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On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach
16 references·0 citing·38 second hopsampled
On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach (2018)On the risk spillover across the oil mark…The Determinants of Credit Default Swap Premia (2009)The Determinants of Credit De…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Transmission of Stock Market Movements (1989)International Transmission of…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and Conditional P…Macroeconomics and Reality (1980)Macroeconomics and RealityAggregate Dynamics and Staggered Contracts (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Postwar U.S. Business Cycles: An Empirical Investigation (1997)The Behavior of Stock-Market Prices (1965)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)International Diversification of Investment Portfolios (1970)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)A Theory of the Term Structure of Interest Rates (1985)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Introductory Econometrics for Finance (2008)On the Estimation of Security Price Volatilities from Historical Data (1980)Generalized impulse response analysis in linear multivariate models (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1980Macroeconomics and Reality12,826 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,841 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1983Forecasting and Conditional Projection Using Realistic Prior Distributions1,209 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited

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1995
Asymmetric volatility transmission in international stock markets
728 cited
  • 2009The Determinants of Credit Default Swap Premia700 cited
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