532
Views
35
CrossRef citations to date
0
Altmetric
Original Articles

Financial market spillovers around the globe

&
Pages 45-57 | Published online: 27 Sep 2011

References

  • Admati, AR, and Pfleiderer, P, 1988. A theory of intraday patterns: volume and price variability, The Review of Financial Studies 1 (1988), pp. 3–40.
  • Andersen, TG, Bollerslev, T, Christoffersen, PF, and Diebold, FX, 2006. "Practical volatility and correlation modeling for financial market risk management". In: Carey, M, and Stulz, RM, eds. The Risks of Financial Institutions, Chap. 17. Chicago, Illinois: University of Chicago Press; 2006. pp. 513–48.
  • Andersen, TG, Bollerslev, T, and Diebold, FX, 2007. Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility, The Review of Economics and Statistics 89 (2007), pp. 701–20.
  • Andersen, TG, Bollerslev, T, and Diebold, FX, 2010. "Parametric and nonparametric volatility measurement". In: Aït-Sahalia, Y, and Hansen, LP, eds. Handbook of Financial Econometrics. Amsterdam: Elsevier Science Ltd; 2010. pp. 67–138.
  • Andersen, TG, Bollerslev, T, Diebold, FX, and Labys, P, 2003. Modeling and forecasting realized volatility, Econometrica 71 (2003), pp. 529–626.
  • Baur, D, and Jung, RC, 2006. Return and volatility linkages between the US and the German stock market, Journal of International Money and Finance 25 (2006), pp. 598–613.
  • Bollen, B, and Inder, B, 2002. Estimating daily volatility in financial markets utilizing intraday data, Journal of Empirical Finance 9 (2002), pp. 551–62.
  • Corsi, F, 2009. A simple approximate long-memory model of realized volatility, Journal of Financial Econometrics 7 (2009), pp. 174–96.
  • Diebold, FX, and Yilmaz, K, 2009. Measuring financial asset return and volatility spillovers, with application to global equity markets, The Economic Journal 119 (2009), pp. 158–71.
  • Fung, AKW, Lam, K, and Lam, KM, 2010. Do the prices of stock index futures in Asia overreact to US market returns?, Journal of Empirical Finance 17 (2010), pp. 428–40.
  • Gallo, GM, and Otranto, E, 2008. Volatility spillovers, interdependence and comovements: a Markov switching approach, Computational Statistics and Data Analysis 52 (2008), pp. 3011–26.
  • Ge˛bka, B, and Serwa, D, 2007. Intra- and inter-regional spillovers between emerging capital markets around the world, Research in International Business and Finance 21 (2007), pp. 203–21.
  • Hamao, Y, Masulis, RW, and Ng, V, 1990. Correlations in price changes and volatility across international stock markets, The Review of Financial Studies 3 (1990), pp. 281–307.
  • Harrison, B, and Moore, W, 2009. Spillover effects from London and Frankfurt to Central and Eastern European stock markets, Applied Financial Economics 19 (2009), pp. 1509–21.
  • Hasbrouck, J, 1991. The summary informativeness of stock trades: an econometric analysis, The Review of Financial Studies 4 (1991), pp. 571–95.
  • Kyle, AS, 1985. Continuous auctions and insider trading, Econometrica 53 (1985), pp. 1315–35.
  • Lin, WL, Engle, RF, and Ito, T, 1994. Do bulls and bears move across borders? International transmission of stock returns and volatility, The Review of Financial Studies 7 (1994), pp. 507–38.
  • Makridakis, S, Wheelwright, SC, and Hyndman, RJ, 1998. Forecasting – Methods and Applications, . New York: John Wiley & Sons, Inc.; 1998.
  • McLeod, AI, and Li, WK, 1983. Diagnostic checking ARMA time series models using squared-residual autocorrelations, Journal of Time Series Analysis 4 (1983), pp. 269–73.
  • Melvin, M, and Peiers Melvin, B, 2003. The global transmission of volatility in the foreign exchange market, Review of Economics and Statistics 85 (2003), pp. 670–9.
  • Menkveld, AJ, Koopman, SJ, and Lucas, A, 2007. Modeling around-the-clock price discovery for cross-listed stocks using state space methods, Journal of Business and Economic Statistics 25 (2007), pp. 213–25.
  • Pesaran, B, and Pesaran, MH, 2010. Conditional volatility and correlations of weekly returns and the VAR analysis of 2008 stock market crash, Economic Modelling 27 (2010), pp. 1398–416.
  • Pritsker, M, 2001. "The channels for financial contagion". In: Claessens, S, and Forbes, KJ, eds. International Financial Contagion, Chap. 4. Berlin: Springer-Verlag; 2001. pp. 67–95.
  • Ryoo, HJ, and Smith, G, 2004. The impact of stock index futures on the Korean stock market, Applied Financial Economics 14 (2004), pp. 243–51.
  • Savva, CS, Osborn, DR, and Gill, L, 2009. Spillovers and correlations between US and major European stock markets: the role of the euro, Applied Financial Economics 19 (2009), pp. 1595–604.
  • Soriano, P, and Climent, FJ, 2006. Volatility transmission models: a survey, Revista de Economía Financiera 10 (2006), pp. 32–81.
  • Susmel, R, and Engle, RF, 1994. Hourly volatility spillovers between international equity markets, Journal of International Money and Finance 13 (1994), pp. 3–25.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.