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Extreme spillovers of VIX fear index to international equity markets
16 references·2 citing·42 second hop
Extreme spillovers of VIX fear index to international equity markets (2019)Extreme spillovers of VIX fear index to i…Extrapolation and bubbles (2018)Extrapolation and bubblesMeasuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The Asset-Pricing Implication…Measuring Uncertainty (2015)Measuring UncertaintyThe Global Crisis and Equity Market Contagion (2014)The Global Crisis and Equity …Tail Risk and Asset Prices (2014)Tail Risk and Asset PricesDo global factors impact BRICS stock markets? A quantile regression approach (2014)Do global factors impact BRIC…Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …The Investor Fear Gauge (2000)The Investor Fear GaugeAsymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Expected stock returns and volatility (1987)Expected stock returns and vo…Quantile connectedness between VIX and global stock markets (2024)Quantile connectedness betwee…Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic (2021)Nexus between Southeast Asian…Specification Tests in Econometrics (1978)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)The VIX, the variance premium and stock market volatility (2014)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Geopolitical Risk (2022)Risk, Uncertainty and Profit (1921)An Intertemporal Capital Asset Pricing Model (1973)On Persistence in Mutual Fund Performance (1997)A Climate Stress-Test of the Financial System (2016)What Affects Innovation More: Policy or Policy Uncertainty? (2017)The Pollution Premium (2020)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)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 (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Common risk factors in the returns on stocks and bonds (1993)Does realized skewness predict the cross-section of equity returns? (2015)News implied volatility and disaster concerns (2016)Power Laws in Economics: An Introduction (2016)The Role of Monetary Policy (1995)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)COVID-Induced Economic Uncertainty (2020)Policy Uncertainty and Corporate Investment (2015)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
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  • 1987Expected stock returns and volatility4,147 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
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  • 2014Tail Risk and Asset Prices788 cited
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  • 2018Extrapolation and bubbles441 cited
  • 2014Do global factors impact BRICS stock markets? A quantile regression approach

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Cited by

  • 2024Quantile connectedness between VIX and global stock markets39 cited
  • 2021Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic34 cited