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Direct Identification of Crisis Periods on the CEE Stock Markets: The Influence of the 2007 U.S. Subprime Crisis
16 references·0 citing·49 second hop
Direct Identification of Crisis Periods on the CEE Stock Markets: The Influence of the 2007 U.S. Subprime Crisis (2014)Direct Identification of Crisis Periods o…Sudden Stops in the Euro Area (2012)Sudden Stops in the Euro AreaOver the Cliff: From the Subprime to the Global Financial Crisis (2011)Over the Cliff: From the Subp…The Cross-Country Incidence of the Global Crisis (2010)The Cross-Country Incidence o…Cross-country experiences and policy implications from the global financial crisis (2010)Cross-country experiences and…Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis (2009)Transmission of the U.S. subp…The Subprime Turmoil: What's Old, What's New, and What's Next (2009)The Subprime Turmoil: What's …Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2006)Asymmetries in Stock Returns:…Market Integration and Contagion (2005)Market Integration and Contag…Market States and Momentum (2004)Market States and MomentumDuration Dependence in Stock Prices (2004)Duration Dependence in Stock …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A simple framework for analysing bull and bear markets (2002)A simple framework for analys…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Contagion: How to Measure It? (2001)Contagion: How to Measure It?A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Econometrics of Financial Markets (1997)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Does Monetary Policy Have Asymmetric Effects on Stock Returns? (2007)Assessing financial market integration in Asia – Equity markets (2010)Regime Changes and Financial Markets (2012)Time‐Varying World Market Integration (1995)Foreign Speculators and Emerging Equity Markets (2000)‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)Modeling financial contagion using mutually exciting jump processes (2015)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)The Aftermath of Financial Crises (2009)How to Deal with Real Estate Booms: Lessons from Country Experiences (2011)Liquidity management of U.S. global banks: Internal capital markets in the great recession (2012)Policies for Macrofinancial Stability (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)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)A Black Swan in the Money MarketBy How Much Does GDP Rise If the Government Buys More Output? (2009)Is Monetary Policy Effective During Financial Crises? (2009)Some Fiscal Calculus (2010)On the international transmission of shocks: Micro-evidence from mutual fund portfolios (2012)The Real Effects of Disrupted Credit: Evidence from the Global Financial Crisis (2018)Does the Stock Market Overreact? (1985)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Momentum has its moments (2014)Momentum crashes (2016)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Market Liquidity and Funding Liquidity (2008)Bank lending during the financial crisis of 2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Return and volatility spillovers among the East Asian equity markets (2009)What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk (2012)Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2005Market Integration and Contagion1,061 cited
  • 2004Market States and Momentum995 cited
  • 2001Long-Term Global Market Correlations783 cited
  • 2002A simple framework for analysing bull and bear markets593 cited
  • 2009Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis433 cited
  • 2010Cross-country experiences and policy implications from the global financial crisis427 cited
  • 2011Over the Cliff: From the Subprime to the Global Financial Crisis400 cited
  • 2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation391 cited
  • 2010The Cross-Country Incidence of the Global Crisis384 cited
  • 2004Duration Dependence in Stock Prices259 cited
  • 2012Sudden Stops in the Euro Area203 cited
  • 2001Contagion: How to Measure It?165 cited
  • 2009The Subprime Turmoil: What's Old, What's New, and What's Next

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