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Spillover of fear: Evidence from the stock markets of five developed countries · Study

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ArticleSpillover of fear: Evidence from the stock markets of five developed countries

I‐Chun Tsai2014

Article2014

Spillover of fear: Evidence from the stock markets of five developed countries

120 citations·0/0 files stored·International Review of Financial Analysis

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1988Testing for a Unit Root in Time Series Regression 1952PORTFOLIO SELECTION*1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

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2017Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model 2021Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs 2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets 2018Tail dependence networks of global stock markets 2016Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

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Details

Year2014

Typearticle

Published2014-04-03

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations120

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.irfa.2014.03.007

openalex_workW2117625947

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2021The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?

2015Volatility spillovers in EMU sovereign bond markets

2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets