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Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998
16 references·0 citing·34 second hop
Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998 (2003)Unanticipated Shocks and Systemic Influen…Pure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence (2002)Pure Contagion and Investors’…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Balance-Sheet Contagion (2002)Balance-Sheet ContagionA Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Risk management lessons from Long‐Term Capital Management (2000)Risk management lessons from …Contagion: Understanding How It Spreads (2000)Contagion: Understanding How …A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…A multivariate latent factor decomposition of international bond yield spreads (2000)A multivariate latent factor …Contagion: (1999)Contagion:Contagion and Trade: Why Are Currency Crises Regional? (1998)Contagion and Trade: Why Are …Financial Crises in Emerging Markets: The Lessons from 1995 (1996)Financial Crises in Emerging …Contagious Currency Crises (1996)Contagious Currency CrisesA multi-dynamic-factor model for stock returns (1992)A multi-dynamic-factor model …Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…A Model of Balance-of-Payments Crises (1979)Bank Runs, Deposit Insurance, and Liquidity (1983)No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Emerging markets finance (2003)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Statistical aspects of ARCH and stochastic volatility (1996)High dimensional covariance matrix estimation using a factor model (2008)Rational and Self-Fulfilling Balance-of-Payments Crises (1984)Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks (1995)The Unholy Trinity of Financial Contagion (2003)A Simple Model of Herd Behavior (1992)The subprime credit crisis and contagion in financial markets (2010)Modeling financial contagion using mutually exciting jump processes (2015)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The separation of ownership and control in East Asian Corporations (2000)Contagion as a Wealth Effect (2001)Competition and Financial Stability (2004)Contagion in financial networks (2010)Limited-dependent and qualitative variables in econometrics (1983)Extreme Correlation of International Equity Markets (2001)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)Capital flows, push versus pull factors and the global financial crisis (2012)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)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)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Stories of the Twentieth Century for the Twenty-First (2012)
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 1996Contagious Currency Crises959 cited
  • 1996Financial Crises in Emerging Markets: The Lessons from 1995864 cited
  • 2000Contagion: Understanding How It Spreads812 cited
  • 1998Contagion and Trade: Why Are Currency Crises Regional?798 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 2000Risk management lessons from Long‐Term Capital Management388 cited
  • 1999Contagion:306 cited
  • 1992A multi-dynamic-factor model for stock returns215 cited
  • 2002Balance-Sheet Contagion211 cited
  • 2002Pure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence203 cited
  • 2000A multivariate latent factor decomposition of international bond yield spreads

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