schulze‐Ghattas, Nicola Spagnolo

Emerging Markets Review · 2010 · 206 citations · 57 references

Concepts

Social SciencesEconomicsFinanceEconometricsFinancial EconometricsFinancial EconomicsCross-sectional EconometricsInternational Financial IntegrationInternational Financial MarketsVolatility ModelingChannelsCross-border Spillover AnalysisCross-border SpilloversCross-level LinkagesInternational Financial SpilloversRegional Market LinkagesRegional SpilloversReturn Spillover Effects

References

57

On a measure of lack of fit in time series models

Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 6K citations

Computing, Business Economics, Econometrics +14

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations

Engineering, Mathematics, Statistical Modeling +16

Measuring and Testing the Impact of News on Volatility

Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations

Business, Economics, Finance +17

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

Social Sciences, Economics, Econometrics +16

Time‐Varying World Market Integration

Geert Bekaert, Campbell R. Harvey · The Journal of Finance · 1995 · 2.1K citations · Full text

Business, Economics, Finance +16