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The interaction between money and asset markets: A spillover index approach · Study

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ArticleThe interaction between money and asset markets: A spillover index approach

Unknown author2013

Article2013

The interaction between money and asset markets: A spillover index approach

Unknown author

66 citations·0/0 files stored·Journal of Macroeconomics

No readable copy stored yet — this record is metadata only.

Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 66 citations exist upstream.

References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1980On the Estimation of Security Price Volatilities from Historical Data 2006Facts and Fantasies about Commodity Futures

Cited by

2018Financial connectedness of BRICS and global sovereign bond markets 2016Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility 2015Volatility spillovers in EMU sovereign bond markets 2018Are generalized spillover indices overstating connectedness?2020Volatility spillovers in Australian electricity markets 2022Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves 2018Modelling return and volatility spillovers in global foreign exchange markets 2017Modelling the directional spillovers from DJIM Index to conventional benchmarks: Different this time?

Details

Year2013

Typearticle

Published2013-10-04

VenueJournal of Macroeconomics

ISSN-L0164-0704

Languageen

Citations66

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.1016/j.jmacro.2013.09.006

openalex_workW1968691826

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