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Financial contagion of the 2008 crisis: is there any evidence of financial contagion from the US to the Baltic states
16 references·0 citing·38 second hop
Financial contagion of the 2008 crisis: is there any evidence of financial contagion from the US to the Baltic states (2011)Financial contagion of the 2008 crisis: i…U.S. Stock Market Crashes and Their Aftermath: Implications for Monetary Policy (2002)U.S. Stock Market Crashes and…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Volatility dependence and contagion in emerging equity markets (2001)Volatility dependence and con…Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…Contagion: How to Measure It? (2001)Contagion: How to Measure It?No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Contagion (1998)ContagionContagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Expected stock returns and volatility (1987)Expected stock returns and vo…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…Implications of Microstructure Theory for Empirical Research on Stock Price Behavior (1980)Implications of Microstructur…Bank Runs, Deposit Insurance, and Liquidity (1983)Rules, discretion and reputation in a model of monetary policy (1983)Contagion and Trade: Why Are Currency Crises Regional? (1998)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)The relationship between return and market value of common stocks (1981)A Further Investigation of the Weekend Effect in Stock Returns (1984)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)The Efficient Market Hypothesis and Its Critics (2003)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)The portfolio flows of international investors (2001)Emerging markets finance (2003)Financial contagion during COVID–19 crisis (2020)Econometric Analysis of Cross Section and Panel Data (2001)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)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)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 1996Contagious Currency Crises: First Tests847 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues514 cited
  • 1998Contagion279 cited
  • 2001Volatility dependence and contagion in emerging equity markets251 cited
  • 2002U.S. Stock Market Crashes and Their Aftermath: Implications for Monetary Policy205 cited
  • 1980Implications of Microstructure Theory for Empirical Research on Stock Price Behavior165 cited

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  • 2001Contagion: How to Measure It?165 cited
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