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Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets
16 references·1 citing·48 second hopsampled
Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets (2018)Heterogeneous dependence and dynamic hedg…Geopolitical risks and stock market dynamics of the BRICS (2018)Geopolitical risks and stock …On the dynamic dependence and investment performance of crude oil and clean energy stocks (2017)On the dynamic dependence and…Dynamic spillovers between commodity and currency markets (2015)Dynamic spillovers between co…The Global Crisis and Equity Market Contagion (2014)The Global Crisis and Equity …On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Global financial crisis and e…The more contagion effect on emerging markets: The evidence of DCC-GARCH model (2012)The more contagion effect on …Financial contagion and the real economy (2011)Financial contagion and the r…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Why Do Absolute Returns Predict Volatility So Well? (2006)Why Do Absolute Returns Predi…The rise in comovement across national stock markets: market integration or IT bubble? (2004)The rise in comovement across…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…The hedging effectiveness of global sectors in emerging and developed stock markets (2019)The hedging effectiveness of …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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)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)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Volatility Spillover Effects in European Equity Markets (2005)Global market integration: An alternative measure and its application☆ (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Portfolio Selection (1952)An Introduction to Copulas (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Modelling oil price and exchange rate co-movements (2011)Individual investor perceptions and behavior during the financial crisis (2012)Do global factors impact BRICS stock markets? A quantile regression approach (2014)A test for independence based on the correlation dimension (1996)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Effects of the geopolitical risks on Bitcoin returns and volatility (2018)Time-Varying Impact of Geopolitical Risks on Oil Prices (2019)Oil price shocks, geopolitical risks, and green bond market dynamics (2020)Market Liquidity and Funding Liquidity (2008)On the International Spillovers of US Quantitative Easing (2016)Flights to Safety (2019)Banking sector performance during the COVID-19 crisis (2021)A long memory property of stock market returns and a new model (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2008)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Should Macroeconomic Forecasters Use Daily Financial Data and How? 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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 2014The Global Crisis and Equity Market Contagion708 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2018Geopolitical risks and stock market dynamics of the BRICS485 cited
  • 2006Why Do Absolute Returns Predict Volatility So Well?379 cited
  • 2013Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach359 cited
  • 2011Financial contagion and the real economy334 cited
  • 2017On the dynamic dependence and investment performance of crude oil and clean energy stocks288 cited
  • 2012The more contagion effect on emerging markets: The evidence of DCC-GARCH model278 cited
  • 2004

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The rise in comovement across national stock markets: market integration or IT bubble?
263 cited
  • 2015Dynamic spillovers between commodity and currency markets240 cited
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    • 2019The hedging effectiveness of global sectors in emerging and developed stock markets29 cited