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Currency downside risk, liquidity, and financial stability
16 references·1 citing·35 second hop
Currency downside risk, liquidity, and financial stability (2018)Currency downside risk, liquidity, and fi…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Measuring the Macroeconomic I…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Risk, uncertainty and monetary policy (2013)Risk, uncertainty and monetar…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…CAViaR (2004)CAViaRRange‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Preventing Currency Crises in Emerging Markets (2002)Preventing Currency Crises in…A test for volatility spillover with application to exchange rates (2001)A test for volatility spillov…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …European stock market volatility connectedness: The role of country and sector membership (2022)European stock market volatil…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)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)CoVaR (2016)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Discretion versus policy rules in practice (1993)The Impact of Uncertainty Shocks (2009)The VIX, the variance premium and stock market volatility (2014)Economic policy uncertainty: A literature review (2019)U.S. Monetary Policy and the Global Financial Cycle (2020)Interpreting the macroeconomic time series facts (1992)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Macroeconomic Shocks and Their Propagation (2016)Uncertainty Shocks in a Model of Effective Demand (2017)Measuring the effects of federal reserve forward guidance and asset purchases on financial markets (2020)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
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  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 2001

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A test for volatility spillover with application to exchange rates
443 cited
  • 2002Preventing Currency Crises in Emerging Markets363 cited
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    • 2022European stock market volatility connectedness: The role of country and sector membership24 cited