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Global Stock Market Interdependencies and long-term Portfolio Diversification

https://doi.org/10.2139/ssrn.1688944
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/j.1873-5924.1993.tb00574.xopenalex-extracted
DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS?
inferredcites →https://doi.org/10.1002/jae.889openalex-extracted
The emerging market crisis and stock market linkages: further evidence
inferredcites →https://doi.org/10.1007/978-1-349-20213-3_21openalex-extracted
Mean—Variance Analysis
inferredcites →https://doi.org/10.1007/s00362-002-0131-xopenalex-extracted
Size and power of some cointegration tests under structural breaks and heteroskedastic noise
inferredcites →https://doi.org/10.1016/0165-1889(88)90041-3openalex-extracted
Statistical analysis of cointegration vectors
inferredcites →https://doi.org/10.1016/0261-5606(94)00001-hopenalex-extracted
Is the correlation in international equity returns constant: 1960–1990?
inferredcites →https://doi.org/10.1016/0378-4266(95)00027-5openalex-extracted
ARCH effects and cointegration: Is the foreign exchange market efficient?
inferredcites →https://doi.org/10.1016/0927-538x(96)00017-0openalex-extracted
First and second order inefficiency in Australasian currency markets
inferredcites →https://doi.org/10.1016/j.eneco.2010.06.009openalex-extracted
An emerging equilibrium in the EU emissions trading scheme
inferredcites →https://doi.org/10.1016/j.intfin.2004.03.001openalex-extracted
Stock market linkages in emerging markets: implications for international portfolio diversification
inferredcites →https://doi.org/10.1016/j.irfa.2004.02.017openalex-extracted
Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes
inferredcites →https://doi.org/10.1016/j.jbankfin.2004.09.002openalex-extracted
Dynamic stock market integration driven by the European Monetary Union: An empirical analysis
inferredcites →https://doi.org/10.1016/j.jfineco.2004.06.007openalex-extracted
Asset pricing with liquidity risk
inferredcites →https://doi.org/10.1016/j.jimonfin.2008.07.004openalex-extracted
Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests
inferredcites →https://doi.org/10.1016/s0165-1765(01)00361-5openalex-extracted
Increasing convergence among European stock markets?
inferredcites →https://doi.org/10.1016/s0261-5606(01)00038-9openalex-extracted
Common trends and convergence? South East Asian equity markets, 1988–1999
inferredcites →https://doi.org/10.1016/s0304-4076(01)00139-7openalex-extracted
Nonparametric tests for unit roots and cointegration
inferredcites →https://doi.org/10.1016/s0304-4076(02)00111-2openalex-extracted
Stochastic cointegration: estimation and inference
inferredcites →https://doi.org/10.1016/s0304-4076(95)01745-3openalex-extracted
Cointegration tests with conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/s1044-0283(99)00012-5openalex-extracted
Common stochastic trends and volatility in Asian-Pacific equity markets
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-extracted
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1016/s1569-3767(07)00003-9openalex-extracted
Chapter 3 Correlation dynamics between Asia-Pacific, EU and US stock returns
inferredcites →https://doi.org/10.1080/00036840210139364openalex-extracted
Financial integration and the ASEAN-5 equity markets
inferredcites →https://doi.org/10.1080/00949650008811997openalex-extracted
The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests
inferredcites →https://doi.org/10.1080/01621459.1979.10482531openalex-extracted
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
inferredcites →https://doi.org/10.1086/257177openalex-extracted
The Utility of Wealth
inferredcites →https://doi.org/10.1086/497414openalex-extracted
EMU and European Stock Market Integration*
inferredcites →https://doi.org/10.1093/0198288107.003.0004openalex-extracted
Testing for a Unit Root
inferredcites →https://doi.org/10.1093/biomet/75.2.335openalex-extracted
Testing for a Unit Root in Time Series Regression
inferredcites →https://doi.org/10.1093/rfs/3.1.5openalex-extracted
Transmission of Volatility between Stock Markets
inferredcites →https://doi.org/10.1093/rfs/hhl003openalex-extracted
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
inferredcites →https://doi.org/10.1111/1467-9957.00042openalex-extracted
Common Stochastic Trends and Convergence of European Union Stock Markets
inferredcites →https://doi.org/10.1111/1468-5957.00134openalex-extracted
International Stock Market Efficiency and Integration: A Study of Eighteen Nations
inferredcites →https://doi.org/10.1111/j.1468-5965.2010.02067.xopenalex-extracted
Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events
inferredcites →https://doi.org/10.1111/j.1540-6261.1952.tb01525.xopenalex-extracted
PORTFOLIO SELECTION*
inferredcites →https://doi.org/10.1596/1813-9450-1619openalex-extracted
Capital Flows to Latin America: Is There Evidence of Contagion Effects?
inferredcites →https://doi.org/10.2139/ssrn.1090524openalex-extracted
Correlation Dynamics between Asia-Pacific, EU and US Stock Returns
inferredcites →https://doi.org/10.2307/2328607openalex-extracted
Mean-Variance Analysis in Portfolio Choice and Capital Markets.
inferredcites →https://doi.org/10.2469/faj.v58.n6.2489openalex-extracted
Portfolio Resampling: Review and Critique
inferredcites →https://doi.org/10.2753/ree1540-496x430303openalex-extracted
Capital Market Integration in the Middle East and North Africa
inferredcites →https://doi.org/10.3386/w6669openalex-extracted
Capital Flows and the Behavior of Emerging Market Equity Returns
inferredcites →https://doi.org/10.3386/w8554openalex-extracted
Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
inferredcites →https://doi.org/10.1016/j.intfin.2010.01.002openalex-snapshot
Assessing co-ordinated Asian exchange rate regimes: Proposal for a possible move towards a common currency
inferredcites →https://doi.org/10.1111/0022-1082.00494openalex-snapshot
No Contagion, Only Interdependence: Measuring Stock Market Comovements
inferredcites →https://doi.org/10.2139/ssrn.782424openalex-snapshot
The Emerging Market Crisis and Stock Market Linkages: Further Evidence
inferredcites →https://doi.org/10.3386/w2910openalex-snapshot
Transmission of Volatility Between Stock Markets

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inferred← citeshttps://doi.org/10.1007/s12530-012-9069-yopenalex-snapshot
Evolving integrated multi-model framework for on line multiple time series prediction
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