create a website

Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note. (2017). Wohar, Mark ; GUPTA, RANGAN ; Donzwa, Wilson.
In: Working Papers.
RePEc:pre:wpaper:201764.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 14

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Bilal, M. A. (2016). Zeroing in: Asset Pricing at the Zero Lower Bound. Available for download from: https://ssrn.com/abstract=2897926.
    Paper not yet in RePEc: Add citation now
  2. Chang, T.C., Lin, S.J., 1999. Grey relation analysis of carbon dioxide emissions from industrial production and energy uses in Taiwan. Journal of Environmental Management, 56, 247–257.
    Paper not yet in RePEc: Add citation now
  3. Cheung, Y., & Ng, L. (1996). A causality in variance test and its application to financial market prices. Journal of Econometrics 72(1-2), 33-48.

  4. Chuliá, H., Gupta, R., Uribe, J., and Wohar, M.E. (2017). Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. Journal of International Financial Markets, Institutions and Money 48, 178-191.

  5. Damjanović, M., and Masten, I. (2016). Shadow short rate and monetary policy in the Euro area. Empirica 43(2), 279.

  6. Deng, J.L., 1982. Control problems of grey system. System and Control Letters 1, 288–294.
    Paper not yet in RePEc: Add citation now
  7. Hafner, C., & Herwartz, H. (2006). A Lagrange multiplier test for causality in variance. Economics Letters, 93, 137-141.

  8. Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics 103(1-2), 183-224.

  9. Johannsen, B., & Mertens, E. (2015). The Shadow Rate of Interest, Macroeconomic Trends and Time-Varying Uncertainty. Society for Economic Measurement Annual Conference. Paper 179. Available for download from: http://repository.cmu.edu/sem_conf/2015/full_schedule/179.
    Paper not yet in RePEc: Add citation now
  10. Krippner, L. (2013). A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models. Discussion Paper, Reserve Bank of New Zealand, 2013/02..

  11. Pastor, L., and Veronesi, P. (2012). Uncertainty about government policy and stock prices.

  12. Rajan, R. G. (2006). Has Finance Made the World Riskier? European Financial Management 12, 499–533.

  13. Valera, H.A.G., Holmes, M.J, and Gazi, H. (2017). Stock market uncertainty and interest rate: A Panel GARCH Approach. Applied Economics Letters, 24(11), 732-735.
    Paper not yet in RePEc: Add citation now
  14. Xu, J. (2007). Interest rate uncertainty and stock market volatility. (Unpublished master thesis), Singapore Management University, Singapore.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Granger causality stock market networks: Temporal proximity and preferential attachment. (2015). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:427:y:2015:i:c:p:262-276.

    Full description at Econpapers || Download paper

  2. The causal linkages between sovereign CDS prices for the BRICS and major European economies. (2014). Stolbov, Mikhail.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:20149.

    Full description at Econpapers || Download paper

  3. Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’. (2013). Miyazaki, Takashi ; Hamori, Shigeyuki.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:1:p:27-40.

    Full description at Econpapers || Download paper

  4. Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS. (2013). Zhang, Yue ; Wang, Juan.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:205-217.

    Full description at Econpapers || Download paper

  5. Fear sentiments and gold price: testing causality in-mean and in-variance. (2012). Qadan, Mahmod ; Yagil, Joseph.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:19:y:2012:i:4:p:363-366.

    Full description at Econpapers || Download paper

  6. Mortgage Lending and the Great moderation: a multivariate GARCH Approach. (2012). Grydaki, Maria ; Bezemer, Dirk J.
    In: MPRA Paper.
    RePEc:pra:mprapa:36356.

    Full description at Econpapers || Download paper

  7. Return and volatility spillovers among CIVETS stock markets. (2012). Korkmaz, Turhan ; Çevik, Emrah ; Atukeren, Erdal.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:13:y:2012:i:2:p:230-252.

    Full description at Econpapers || Download paper

  8. Volatility Transmission in Emerging European Foreign Exchange Markets. (2011). Kočenda, Evžen ; Bubak, Vit ; Zikes, Filip.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2011-1020.

    Full description at Econpapers || Download paper

  9. Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market. (2011). Onour, Ibrahim.
    In: MPRA Paper.
    RePEc:pra:mprapa:28001.

    Full description at Econpapers || Download paper

  10. On the Interpretation of Causality in Granger’s Sense. (2011). Osinska, Magdalena ; Osiska, Magdalena.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:11:y:2011:p:129-140.

    Full description at Econpapers || Download paper

  11. Sovereign CDS Instruments in Central Europe – Linkages and Interdependence. (2011). Kliber, Agata.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:11:y:2011:p:111-128.

    Full description at Econpapers || Download paper

  12. Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US. (2010). Papadopoulos, Athanasios ; Kanas, Angelos ; Giannellis, Nikolaos.
    In: Panoeconomicus.
    RePEc:voj:journl:v:57:y:2010:i:4:p:429-445.

    Full description at Econpapers || Download paper

  13. Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil. (2010). Tasdemir, Murat ; Yalama, Abdullah .
    In: Working Papers.
    RePEc:tek:wpaper:2010/8.

    Full description at Econpapers || Download paper

  14. Volatility Transmission in Emerging European Foreign Exchange Markets. (2010). Kočenda, Evžen ; Bubak, Vit ; Zikes, Filip ; Kocenda, Even.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3063.

    Full description at Econpapers || Download paper

  15. Energy prices and China’s international competitiveness. (2009). Hamori, Shigeyuki ; Chen, Guifu.
    In: MPRA Paper.
    RePEc:pra:mprapa:18827.

    Full description at Econpapers || Download paper

  16. Financial variables and euro area growth: A non-parametric causality analysis. (2009). Panopoulou, Ekaterini.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:6:p:1414-1419.

    Full description at Econpapers || Download paper

  17. Bayesian causal effects in quantiles: Accounting for heteroscedasticity. (2009). Chen, Cathy W. S. ; Wei, D. C. M., ; Gerlach, Richard.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:1993-2007.

    Full description at Econpapers || Download paper

  18. A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008. (2009). Capistrán, Carlos ; Benavides, Guillermo.
    In: Working Papers.
    RePEc:bdm:wpaper:2009-10.

    Full description at Econpapers || Download paper

  19. Return, Trading Volume, and Market Depth in Currency Futures Markets. (2008). Cheung, Yin-Wong ; Cheng, Ai-Ru.
    In: Working Papers.
    RePEc:hkm:wpaper:202008.

    Full description at Econpapers || Download paper

  20. Information content of commodity futures prices for monetary policy. (2008). Hamori, Shigeyuki ; Bhar, Ramaprasad.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:25:y:2008:i:2:p:274-283.

    Full description at Econpapers || Download paper

  21. Causality in Quantiles and Dynamic Stock Return-Volume Relations. (2007). Lin, Hsin-Yi ; Kuan, Chung-Ming ; Chuang, Chia-Chang.
    In: IEAS Working Paper : academic research.
    RePEc:sin:wpaper:07-a006.

    Full description at Econpapers || Download paper

  22. Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model. (2007). Teräsvirta, Timo ; Nakatani, Tomoaki ; Terasvirta, Timo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0649.

    Full description at Econpapers || Download paper

  23. Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques. (2007). Rouabah, Abdelaziz.
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp025.

    Full description at Econpapers || Download paper

  24. On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911. (2006). Chan, Tze-Haw ; Hooy, Chee-Wooi.
    In: MPRA Paper.
    RePEc:pra:mprapa:2032.

    Full description at Econpapers || Download paper

  25. The predictive content of financial variables: Evidence from the euro area. (2006). Panopoulou, Ekaterini.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp178.

    Full description at Econpapers || Download paper

  26. A Lagrange multiplier test for causality in variance. (2006). Hafner, Christian ; Herwartz, Helmut.
    In: Economics Letters.
    RePEc:eee:ecolet:v:93:y:2006:i:1:p:137-141.

    Full description at Econpapers || Download paper

  27. A model-free characterization of causality. (2006). Baghli, Mustapha .
    In: Economics Letters.
    RePEc:eee:ecolet:v:91:y:2006:i:3:p:380-388.

    Full description at Econpapers || Download paper

  28. Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities. (2005). Shamiri, Ahmed ; Hassan, Abu.
    In: Econometrics.
    RePEc:wpa:wuwpem:0509015.

    Full description at Econpapers || Download paper

  29. Mean and variance causality between the Cyprus Stock Exchange and major equity markets. (2005). Kouretas, Georgios ; Georgiades, Robert ; Constantinou, Eleni ; Kazandjian, Avo.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:24.

    Full description at Econpapers || Download paper

  30. Integration at a cost: Evidence from volatility impulse response functions. (2005). Pantelidis, Theologos ; Panopoulou, Ekaterini.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n1540305.

    Full description at Econpapers || Download paper

  31. Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan. (2005). Glascock, John ; Cheng, Hwahsin.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:24:y:2005:i:4:p:343-357.

    Full description at Econpapers || Download paper

  32. Testing for causality in variance in the presence of breaks. (2005). van Dijk, Dick ; Sensier, Marianne ; Osborn, Denise.
    In: Economics Letters.
    RePEc:eee:ecolet:v:89:y:2005:i:2:p:193-199.

    Full description at Econpapers || Download paper

  33. Mean and variance causality between the Cyprus Stock Exchange and major equity markets. (2005). Kouretas, Georgios ; Georgiades, Robert ; Constantinou, Eleni ; Kazandjian, Avo.
    In: Working Papers.
    RePEc:crt:wpaper:0501.

    Full description at Econpapers || Download paper

  34. Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies.. (2005). Worthington, Andrew ; Taing, Siv.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:8:y:2005:n:2:p:371-388.

    Full description at Econpapers || Download paper

  35. Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?. (2005). Blanco, Roberto ; Alonso, Francisco.
    In: Working Papers.
    RePEc:bde:wpaper:0541.

    Full description at Econpapers || Download paper

  36. Testing for Causality in Variance using Multivariate GARCH Models. (2004). Hafner, Christian ; Herwartz, Helmut.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:1690.

    Full description at Econpapers || Download paper

  37. Do Chinese stock markets share common information arrival processes?. (2004). Wu, Ziping ; McErlean, Seamus ; Kostov, Philip.
    In: Econometrics.
    RePEc:wpa:wuwpem:0410001.

    Full description at Econpapers || Download paper

  38. Testing for Granger causality in variance in the presence of causality in mean. (2004). pittis, nikitas ; Pantelidis, Theologos.
    In: Economics Letters.
    RePEc:eee:ecolet:v:85:y:2004:i:2:p:201-207.

    Full description at Econpapers || Download paper

  39. Granger Causality Among Pre-Crisis East Asian Exchange Rates. (2004). PARK, DONGHYUN ; Alba, Joseph.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:697.

    Full description at Econpapers || Download paper

  40. East Asian Equity Markets, Financial Crises, and the Japanese Currency. (2003). Cheung, Yin-Wong.
    In: Working Papers.
    RePEc:hkm:wpaper:032003.

    Full description at Econpapers || Download paper

  41. Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models. (2002). li, wenli ; Wong, H..
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:54:y:2002:i:1:p:45-59.

    Full description at Econpapers || Download paper

  42. A test for volatility spillover with application to exchange rates. (2001). Hong, Yongmiao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:103:y:2001:i:1-2:p:183-224.

    Full description at Econpapers || Download paper

  43. Studies in Estimation and Testing. (2001). hsiao, cheng ; Perrigne, Isabelle.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:103:y:2001:i:1-2:p:1-4.

    Full description at Econpapers || Download paper

  44. Causality tests and conditional heteroskedasticity: : Monte Carlo evidence. (2001). Vilasuso, Jon.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:101:y:2001:i:1:p:25-35.

    Full description at Econpapers || Download paper

  45. A cointegration approach to the lead-lag effect among size-sorted equity portfolios. (2001). Kouretas, Georgios ; Kanas, Angelos.
    In: Working Papers.
    RePEc:crt:wpaper:0101.

    Full description at Econpapers || Download paper

  46. Equity Price Dynamics Before and After the Introduction of the Euro: A Note. (2001). Westermann, Frank ; Cheung, Yin-Wong.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_420.

    Full description at Econpapers || Download paper

  47. Correlations in Returns and Volatilities in Pacific-Rim Stock Markets. (2000). Zhu, Zhen ; Tay, Nicholas.
    In: Open Economies Review.
    RePEc:kap:openec:v:11:y:2000:i:1:p:27-47.

    Full description at Econpapers || Download paper

  48. Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. (2000). Henry, Ólan ; Brooks, Chris.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:17:y:2000:i:4:p:497-513.

    Full description at Econpapers || Download paper

  49. GARCH for Irregularly Spaced Data: The ACD-GARCH Model. (1997). Jasiak, Joann ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-06.

    Full description at Econpapers || Download paper

  50. Asymmetric covariance in sport-future markets. (). Torro, Hipolit ; Meneu, Vicente.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:135.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-23 06:03:28 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.