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Are financial spillovers stable across regimes?
16 references·0 citing·34 second hop
Are financial spillovers stable across regimes? (2005)Are financial spillovers stable across re…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Sample Splitting and Threshold Estimation (2000)Sample Splitting and Threshol…On crises, contagion, and confusion (2000)On crises, contagion, and con…Financial Contagion (2000)Financial ContagionInference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Estimation of a Change Point in Multiple Regression Models (1997)Chapter 8 Growth Econometrics (2005)The economics of poverty traps and persistent poverty: An asset-based approach (2006)Remittances, financial development, and growth (2008)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)A Monetary History of the United States 1867-1960 (1964)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Systemic Risk and Stability in Financial Networks (2015)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2000Financial Contagion3,393 cited
  • 2000Sample Splitting and Threshold Estimation2,901 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements

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1,412 cited
  • 2000On crises, contagion, and confusion1,270 cited
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