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Asset price volatility and financial contagion: analysis using the MS-VAR framework
16 references·0 citing·41 second hop
Asset price volatility and financial contagion: analysis using the MS-VAR framework (2014)Asset price volatility and financial cont…Empirical modelling of contagion: a review of methodologies (2005)Empirical modelling of contag…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A Memory-Based Model of Bounded Rationality (2002)A Memory-Based Model of Bound…Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…Rational contagion and the globalization of securities markets (2000)Rational contagion and the gl…Openness, Productivity and Growth: What Do We Really Know? (1997)Openness, Productivity and Gr…Markov-Switching Vector Autoregressions (1997)Markov-Switching Vector Autor…Contagious Currency Crises (1996)Contagious Currency CrisesContagious speculative attacks (1995)Contagious speculative attacksTransmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Bank Runs, Deposit Insurance, and Liquidity (1983)Bank Runs, Deposit Insurance,…Manias, Panics, and Crashes: A History of Financial Crises (1979)Manias, Panics, and Crashes: …A Model of Balance-of-Payments Crises (1979)No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Contagion: Understanding How It Spreads (2000)Emerging markets finance (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)Generalized autoregressive conditional heteroskedasticity (1986)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Financial Contagion (2000)Market Liquidity and Funding Liquidity (2008)A Monetary History of the United States, 1867-1960 (2017)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)Sources of Slow Growth in African Economies (1997)Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence (2000)Does financial liberalization spur growth? (2005)The East Asian Financial Crisis: Diagnosis, Remedies, Prospects (1998)The Adaptive Markets Hypothesis (2004)From Financial Crash to Debt Crisis (2011)Competition and Financial Stability (2004)Extreme Correlation of International Equity Markets (2001)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)
this work references cited by second hop

References

  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1979Manias, Panics, and Crashes: A History of Financial Crises2,838 cited
  • 1997Openness, Productivity and Growth: What Do We Really Know?2,364 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1996Contagious Currency Crises959 cited
  • 2000Rational contagion and the globalization of securities markets952 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 1997Markov-Switching Vector Autoregressions583 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues514 cited
  • 2002A Memory-Based Model of Bounded Rationality491 cited

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1995
Contagious speculative attacks
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