References for Journalarticle 2007-12

Please note: the authoritative source for references in this article is the according PDF file.

Number of references: 57

Amihud, Y., and Mendelson, H. (1987). Trading Mechanisms and Stock Returns: An Empirical Investigation. Journal of Finance, 42(3):533-53. http://ideas.repec.org/a/bla/jfinan/v42y1987i3p533-53.html

Arshanapalli, B., and Doukas, J. (1993). International Stock Market Linkages: Evidence from the Pre- and Post-October 1987 Period. Journal of Banking & Finance, 17(1):193-208. http://ideas.repec.org/a/eee/jbfina/v17y1993i1p193-208.html

Atteberry, W.L., and Swanson, P.E. (1997). Equity Market Integration: The Case of North America. The North American Journal of Economics and Finance, 8(1):23-37. http://ideas.repec.org/a/eee/ecofin/v8y1997i1p23-37.html

Bae, K.H., and Andrew Karolyi, G. (1994). Good News, Bad News and International Spillovers of Stock Return Volatility between Japan and the U.S. Pacific-Basin Finance Journal, 2(4):405-438. http://ideas.repec.org/a/eee/pacfin/v2y1994i4p405-438.html

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. http://ideas.repec.org/p/dgr/unutaf/eifc03-33.html

Bekaert, G., and Harvey, C.R (1995). Time-Varying World Market Integration. Journal of Finance, 50(2):403-44. http://ideas.repec.org/a/bla/jfinan/v50y1995i2p403-44.html

Bekaert, G., and Urias, M.S (1996). Diversification, Integration and Emerging Market Closed-End Funds. Journal of Finance, 51(3):835-69. http://ideas.repec.org/a/bla/jfinan/v51y1996i3p835-69.html

Bekaert, G., and Harvey, C.R. (1997). Emerging Equity Market Volatility. Journal of Financial Economics, 43(1):29-77. http://ideas.repec.org/a/eee/jfinec/v43y1997i1p29-77.html

Bekaert, G., and Wu, G. (2000). Asymmetric Volatility and Risk in Equity Markets. Review of Financial Studies, 13(1):1-42. http://ideas.repec.org/a/oup/rfinst/v13y2000i1p1-42.html

Berndt, E.K., Hall, B.H., Hall, R.E., and Hausman, J.A.. (1974). Estimation and Inference in Nonlinear Structural Models. Annals of Economic and Social Measurement, 3:653-665.

Black, F. (1976). Studies of Stock Price Volatility Changes. American Statistical Association, Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economic Statistics Section.

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3):307-327. http://ideas.repec.org/a/eee/econom/v31y1986i3p307-327.html

Bollerslev, T., and Wooldrigde, J.W. (1988). Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances. Massachusetts Institute of Technology (MIT), Working papers 505. http://ideas.repec.org/p/mit/worpap/505.html

Booth, G.G., Martikainen, T.O., and Tse, Y. (1997). Price and Volatility Spillovers in Scandinavian Stock-Markets. Journal of Banking & Finance, 21(6):811-823. http://ideas.repec.org/a/eee/jbfina/v21y1997i6p811-823.html

Christie, A.A. (1982). The Stochastic Behavior of Common Stock Variances : Value, Leverage and Interest Rate Effects. Journal of Financial Economics, 10(4):407-432. http://ideas.repec.org/a/eee/jfinec/v10y1982i4p407-432.html

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

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

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. http://ideas.repec.org/a/eee/jimfin/v16y1997i4p561-579.html

Ding, Z., Granger, C.W.J., and Engle, R.F. (1993). A Long Memory Property of Stock Market Returns and a New Model. Journal of Empirical Finance, 1(1):83-106. http://ideas.repec.org/a/eee/empfin/v1y1993i1p83-106.html

Engle, R.F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50:987-1007.

Eun, C. (1989). International Transmission of Stock Market Movements. Journal of Financial and Quantitative Analysis, 24:241-256.

Ewing, B.T., Payne, J.E., 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. http://ideas.repec.org/a/eee/ecofin/v10y1999i2p443-451.html

Ewing, B.T., Payne, J.E., 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.

French, K.R., Schwert, G.W., and Stambaugh, R.F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19(1):3-29. http://ideas.repec.org/a/eee/jfinec/v19y1987i1p3-29.html

Geweke, J. (1986). Modeling the Persistence of Conditional Variances: A Comment. Econometric Reviews, 5:57-61.

Glosten, L.R, Jagannathan, R., and Runkle, D.E (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48(5):1779-1801. http://ideas.repec.org/a/bla/jfinan/v48y1993i5p1779-1801.html

Hamao, Y., Masulis, R.W, and Ng, V. (1990). Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial Studies, 3(2):281-307. http://ideas.repec.org/a/oup/rfinst/v3y1990i2p281-307.html

Hentschel, L. (1995). All in the Family Nesting Symmetric and Asymmetric GARCH Models. Journal of Financial Economics, 39(1):71-104. http://ideas.repec.org/a/eee/jfinec/v39y1995i1p71-104.html

Higgins, M.L, and Bera, A.K (1992). A Class of Nonlinear ARCH Models. International Economic Review, 33(1):137-58. http://ideas.repec.org/a/ier/iecrev/v33y1992i1p137-58.html

J.F., Kristin, and Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Comovements. Journal of Finance, 57(5):2223-2261. http://ideas.repec.org/a/bla/jfinan/v57y2002i5p2223-2261.html

Jarque, C. (1980). Efficient Tests for Normality, Heteroskedasticity, and Serial Independence of Regression Residuals. Economics Letters, 6:255-259.

Karolyi, G.A. (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. http://ideas.repec.org/a/bes/jnlbes/v13y1995i1p11-25.html

Karolyi, G.A., and Stulz, R.M (1996). Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements. Journal of Finance, 51(3):951-86. http://ideas.repec.org/a/bla/jfinan/v51y1996i3p951-86.html

Kim, S.W., and Rogers, J.H. (1995). International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States. Journal of Empirical Finance, 2(2):117-133. http://ideas.repec.org/a/eee/empfin/v2y1995i2p117-133.html

King, M.A, and Wadhwani, S. (1990). Transmission of Volatility between Stock Markets. Review of Financial Studies, 3(1):5-33. http://ideas.repec.org/a/oup/rfinst/v3y1990i1p5-33.html

King, M., Sentana, E., and Wadhwani, S. (1994). Volatility and Links between National Stock Markets. Econometrica, 62(4):901-33. http://ideas.repec.org/a/ecm/emetrp/v62y1994i4p901-33.html

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

L., Wen-Ling, Engle, R.F., and Ito, T. (1991). Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns. National Bureau of Economic Research, Inc, NBER Working Papers 3911. http://ideas.repec.org/p/nbr/nberwo/3911.html

Lee, S. (1993). Does the October 1987 Crash Strengthen the Co-Movements among National Stock Markets? Review of Financial Economics, 3:89-102.

Ljung, G.M. (1978). On a Measure of Lack of Fit in Time-series Models. Biometrika, 65:297-303.

Lo, A.W., and MacKinlay, A.C (1990). An Econometric Analysis of Nonsynchronous Trading. Journal of Econometrics, 45:181-211.

Longin, Francois, and Solnik, Bruno (1995). Is the Correlation in International Equity Returns Constant: 1960-1990? Journal of International Money and Finance, 14(1):3-26. http://ideas.repec.org/a/eee/jimfin/v14y1995i1p3-26.html

Maddala, G.S. (1983). Limited-dependent and Qualitative Variables in Econometrics. Cambridge University Press, New York.

Masih, A.M.M., 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. http://ideas.repec.org/a/eee/pacfin/v7y1999i3-4p251-282.html

Meric, G., Leal, R.P., 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. http://ideas.repec.org/a/eee/finana/v10y2001i3p219-235.html

Ng, V., Chang, R.P., and Chow, R. (1991). An Examination of the Behavior of International Stock Market Volatility. In: Pacific-Basin Capital Markets Research, ed. by S.G. Rhee and R.P. Chang, pp. 245-260, North-Holland, Amsterdam.

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. http://ideas.repec.org/a/eee/jimfin/v19y2000i2p207-233.html

Pentula, S. (1986). Modeling the Persistence of Conditional Variances: A Comment. Econometric Review, 5:71-74.

Pindyck, Robert (1984). Risk, Inflation, and the Stock Market. American Economic Review, 74(3):335-351. http://ideas.repec.org/a/aea/aecrev/v74y1984i3p335-51.html

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

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

Schwert, G (1990). Stock Volatility and the Crash of '87. Review of Financial Studies, 3(1):77-102. http://ideas.repec.org/a/oup/rfinst/v3y1990i1p77-102.html

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

Taylor, S. (1986). Modelling Financial Time Series. Wiley and Sons, New York.

Von Furstenberg, G., and Jeon, B.N. (1989). International Stock Price Movements: Links and Messages. Brooking Papers on Economic Activity, 1:125-167.

Y.C., John, and Hentschel, L. (1991). No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns. National Bureau of Economic Research, Inc, NBER Working Papers 3742. http://ideas.repec.org/p/nbr/nberwo/3742.html

Zakoian, J.-M. (1994). Threshold Heteroskedastic Models. Journal of Economic Dynamics and Control, 18(5):931-955. http://ideas.repec.org/a/eee/dyncon/v18y1994i5p931-955.html