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Interdependence and Contagion in Global Asset Markets
16 references·12 citing·37 second hop
Interdependence and Contagion in Global Asset Markets (2014)Interdependence and Contagion in Global A…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Exploring the international linkages of the euro area: a global VAR analysis (2007)Exploring the international l…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Modeling Regional Interdepend…Measuring The Reaction of Monetary Policy to the Stock Market (2003)Measuring The Reaction of Mon…Identification Through Heteroskedasticity (2003)Identification Through Hetero…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Contagion and Trade: Why Are Currency Crises Regional? (1998)Contagion and Trade: Why Are …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Macroeconomics and Reality (1980)Macroeconomics and RealityManias, Panics, and Crashes: A History of Financial Crises (1979)Manias, Panics, and Crashes: …Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic (2022)Static and dynamic liquidity …Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic (2021)Effectiveness of policy inter…The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data (2019)The time-frequency co-movemen…Interdependence or contagion: A model switching approach with a focus on Latin America (2019)Interdependence or contagion:…Interdependence of Major Exchange Rates in Ghana: A Wavelet Coherence Analysis (2019)Interdependence of Major Exch…Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas (2019)Detecting contagion in Asian …Volatility spillovers between foreign exchange and stock markets in industrialized countries (2018)Volatility spillovers between…Co-movement of stock exchange indices and exchange rates in Ghana: A wavelet coherence analysis (2018)Co-movement of stock exchange…International spillovers in global asset markets (2017)International spillovers in g…Co-movement of real exchange rates in the West African Monetary Zone (2017)Co-movement of real exchange …International contagion through financial versus non-financial firms (2016)International contagion throu…Contagion effects of the global financial crisis in us and European real economy sectors (2014)Contagion effects of the glob…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)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)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Statistical analysis of cointegration vectors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Panels with Nonstationary Multifactor Error Structures (2006)Unit Roots and Cointegration in Panels (2008)The East Asian Financial Crisis: Diagnosis, Remedies, Prospects (1998)The Adaptive Markets Hypothesis (2004)From Financial Crash to Debt Crisis (2011)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Competition and Financial Stability (2004)Extreme Correlation of International Equity Markets (2001)
this work references cited by second hop

References

  • 1980Macroeconomics and Reality12,826 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1979Manias, Panics, and Crashes: A History of Financial Crises2,838 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model1,461 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 2007Exploring the international linkages of the euro area: a global VAR analysis996 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1998Contagion and Trade: Why Are Currency Crises Regional?798 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion

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791 cited
  • 2003Measuring The Reaction of Monetary Policy to the Stock Market744 cited
  • Cited by

    • 2022Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic43 cited
    • 2016International contagion through financial versus non-financial firms40 cited
    • 2019The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data40 cited
    • 2017International spillovers in global asset markets39 cited
    • 2017Co-movement of real exchange rates in the West African Monetary Zone38 cited
    • 2019Interdependence of Major Exchange Rates in Ghana: A Wavelet Coherence Analysis36 cited
    • 2018Volatility spillovers between foreign exchange and stock markets in industrialized countries32 cited
    • 2018Co-movement of stock exchange indices and exchange rates in Ghana: A wavelet coherence analysis32 cited
    • 2019Interdependence or contagion: A model switching approach with a focus on Latin America32 cited
    • 2021Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic31 cited
    • 2019Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas28 cited
    • 2014Contagion effects of the global financial crisis in us and European real economy sectors27 cited