Using high‐frequency data, this study investigates intraday price discovery and volatility
transmission between the Chinese stock index and the newly established stock index …

While the event study method has made significant contributions to strategic management
research, most event study research published in management journals has analyzed the …

This research looks at how volatility in the oil and natural gas sectors changes over time and
across markets. We empirically examine the univariate and bivariate time-series properties …

Major global events can lead to a change in the cross‐country correlation of assets. Using
stock prices from 25 economies, we test whether the terrorist attack in the United States on …

This study reviews the literature on volatility transmission in order to determine what we
have learnt about the different methodologies applied. In particular, GARCH, regime …

We consider the definition and measurement of contagion by analysing the 1997 East Asian
financial crisis in the equity markets of eight countries using dynamic conditional correlation …

In this paper we examine the international transmission of the 1997 South East Asia
financial crisis. We estimate a bivariate GARCH-BEKK model, and carry out LR tests for …

Mangrove forests provide many ecosystem services but are among the world's most
threatened ecosystems. Mangroves vary substantially according to their geomorphic and …

This book provides an essential toolkit for all students wishing to know more about the
modelling and analysis of financial data. Applications of econometric techniques are …

This book which provides an overview of contemporary topics related to the modelling of
financial time series, is set against a backdrop of rapid expansions of interest in both the …