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Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries
16 references·1 citing·38 second hopsampled
Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries (2010)Spillover Effects of the US Financial Cri…Liquidity and leverage (2008)Liquidity and leverageDynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Market Integration and Contagion (2005)Market Integration and Contag…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…A Decomposition of Global Linkages in Financial Markets Over Time (2004)A Decomposition of Global Lin…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Contagion and trade (1999)Contagion and tradeContagion and Trade: Why Are Currency Crises Regional? (1998)Contagion and Trade: Why Are …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets (2016)Dynamic correlation and equic…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)How Sovereign Is Sovereign Credit Risk? (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Aggregate Confusion: The Divergence of ESG Ratings (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)CoVaR (2016)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The distribution of realized stock return volatility (2001)Asset pricing with liquidity risk (2005)
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References

  • 2002Dynamic Conditional Correlation7,229 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2008Liquidity and leverage2,557 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,814 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2005Market Integration and Contagion1,095 cited
  • 2003A New Approach to Measuring Financial Contagion1,047 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets913 cited
  • 1998Contagion and Trade: Why Are Currency Crises Regional?798 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 1999Contagion and trade574 cited
  • 2004

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A Decomposition of Global Linkages in Financial Markets Over Time
460 cited

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  • 2016Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets17 cited