Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework
By Ramaprasad Bhar, Biljana Nikolova. 2009
182 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/985ed237daf94b696753d398f0ef37db029bc9c1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Sang Hoon Kang
- Duc Khuong Nguyen
- Walid Mensi
- Shawkat Hammoudeh
- Adel Boubaker
- Beljid Makram
- Theodore Syriopoulos
- George Filis
In Finance
- Duc Khuong Nguyen
- Walid Mensi
- Sang Hoon Kang
- Shawkat Hammoudeh
- Adel Boubaker
- Beljid Makram
- Theodore Syriopoulos
- George Filis
Citations in the corpus
- Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis (2015, background): “…departing from past empirical practice that has conventionally focused on an aggregate global, regional or country stock market level (An, 2010; Bhar & Nikolova, 2009a, 2009b; Bianconi, Yoshino, & Machodo de Sousa, 2013; Hammoudeh, Sari, Uzunkaya, & Liu, 2013; Singh, Kumar, & Pandey, 2010; Xu…”
- Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, methodology): “Using the same model as in Bhar and Nikolova (2009), Abbas et al. (2013) investigate the presence of volatility transmission among regional Asian equity markets (Pakistan, China, India and Sri Lanka) and three regional and developed stock markets (United States, United Kingdom and Singapore).”