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Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test
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Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test (2001)Correlation Analysis of Financial Contagi…Financial contagion: review of empirical literature (2017)Financial contagion: review o…A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets (2016)A Bayesian Markov-Switching C…Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis (2014)Multivariate FIAPARCH modelli…Multivariate contagion and interdependence (2009)Multivariate contagion and in…Fatal attraction: Using distance to measure contagion in good times as well as bad (2007)Fatal attraction: Using dista…Extreme interdependence and extreme contagion between emerging markets (2007)Extreme interdependence and e…Correlation, Contagion, and Asian Evidence (2006)Correlation, Contagion, and A…Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion? (2003)Equity Transmission Mechanism…Why Does Stock Market Volatility Change Over Time? (1989)ARCH modeling in finance (1992)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions (2019)A Simple Model of Herd Behavior (1992)Leading Indicators of Currency Crises (1998)Spatial modeling of stock market comovements (2012)Economic integration and stock market dynamic linkages: evidence in the context of Australia and Asia (2016)Stabilizing effect of volatility in financial markets (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals (2010)TESTING FOR ASSET MARKET LINKAGES: A NEW APPROACH BASED ON TIME-VARYING COPULAS (2010)Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching (2015)A long memory property of stock market returns and a new model (1993)Dynamic Conditional Correlation (2002)Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets (2019)Is China a source of financial contagion? (2019)Impact of green credit on green finance and corporate emissions reduction (2023)One money, one market: the effect of common currencies on trade (2000)Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis (2021)Macroeconomics and Reality (1980)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Interdependence or contagion: A model switching approach with a focus on Latin America (2019)Multivariate Simultaneous Generalized ARCH (1995)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis (2019)Consequences of Russian invasion on Ukraine: evidence from foreign exchange rates (2022)Interconnectedness and systemic risk: Evidence from global stock markets (2024)When Are Contrarian Profits Due to Stock Market Overreaction? (1990)Asymmetric correlations of equity portfolios (2002)Foreign shocks and international cost of equity destabilization. Evidence from the MENA region (2014)Measuring stock market contagion: Local or common currency returns? (2014)Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market (2018)
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Cited by

  • 2007Extreme interdependence and extreme contagion between emerging markets62 cited
  • 2009Multivariate contagion and interdependence62 cited
  • 2014Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis52 cited
  • 2006Correlation, Contagion, and Asian Evidence45 cited
  • 2003Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?39 cited
  • 2017Financial contagion: review of empirical literature37 cited
  • 2007Fatal attraction: Using distance to measure contagion in good times as well as bad37 cited
  • 2016A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets32 cited

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