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Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets
16 references·0 citing·44 second hopsampled
Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets (2017)Contagion effects of U.S. Dollar and Chin…On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsThe Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…The Terms of Trade, the Real Exchange Rate, and Economic Fluctuations (1995)The Terms of Trade, the Real …A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Pricing foreign currency options with stochastic volatility (1990)Pricing foreign currency opti…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)CoVaR (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Market Integration and Contagion (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)How Sovereign Is Sovereign Credit Risk? (2011)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Expectations and Exchange Rate Dynamics (1976)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Empirical exchange rate models of the seventies (1983)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence (2000)The New Politics of the Welfare State (2001)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Correlations in Price Changes and Volatility across International Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Aggregate Confusion: The Divergence of ESG Ratings (2019)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Option pricing when underlying stock returns are discontinuous (1976)Option valuation using the fast Fourier transform (1999)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,842 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1995The Terms of Trade, the Real Exchange Rate, and Economic Fluctuations1,007 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets

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896 cited
  • 1990Pricing foreign currency options with stochastic volatility749 cited
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