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Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014
10 references·16 citing·35 second hop
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014 (2015)Trans-Atlantic Equity Volatility Connecte…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Dynamic Equicorrelation (2012)Dynamic EquicorrelationBetter to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence (2023)Spillover analysis across Fin…Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach (2022)Volatility spillover and inve…Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk (2021)Volatility transmission and s…Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies (2021)Volatility spillovers between…Volatility Spillovers between Stock and Energy Markets during Crises: A 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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2012Dynamic Equicorrelation456 cited

Cited by

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  • 2017Extreme risk spillover network: application to financial institutions264 cited
  • 2020Time and frequency connectedness among oil shocks, electricity and clean energy markets262 cited
  • 2021Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets

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225 cited
  • 2017Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications208 cited
  • 2021Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis183 cited
  • 2018Network connectedness and net spillover between financial and commodity markets182 cited
  • 2017Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets174 cited
  • 2018Global stock market investment strategies based on financial network indicators using machine learning techniques173 cited
  • 2020Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies172 cited
  • 2018Connectedness network and dependence structure mechanism in green investments170 cited
  • 2021Risk spillover and network connectedness analysis of China’s green bond and financial markets: Evidence from financial events of 2015–2020156 cited
  • 2022Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach146 cited
  • 2021Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk141 cited
  • 2021Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies138 cited
  • 2023Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: International evidence135 cited