SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Good and bad volatility spillovers: An asymmetric connectedness · Study

ArticleShelves

ArticleGood and bad volatility spillovers: An asymmetric connectedness

Ahmed BenSaïda2018

Article2018

Good and bad volatility spillovers: An asymmetric connectedness

Ahmed BenSaïda

169 citations·0/0 files stored·Journal of Financial Markets

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 169 citations exist upstream.

References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2000Asymmetric Volatility and Risk in Equity Markets 2003Identification Through Heteroskedasticity 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

Cited by

2021Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?2019Asymmetric and extreme influence of energy price changes on renewable energy stock performance 2021Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets 2021Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2017Asymmetry in spillover effects: Evidence for international stock index futures marketsarticle · 11 shared references 2018Volatility spillover shifts in global financial marketsarticle · 10 shared references 2021Two decades of contagion effect on stock markets: Which events are more contagious?article · 9 shared references 2018Asymmetric volatility spillovers between crude oil and international financial marketsarticle · 9 shared references 2015Asymmetric connectedness on the U.S. stock market: Bad and good volatility spilloversarticle · 8 shared references 2017Asymmetric volatility connectedness on the forex marketarticle · 8 shared references

Details

Year2018

Typearticle

Published2018-12-28

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations169

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.finmar.2018.12.005

openalex_workW2907970702

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2022

A tale of two tails among carbon prices, green and non-green cryptocurrencies

2021Quantifying the asymmetric spillovers in sustainable investments

2019Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market

2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets