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How can a small country affect the European economy? The Greek contagion phenomenon
16 references·16 citing·33 second hopsampled
How can a small country affect the European economy? The Greek contagion phenomenon (2013)How can a small country affect the Europe…A review of copula models for economic time series (2012)A review of copula models for…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Entrepreneurship, Economic Growth and Public Policy (2006)Entrepreneurship, Economic Gr…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…Copula Methods in Finance (2004)Copula Methods in FinanceDynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Financial Market Contagion in the Asian Crisis (1999)Financial Market Contagion in…Understanding Relationships Using Copulas (1998)Understanding Relationships U…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Financial contagion effects of major crises in African stock markets (2022)Financial contagion effects o…Contagion and tail risk in complex financial networks (2022)Contagion and tail risk in co…Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic (2020)Risk aversion connectedness i…Financial contagion in real economy: The key role of policy uncertainty (2020)Financial contagion in real e…Time-Varying Dependence in European Equity Markets: A Contagion and Investor Sentiment Driven Analysis (2019)Time-Varying Dependence in Eu…Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be? (2017)Empirical analysis of market …A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test (2017)A pre-crisis vs. crisis analy…International contagion through financial versus non-financial firms (2016)International contagion throu…Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries (2016)Determinants of sovereign bon…Assessing time-varying stock market integration in Economic and Monetary Union for normal and crisis periods (2016)Assessing time-varying stock …The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach (2015)The contagion channels of Jul…Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market (2015)Contagion effects during fina…The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion (2014)The impact of the 2008 and 20…Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets (2013)Putting the “C” into crisis: …Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes (2013)Contagion and Global Financia…Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam (2012)Copula model dependency betwe…ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A Capital Asset Pricing Model with Time-Varying Covariances (1988)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)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)The Econometrics of Financial Markets (1997)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)The t Copula and Related Copulas (2007)Competition and Financial Stability (2004)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2006Entrepreneurship, Economic Growth and Public Policy803 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 1999Financial Market Contagion in the Asian Crisis

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594 cited
  • 2012A review of copula models for economic time series587 cited
  • Cited by

    • 2012Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam181 cited
    • 2014The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion92 cited
    • 2013Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets89 cited
    • 2017A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test83 cited
    • 2022Contagion and tail risk in complex financial networks77 cited
    • 2013Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes70 cited
    • 2019Time-Varying Dependence in European Equity Markets: A Contagion and Investor Sentiment Driven Analysis62 cited
    • 2015The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach61 cited
    • 2015Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market57 cited
    • 2016Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries48 cited
    • 2017Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?48 cited
    • 2022Financial contagion effects of major crises in African stock markets45 cited
    • 2020Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic41 cited
    • 2016International contagion through financial versus non-financial firms40 cited
    • 2020Financial contagion in real economy: The key role of policy uncertainty35 cited
    • 2016Assessing time-varying stock market integration in Economic and Monetary Union for normal and crisis periods35 cited