The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.
A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada
Abstract
This study examines the short-run dynamics of returns and volatility for stocks traded on the New York and Toronto stock exchanges. The main finding is that inferences about the magnitude and persistence of return innovations that originate in either market and that transmit to the other market depend importantly on how the cross-market dynamics in volatility are modeled. Moreover, much weaker cross-market dynamics in returns and volatility prevail during later subperiods and especially for Canadian stocks with shares dually listed in New York. Implications for international asset pricing, hedging strategies, and regulatory policy are discussed.
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Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Sims, C. A. (1980) · Econometrica · doi:10.2307/1912017 · Cited by 12,727
Multivariate Simultaneous Generalized ARCH
Engle, R. F., & Kroner, K. F. (1995) · Econometric Theory · doi:10.1017/s0266466600009063 · Cited by 4,487
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Bollerslev, T., & Wooldridge, J. M. (1992) · Econometric Reviews · doi:10.1080/07474939208800229 · Cited by 3,217
A Capital Asset Pricing Model with Time-Varying Covariances
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988) · Journal of Political Economy · doi:10.1086/261527 · Cited by 3,138
Estimation and Inference in Nonlinear Structural ModelsPreprint
Berndt, E. R., Hall, B. H., Hall, R. E., & Hausman, J. A. (1974) · RePEc: Research Papers in Economics · Cited by 2,094
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
International Transmission of Stock Market Movements
Eun, C. S., & Shim, S. (1989) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2330774 · Cited by 1,412
The financial analysts journal
Financial Analysts Federation (1960) · Medical Entomology and Zoology · Cited by 1,060
Cited by
Sadorsky, P. (2012) · Energy Economics · doi:10.1016/j.eneco.2011.03.006 · Cited by 874
Risk Everywhere: Modeling and Managing Volatility
Bollerslev, T., Hood, B., Huss, J., & Pedersen, L. H. (2018) · The Review of Financial Studies · doi:10.1093/rfs/hhy041 · Cited by 359
Metadata
- Authors
- Karolyi, G. A.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1995-01
- Volume
- 13
- Issue
- 1
- Pages
- 11-25
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2131426928
- Cited by
- 499
- References
- 31
- FWCI
- 9.76
- Type
- journal article
- Language
- en
- Open access
- closed
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- 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. https://doi.org/10.1080/07350015.1995.10524575
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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