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News spillovers from the Greek debt crisis: Impact on the Eurozone financial sector
16 references·5 citing·42 second hop
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 2005Market Integration and Contagion1,061 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2010Oil Price Uncertainty655 cited
  • 2010The subprime credit crisis and contagion in financial markets654 cited
  • 2003The Unholy Trinity of Financial Contagion619 cited
  • 1999Financial Market Contagion in the Asian Crisis594 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
  • 2002Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?399 cited
  • 2005News spillovers in the sovereign debt market

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378 cited
  • 1999What triggers market jitters?308 cited
  • Cited by

    • 2015A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector39 cited
    • 2019Turkish currency crisis – Spillover effects on European banks28 cited
    • 2017Bank-sovereign contagion in the Eurozone: A panel VAR Approach20 cited
    • 2020A Weighted and Directed Perspective of Global Stock Market Connectedness: A Variance Decomposition and GERGM Framework19 cited
    • 2024How social media expedites the crisis spillover effect: A case study of Tesla's recall event11 cited