The effects of financial crises on international stock market volatility transmission

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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ARCH modeling in finance

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Why Does Stock Market Volatility Change Over Time?

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Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

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A Capital Asset Pricing Model with Time-Varying Covariances

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Multivariate GARCH models: a survey

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Introductory Econometrics for Finance

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The Multivariate Portmanteau Statistic

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International Stock Market Efficiency and Integration: A Study of Eighteen Nations

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Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis

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Volatility spillovers across equity markets: European evidence

1998 • 181 citations

International linkages of the Chinese stock exchanges: a multivariate GARCH analysis

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Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach

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Multivariate GARCH modeling of sector volatility transmission

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1995 • 134 citations

Volatility transmission and financial crises

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Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets

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A factor analysis of international portfolio diversification

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Volatility Spillovers Across the Tasman

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Modeling the Taiwan Stock Market and International Linkages

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Volatility analysis during the Asia crisis: a multivariate GARCH‐M model for stock returns in the U.S., Germany and Japan

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Stock return dynamics and stock market interdependencies

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The Asian Financial Crisis of 1997 and Its Consequences

1999 • 11 citations