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‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion
9 references·16 citing·39 second hop
‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interdependence’: M…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…Rational contagion and the globalization of securities markets (2000)Rational contagion and the gl…On crises, contagion, and confusion (2000)On crises, contagion, and con…What caused the Asian currency and financial crisis? (1999)What caused the Asian currenc…Contagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Service Regulation and Growth: Evidence from OECD Countries (2011)Service Regulation and Growth…Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)Dynamic correlation analysis …Correlation of financial markets in times of crisis (2011)Correlation of financial mark…Bank profitability and taxation (2010)Bank profitability and taxati…Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Assessing financial contagion…PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009)PORTFOLIO SELECTION WITH MONO…Output Growth Volatility and Remittances (2009)Output Growth Volatility and …The financing of small innovative firms: the Italian case (2008)The financing of small innova…Social Interactions in High School: Lessons from an Earthquake (2007)Social Interactions in High S…Outward FDI and Local Employment Growth in Italy (2007)Outward FDI and Local Employm…Family succession and firm performance: Evidence from Italian family firms (2007)Family succession and firm pe…Emerging markets’ spreads and global financial conditions (2007)Emerging markets’ spreads and…How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)How Do Crises Spread? Evidenc…Econometric issues in the analysis of contagion (2006)Econometric issues in the ana…Banks’ riskiness over the business cycle: a panel analysis on Italian intermediaries (2006)Banks’ riskiness over the bus…Effects of Financial Globalization on Developing Countries: Some Empirical Evidence (2003)Effects of Financial Globaliz…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)Time‐Varying World Market Integration (1995)Foreign Speculators and Emerging Equity Markets (2000)Extreme Correlation of International Equity Markets (2001)Do Older Investors Make Better Investment Decisions? (2010)Modeling financial contagion using mutually exciting jump processes (2015)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)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)Leading Indicators of Currency Crises (1998)International Financial Crises: Causes, Prevention, and Cures (2000)A Primer on Financial Contagion (2003)The great retrenchment: international capital flows during the global financial crisis (2011)The General Theory of Employment (1937)A Simple Model of Herd Behavior (1992)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Financial Contagion (2000)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Interbank tiering and money center banks (2014)The Economic Costs of Organised Crime: Evidence from Southern Italy (2015)Contagion in Financial Networks (2016)A New Approach to Measuring Financial Contagion (2003)Introduction: The International Diffusion of Liberalism (2006)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)
this work references cited by second hop

References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 2000Rational contagion and the globalization of securities markets952 cited
  • 1999What caused the Asian currency and financial crisis?915 cited
  • 1996Contagious Currency Crises: First Tests847 cited
  • 2001Long-Term Global Market Correlations783 cited

Cited by

  • 2010Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns573 cited
  • 2007Family succession and firm performance: Evidence from Italian family firms512 cited
  • 2011Service Regulation and Growth: Evidence from OECD Countries502 cited
  • 2009Output Growth Volatility and Remittances444 cited
  • 2006How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices429 cited
  • 2009PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES426 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2008The financing of small innovative firms: the Italian case412 cited
  • 2007Emerging markets’ spreads and global financial conditions392 cited
  • 2011Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets391 cited
  • 2010Bank profitability and taxation355 cited
  • 2003Effects of Financial Globalization on Developing Countries: Some Empirical Evidence324 cited
  • 2007Social Interactions in High School: Lessons from an Earthquake311 cited
  • 2007Outward FDI and Local Employment Growth in Italy307 cited
  • 2006Econometric issues in the analysis of contagion289 cited
  • 2006Banks’ riskiness over the business cycle: a panel analysis on Italian intermediaries286 cited
  • 2011Correlation of financial markets in times of crisis285 cited