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Financial contagion across major stock markets: A study during crisis episodes
16 references·4 citing·42 second hop
Financial contagion across major stock markets: A study during crisis episodes (2019)Financial contagion across major stock ma…Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis (2016)Euro area government bonds – …Downside and upside risk spillovers between exchange rates and stock prices (2015)Downside and upside risk spil…Dependence Modeling with Copulas (2014)Dependence Modeling with Copu…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012)Maximum likelihood estimation…Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Is the Potential for Internat…Financial contagion and the real economy (2011)Financial contagion and the r…Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Modeling International Financ…A component model for dynamic correlations (2009)A component model for dynamic…Selecting copulas for risk management (2007)Selecting copulas for risk ma…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)How Do Crises Spread? Evidenc…Asymptotic efficiency of the two-stage estimation method for copula-based models (2004)Asymptotic efficiency of the …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A test for independence based on the correlation dimension (1996)A test for independence based…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Interconnectedness and systemic risk: Evidence from global stock markets (2024)Interconnectedness and system…The linkage between Bitcoin and foreign exchanges in developed and emerging markets (2023)The linkage between Bitcoin a…The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic (2022)The contagion effect of jump …Financial contagion across G10 stock markets: A study during major crises (2020)Financial contagion across G1…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Maximum Likelihood Estimation of the Polychoric Correlation Coefficient (1979)A General Structural Equation Model with Dichotomous, Ordered Categorical, and Continuous Latent Variable Indicators (1984)Comparison of semiparametric and parametric methods for estimating copulas (2006)A Primer on Copulas for Count Data (2007)A review of copula models for economic time series (2012)The Asymptotic Theory of Extreme Order Statistics (1990)Modelling Extreme Multivariate Events (1991)From value at risk to stress testing: The extreme value approach (2000)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)An Introduction to Copulas (1999)Extreme Correlation of International Equity Markets (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Truncated regular vines in high dimensions with application to financial data (2012)The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Noise Trader Risk in Financial Markets (1990)International capital flows and U.S. interest rates (2009)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)The Econometrics of Financial Markets (2012)Coherent Measures of Risk (1999)Dynamic Conditional Correlation (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Copula Methods for Forecasting Multivariate Time Series (2013)Modeling Dependence in High Dimensions With Factor Copulas (2015)Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Market Integration and Contagion (2005)Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence? (2013)The 2008 financial crisis: Stock market contagion and its determinants (2014)Exploring the sources of default clustering (2018)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach (2019)A review and assessment of importance sampling methods for reliability analysis (2022)
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2014Dependence Modeling with Copulas1,564 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2004Asymptotic efficiency of the two-stage estimation method for copula-based models602 cited
  • 1988Bivariate Extreme Value Theory: Models and Estimation569 cited
  • 2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach436 cited
  • 2006How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices429 cited
  • 2011Financial contagion and the real economy334 cited
  • 2009A component model for dynamic correlations300 cited
  • 2009Modeling International Financial Returns with a Multivariate Regime-switching Copula293 cited
  • 2007Selecting copulas for risk management288 cited
  • 2015Downside and upside risk spillovers between exchange rates and stock prices238 cited
  • 2012Maximum likelihood estimation of mixed C-vines with application to exchange rates

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201 cited
  • 2016Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis121 cited
  • Cited by

    • 2020Financial contagion across G10 stock markets: A study during major crises34 cited
    • 2024Interconnectedness and systemic risk: Evidence from global stock markets33 cited
    • 2023The linkage between Bitcoin and foreign exchanges in developed and emerging markets30 cited
    • 2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic28 cited