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International risk transmission of stock market movements
16 references·4 citing·39 second hop
International risk transmission of stock market movements (2017)International risk transmission of stock …The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)VAR for VaR: Measuring tail d…Do global factors impact BRICS stock markets? A quantile regression approach (2014)Do global factors impact BRIC…Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Hedges and safe havens: An ex…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…CAViaR (2004)CAViaRNo Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies (2024)Robust estimation of the rang…Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data (2022)Time-varying risk spillovers …From Bitcoin to carbon allowances: An asymmetric extreme risk spillover (2021)From Bitcoin to carbon allowa…The tail behavior of safe haven currencies: A cross-quantilogram analysis (2020)The tail behavior of safe hav…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)A Theory of Intraday Patterns: Volume and Price Variability (1988)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Chapter 49 Arch models (1994)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)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)A Rational Expectations Model of Financial Contagion (2002)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Statistical aspects of ARCH and stochastic volatility (1996)A New Approach to Measuring Financial Contagion (2000)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Competition and Financial Stability (2004)Extreme Correlation of International Equity Markets (2001)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

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  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2004CAViaR2,210 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
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  • 1990Volatiltiy and Links Between National Stock Markets709 cited
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  • 2012Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates664 cited
  • 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series553 cited
  • 2014

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Do global factors impact BRICS stock markets? A quantile regression approach
430 cited
  • 2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles383 cited
  • Cited by

    • 2021From Bitcoin to carbon allowances: An asymmetric extreme risk spillover76 cited
    • 2020The tail behavior of safe haven currencies: A cross-quantilogram analysis62 cited
    • 2022Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data27 cited
    • 2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies24 cited