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Correlation Analysis of Financial Contagion
6 references·0 citing·28 second hop
Correlation Analysis of Financial Contagion (2011)Correlation Analysis of Financial Contagi…Anticipating Correlations: A New Paradigm for Risk Management (2009)Anticipating Correlations: A …‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…A Primer on Financial Contagion (2003)A Primer on Financial Contagi…Contagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Bank Runs, Deposit Insurance, and Liquidity (1983)Rules, discretion and reputation in a model of monetary policy (1983)Contagion and Trade: Why Are Currency Crises Regional? (1998)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)A Model of Balance-of-Payments Crises (1979)Foundations of International Macroeconomics (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Empirical modelling of contagion: a review of methodologies (2005)Social Interactions in High School: Lessons from an Earthquake (2007)Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)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)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)Jump tails, extreme dependencies, and the distribution of stock returns (2012)Dynamic Conditional Beta (2016)Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China (2019)Family succession and firm performance: Evidence from Italian family firms (2007)Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Service Regulation and Growth: Evidence from OECD Countries (2011)Competition and Financial Stability (2004)
this work references cited by second hop

References

  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1996Contagious Currency Crises: First Tests847 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 2003A Primer on Financial Contagion696 cited
  • 2009Anticipating Correlations: A New Paradigm for Risk Management206 cited

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