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The current global financial crisis: Do Asian stock markets show contagion or interdependence effects?
16 references·9 citing·39 second hop
The current global financial crisis: Do Asian stock markets show contagion or interdependence effects? (2012)The current global financial crisis: Do A…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Market Integration and Contagion (2005)Market Integration and Contag…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…Rational contagion and the globalization of securities markets (2000)Rational contagion and the gl…Fear of Floating (2000)Fear of FloatingContagion: Understanding How It Spreads (2000)Contagion: Understanding How …What caused the Asian currency and financial crisis? (1999)What caused the Asian currenc…Financial Market Contagion in the Asian Crisis (1999)Financial Market Contagion in…Currency crashes in emerging markets: An empirical treatment (1996)Currency crashes in emerging …Capital Flows to Latin America: Is There Evidence of Contagion Effects? (1996)Capital Flows to Latin Americ…Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks (1995)Exchange Market Mayhem: The A…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors (2023)The extreme return connectedn…Spillovers on sectoral sukuk returns: evidence from country level analysis (2022)Spillovers on sectoral sukuk …Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness (2022)Return and volatility spillov…Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis (2022)Is the COVID-19 pandemic more…Quantile connectedness between Sukuk bonds and the impact of COVID-19 (2021)Quantile connectedness betwee…Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis (2021)Multiscale financial risk con…Short term response of Chinese stock markets to the outbreak of COVID-19 (2020)Short term response of Chines…Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets (2018)Return and Volatility Spillov…Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets (2015)Measuring financial market ri…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Empirical exchange rate models of the seventies (1983)Political and economic determinants of budget deficits in the industrial democracies (1989)Political and Monetary Institutions and Public Financial Policies in the Industrial Countries (1991)Models of Currency Crises with Self-Fulfilling Features (1995)Is the crisis problem growing more severe? (2001)The Globalization of Liberalization: Policy Diffusion in the International Political Economy (2004)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)A Model of Balance-of-Payments Crises (1979)Leading Indicators of Currency Crises (1998)The Modern History of Exchange Rate Arrangements: A Reinterpretation (2004)From Financial Crash to Debt Crisis (2011)The General Theory of Employment (1937)On the Impossibility of Informationally Efficient Markets (1980)A Simple Model of Herd Behavior (1992)Contagion as a Wealth Effect (2001)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)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)Emerging markets finance (2003)International Stock Return Comovements (2005)Capital flows, push versus pull factors and the global financial crisis (2012)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)A Theory of Optimum Currency Areas (1961)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Staggered Prices in a Utility-Maximizing Framework (1996)Distinguished Lecture on Economics in Government—Exchange Rate Regimes: Is the Bipolar View Correct? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Stories of the Twentieth Century for the Twenty-First (2012)Econometric Analysis of Cross Section and Panel Data (2001)Extreme Correlation of International Equity Markets (2001)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 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
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2000Fear of Floating2,063 cited
  • 1996Currency crashes in emerging markets: An empirical treatment1,940 cited
  • 1995Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks1,205 cited
  • 2005Market Integration and Contagion1,061 cited
  • 2000Rational contagion and the globalization of securities markets952 cited
  • 1999What caused the Asian currency and financial crisis?915 cited
  • 2000Contagion: Understanding How It Spreads812 cited
  • 2001Long-Term Global Market Correlations783 cited
  • 1999Financial Market Contagion in the Asian Crisis594 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues514 cited

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  • 1996Capital Flows to Latin America: Is There Evidence of Contagion Effects?476 cited
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    • 2020Short term response of Chinese stock markets to the outbreak of COVID-19138 cited
    • 2022Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness131 cited
    • 2021Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis69 cited
    • 2015Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets60 cited
    • 2021Quantile connectedness between Sukuk bonds and the impact of COVID-1947 cited
    • 2023The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors39 cited
    • 2022Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis34 cited
    • 2022Spillovers on sectoral sukuk returns: evidence from country level analysis31 cited
    • 2018Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets29 cited