SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion
16 references·11 citing·31 second hop
Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion (2016)Causes and hazards of the euro area sover…Measuring Economic Policy Uncertainty (2013)Measuring Economic Policy Unc…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …On crises, contagion, and confusion (2000)On crises, contagion, and con…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Contagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Autoregressive modelling and money-income causality detection (1981)Autoregressive modelling and …MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…What is mine is yours: Sovereign risk transmission during the European debt crisis (2023)What is mine is yours: Sovere…The determinants of systemic risk contagion (2023)The determinants of systemic …Stagpression: The Economic and Financial Impact of the COVID-19 Pandemic (2021)Stagpression: The Economic an…Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis (2021)Linkage dynamics of sovereign…Stock market reactions to domestic sentiment: Panel CS-ARDL evidence (2020)Stock market reactions to dom…A Weighted and Directed Perspective of Global Stock Market Connectedness: A Variance Decomposition and GERGM Framework (2020)A Weighted and Directed Persp…Withdrawal of Italy from the euro area: Stochastic simulations of a structural macroeconometric model (2017)Withdrawal of Italy from the …The kidnapping of Europe: High-order moments' transmission between developed and emerging markets (2017)The kidnapping of Europe: Hig…Financial contagion: review of empirical literature (2017)Financial contagion: review o…Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be? (2017)Empirical analysis of market …Determinants of sovereign defaults (2017)Determinants of sovereign def…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)A simple panel unit root test in the presence of cross‐section dependence (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Time Series Regression with a Unit Root (1987)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 2013Measuring Economic Policy Uncertainty858 cited
  • 1996Contagious Currency Crises: First Tests847 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited

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

  • 1981Autoregressive modelling and money-income causality detection710 cited
  • Cited by

    • 2021Stagpression: The Economic and Financial Impact of the COVID-19 Pandemic69 cited
    • 2020Stock market reactions to domestic sentiment: Panel CS-ARDL evidence54 cited
    • 2021Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis50 cited
    • 2017Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?48 cited
    • 2017The kidnapping of Europe: High-order moments' transmission between developed and emerging markets42 cited
    • 2017Withdrawal of Italy from the euro area: Stochastic simulations of a structural macroeconometric model40 cited
    • 2017Financial contagion: review of empirical literature37 cited
    • 2017Determinants of sovereign defaults21 cited
    • 2023The determinants of systemic risk contagion20 cited
    • 2023What is mine is yours: Sovereign risk transmission during the European debt crisis19 cited
    • 2020A Weighted and Directed Perspective of Global Stock Market Connectedness: A Variance Decomposition and GERGM Framework19 cited