Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes

By S. Voronkova. 2004

280 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d5b56fdce31ed3e54d5c75917a5be21b7ccb78ad

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Citations in the corpus

Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets☆ (2011, methodology): “Voronkova (2004) showed the existence of long-run links between the UK, the German, the French and three Central European stock markets (Hungary, Poland, Czech Republic) using daily data for the period 1993-2002, conditionally that structural changes are properly accounted for.”
Equity Market Integration in Emerging Balkan Markets (2011, methodology): “1 See, for example, Francis and Leachman (1998), Phylaktis (1999), Manning (2002), Chen et al. (2002), Chaudhuri and Wu (2003), Voronkova (2004), Syriopoulos (2006), and Samitas and Kenourgios (2007).”
Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact? (2007, background): “Voronkova (2004) investigates the long-run relationships between CE stock markets (Poland, Czech Republic, Hungary), T. Syriopoulos / International Review of Financial Analysis 16 (2007) 41–6042”
Stock Market Integration For The Transition Economies: Time‐Varying Conditional Correlation Approach (2008, unknown): “…including multivariate cointegration techniques with the allied concept of error correction models, Granger-causality and impulse response functions (e.g. Kasa, 1992, Richards, 1995 and Voronkova, 2004) and a variety of multivariate GARCH models (e.g. Hamao et al 1990 and Booth, et al. 1997).”
Interdependence between Eastern and Western European stock markets: Evidence from intraday data (2007, background): “…any long-term relationship among the three CEE markets (Budapest, Prague and Warsaw; the “CEE-3”) and the US and German stock markets, whereas Voronkova (2004) shows the presence of long-run links among the Central European markets and between CEE and their mature counterparts once…”
The dynamics of Central European equity market comovements (2008, methodology): “Our results support the findings in Voronkova (2004) of no cointegration between the UK and CE markets for the 1993–2002 period.”
Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model (2013, background): “…from a large body of literature on interdependence among different Central European markets (Kasch-Haroutounian and Price, 2001, Scheicher, 2001, Voronkova, 2004, Patev et al., 2006, Egert and Kocenda, 2007, Syriopulos, 2007, Gilmore et al., 2008, Wang and Moore, 2008, Savva and Aslanidis,…”