This folder holds the following references to publications, sorted by year and author.

There are 67 references in this bibliography folder.

Baele, L (2003).
Volatility Spillover Effects in European Equity Markets: Evidence from a Regime Switching Model
United Nations University, Institute for New Technologies, EIFC - Technology and Finance Working Papers(33).

J.F., K and Rigobon, R (2002).
No Contagion, Only Interdependence: Measuring Stock Market Comovements
Journal of Finance, 57(5):2223-2261.

Darrat, A (2001).
Equity Market Integration and Multinational Trade Agreements, The Case of NAFTA

Ewing, B, Payne, J, and Sowell, C (2001).
Transmission of Conditional Stock Return Volatility Across North American Markets: Evidence from Pre- and Post-NAFTA
International Trade Journal, 15:409-427.

Meric, G, Leal, RC, Ratner, M, and Meric, I (2001).
Co-Movements of U.S. and Latin American Equity Markets before and after the 1987 Crash
International Review of Financial Analysis, 10(3):219-235.

Bekaert, G and Wu, G (2000).
Asymmetric Volatility and Risk in Equity Markets
Review of Financial Studies, 13(1):1-42.

Ng, A (2000).
Volatility spillover effects from Japan and the US to the Pacific-Basin
Journal of International Money and Finance, 19(2):207-233.

Ramchand, L and Susmel, R (2000).
Switching Volatility in Private International Equity Markets
International Journal of Finance and Economics, 5:265-283.

Ewing, B, Payne, J, and Sowell, C (1999).
NAFTA and North American Stock Market Linkages: An Empirical Note
The North American Journal of Economics and Finance, 10(2):443-451.

Masih, A and Masih, R (1999).
Are Asian Stock Market Fluctuations due mainly to Intra-regional Contagion Effects? Evidence Based on Asian Emerging Stock Markets
Pacific-Basin Finance Journal, 7(3-4):251-282.

Ramchand, L and Susmel, R (1998).
Volatility and Cross Correlation across Major Stock Markets
Journal of Empirical Finance, 5:397-416.

Atteberry, W and Swanson, P (1997).
Equity Market Integration: The Case of North America
The North American Journal of Economics and Finance, 8(1):23-37.

Bekaert, G and Harvey, C (1997).
Emerging Equity Market Volatility
Journal of Financial Economics, 43(1):29-77.

Booth, G, Martikainen, T, and Tse, Y (1997).
Price and Volatility Spillovers in Scandinavian Stock-Markets
Journal of Banking & Finance, 21(6):811-823.

Dabar, S and Deb, P (1997).
Co-Movements in International Equity Markets
Journal of Financial Research, 20:305-322.

De Santis, G and Imrohoroglu, S (1997).
Stock Returns and Volatility in Emerging Financial Markets
Journal of International Money and Finance, 16(4):561-579.

Bekaert, G and Urias, M (1996).
Diversification, Integration and Emerging Market Closed-End Funds
Journal of Finance, 51(3):835-69.

Karolyi, G and Stulz, R (1996).
Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements
Journal of Finance, 51(3):951-86.

Koutmos, G (1996).
Modeling the Dynamic Interdependence of Major European Stock Markets
Journal of Business, Finance and Accounting, 23:975-988.

Solnik, BB (1996).
International Market Correlation and Volatility
Financial Analysts Journal, 52:17-34.

Bekaert, G and Harvey, C (1995).
Time-Varying World Market Integration
Journal of Finance, 50(2):403-44.

Hentschel, L (1995).
All in the Family Nesting Symmetric and Asymmetric GARCH Models
Journal of Financial Economics, 39(1):71-104.

Karolyi, G (1995).
A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada
Journal of Business & Economic Statistics, 13(1):11-25.

Kim, S and Rogers, J (1995).
International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States
Journal of Empirical Finance, 2(2):117-133.

Longin, F and Solnik, B (1995).
Is the Correlation in International Equity Returns Constant: 1960-1990?
Journal of International Money and Finance, 14(1):3-26.