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Stock market linkages and financial contagion: A cobreaking analysis
16 references·11 citing·43 second hop
Stock market linkages and financial contagion: A cobreaking analysis (2009)Stock market linkages and financial conta…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …Market Integration and Contagion (2005)Market Integration and Contag…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…The Unholy Trinity of Financial Contagion (2003)The Unholy Trinity of Financi…Chapter 16 Are financial assets priced locally or globally? (2003)Chapter 16 Are financial asse…A Primer on Financial Contagion (2003)A Primer on Financial Contagi…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Are Financial Assets Priced Locally or Globally? (2002)Are Financial Assets Priced L…Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…International Financial Contagion (2001)International Financial Conta…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Testing For Common Features (1990)Testing For Common FeaturesThe Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Interconnectedness and systemic risk: Evidence from global stock markets (2024)Interconnectedness and system…The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic (2022)The contagion effect of jump …Debt and financial market contagion (2021)Debt and financial market con…Systemic risk contagion in FX market: A frequency connectedness and network analysis (2019)Systemic risk contagion in FX…Financial contagion: review of empirical literature (2017)Financial contagion: review o…Contagion in CDS, banking and equity markets (2015)Contagion in CDS, banking and…How Does the Financial Crisis Affect Volatility Behavior and Transmission Among European Stock Markets? 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this work references cited by second hop

References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2005Market Integration and Contagion1,061 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2003A Primer on Financial Contagion696 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited
  • 2003The Unholy Trinity of Financial Contagion619 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 2002Are Financial Assets Priced Locally or Globally?548 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues514 cited
  • 2001International Financial Contagion487 cited
  • 1990Testing For Common Features470 cited
  • 2003Chapter 16 Are financial assets priced locally or globally?

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Cited by

  • 2012Evolvement of Uniformity and Volatility in the Stressed Global Financial Village80 cited
  • 2015Contagion in CDS, banking and equity markets38 cited
  • 2017Financial contagion: review of empirical literature37 cited
  • 2011Contagion in International Stock Markets During the sub Prime Mortgage Crisis36 cited
  • 2024Interconnectedness and systemic risk: Evidence from global stock markets33 cited
  • 2011Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand: A Markov Switching VAR Approach33 cited
  • 2021Debt and financial market contagion32 cited
  • 2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic28 cited
  • 2013How Does the Financial Crisis Affect Volatility Behavior and Transmission Among European Stock Markets?27 cited
  • 2012Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE25 cited
  • 2019Systemic risk contagion in FX market: A frequency connectedness and network analysis21 cited