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Information transmission and spillover in currency markets: A generalized variance decomposition analysis
16 references·2 citing·39 second hop
Information transmission and spillover in currency markets: A generalized variance decomposition analysis (2006)Information transmission and spillover in…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)International stock market li…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…The American Business Cycle (1986)The American Business CycleAlternative Explanations of the Money-Income Correlation (1986)Alternative Explanations of t…Atheoretical macroeconometrics: A critique (1985)Atheoretical macroeconometric…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Macroeconomics and Reality (1980)Macroeconomics and RealitySovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers (2014)Sovereign CDS Spreads in Euro…Information transmission across currency futures markets: Evidence from frequency domain tests (2011)Information transmission acro…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Stochastic Simulation (1987)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Credit Rationing in Markets with Imperfect Information (1981)Time to Build and Aggregate Fluctuations (1982)Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)Chapter 2 Monetary policy shocks: What have we learned and to what end? (1999)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)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)Competition and Financial Stability (2004)
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References

  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1986Alternative Explanations of the Money-Income Correlation1,501 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1985Atheoretical macroeconometrics: A critique714 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited

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  • 1986The American Business Cycle469 cited
  • Cited by

    • 2011Information transmission across currency futures markets: Evidence from frequency domain tests26 cited
    • 2014Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers26 cited