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Good and bad volatility spillovers: An asymmetric connectedness
16 references·16 citing·32 second hopsampled
Good and bad volatility spillovers: An asymmetric connectedness (2018)Good and bad volatility spillovers: An as…Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…Good and bad uncertainty: Macroeconomic and financial market implications (2015)Good and bad uncertainty: Mac…Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)Asymmetric connectedness on t…The Global Crisis and Equity Market Contagion (2014)The Global Crisis and Equity …Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Multivariate realised kernels…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…Identification Through Heteroskedasticity (2003)Identification Through Hetero…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…The Determinants of Asymmetric Volatility (2001)The Determinants of Asymmetri…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…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?…Comovements in Stock Prices in the Very Short Run (1979)Comovements in Stock Prices i…Time-varying asymmetric volatility spillovers among China’s carbon markets, new energy market and stock market under the shocks of major events (2023)Time-varying asymmetric volat…The spillover effect between Chinese crude oil futures market and Chinese green energy stock market (2023)The spillover effect between …Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets (2023)Interconnected multilayer net…A tale of two tails among carbon prices, green and non-green cryptocurrencies (2022)A tale of two tails among car…Quantifying the asymmetric spillovers in sustainable investments (2021)Quantifying the asymmetric sp…Measuring contagion during COVID-19 through volatility spillovers of BRIC countries using diagonal BEKK approach (2021)Measuring contagion during CO…Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis (2021)Linkage dynamics of sovereign…Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold (2021)Hedge and safe haven properti…Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)Dynamic connectedness between…COVID-19 and asymmetric volatility spillovers across global stock markets (2021)COVID-19 and asymmetric volat…Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021)Asymmetric spillover and netw…Comparison of linear and non-linear GARCH models for forecasting volatility of select emerging countries (2020)Comparison of linear and non-…Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China (2020)Asymmetric volatility spillov…Asymmetric volatility connectedness among main international stock markets: A high frequency analysis (2020)Asymmetric volatility connect…Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market (2019)Asymmetric volatility spillov…Asymmetric and extreme influence of energy price changes on renewable energy stock performance (2019)Asymmetric and extreme influe…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)Dynamic Conditional Correlation (2002)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)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)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Comparing Predictive Accuracy (1994)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Economic policy uncertainty and stock market volatility (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)The robustness of identified VAR conclusions about money (1998)Measuring The Reaction of Monetary Policy to the Stock Market (2003)The impact of monetary policy on asset prices (2004)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Extreme Correlation of International Equity Markets (2001)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Asymmetric volatility transmission in international stock markets (1995)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 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
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2003Identification Through Heteroskedasticity922 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
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
  • 2014The Global Crisis and Equity Market Contagion708 cited
  • 2015Good and bad uncertainty: Macroeconomic and financial market implications525 cited
  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • 1979Comovements in Stock Prices in the Very Short Run

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464 cited
  • 2015Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers459 cited
  • 2001The Determinants of Asymmetric Volatility441 cited
  • Cited by

    • 2021Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?249 cited
    • 2019Asymmetric and extreme influence of energy price changes on renewable energy stock performance238 cited
    • 2021Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets225 cited
    • 2021Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold202 cited
    • 2022A tale of two tails among carbon prices, green and non-green cryptocurrencies198 cited
    • 2021Quantifying the asymmetric spillovers in sustainable investments133 cited
    • 2019Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market131 cited
    • 2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets109 cited
    • 2023The spillover effect between Chinese crude oil futures market and Chinese green energy stock market103 cited
    • 2021COVID-19 and asymmetric volatility spillovers across global stock markets94 cited
    • 2020Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China86 cited
    • 2021Measuring contagion during COVID-19 through volatility spillovers of BRIC countries using diagonal BEKK approach67 cited
    • 2020Asymmetric volatility connectedness among main international stock markets: A high frequency analysis51 cited
    • 2020Comparison of linear and non-linear GARCH models for forecasting volatility of select emerging countries50 cited
    • 2021Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis50 cited
    • 2023Time-varying asymmetric volatility spillovers among China’s carbon markets, new energy market and stock market under the shocks of major events48 cited