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Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries
16 references·4 citing·34 second hop
Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries (2013)Directional spillovers from the U.S. and …Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Dynamic spillovers between oi…On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)On the impacts of oil price f…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…On the influence of oil prices on economic activity and other macroeconomic and financial variables* (2008)On the influence of oil price…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Stock market integration in ASEAN after the Asian financial crisis (2005)Stock market integration in A…Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Shock and volatility transmis…Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Dynamic stock market integrat…The structure of interdependence in international stock markets (2003)The structure of interdepende…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Generalised Impulse Response Analysis in Linear Multivariate Models (1997)Generalised Impulse Response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Dynamic volatility spillover and network connectedness across ASX sector markets (2021)Dynamic volatility spillover …Fear connectedness among asset classes (2018)Fear connectedness among asse…The connectedness between crude oil and financial markets: Evidence from implied volatility indices (2016)The connectedness between cru…MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008 (2015)MENA stock market volatility …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Oil and the Macroeconomy since World War II (1983)Oil price shocks and stock market activity (1999)What is an Oil Shock? (2000)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)Macroeconomics and Reality (1980)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Volatility transmission between oil prices and equity sector returns (2009)Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment (2010)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)The robustness of identified VAR conclusions about money (1998)Extreme Correlation of International Equity Markets (2001)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2011On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness487 cited
  • 2005Shock and volatility transmission in the oil, US and Gulf equity markets417 cited
  • 2003The structure of interdependence in international stock markets413 cited
  • 1997Generalised Impulse Response Analysis in Linear Multivariate Models412 cited
  • 2012Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries347 cited
  • 2005Dynamic stock market integration driven by the European Monetary Union: An empirical analysis

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346 cited
  • 2005Stock market integration in ASEAN after the Asian financial crisis294 cited
  • 2008On the influence of oil prices on economic activity and other macroeconomic and financial variables*292 cited
  • Cited by

    • 2016The connectedness between crude oil and financial markets: Evidence from implied volatility indices105 cited
    • 2018Fear connectedness among asset classes39 cited
    • 2021Dynamic volatility spillover and network connectedness across ASX sector markets34 cited
    • 2015MENA stock market volatility persistence: Evidence before and after the financial crisis of 200829 cited