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Volatility spillovers across European stock markets under the uncertainty of Brexit
13 references·6 citing·30 second hop
Volatility spillovers across European stock markets under the uncertainty of Brexit (2019)Volatility spillovers across European sto…Policy uncertainty and international financial markets: the case of Brexit (2018)Policy uncertainty and intern…Post-Brexit Trade Survival: Looking Beyond the European Union (2017)Post-Brexit Trade Survival: L…Impact of border barriers, returning migrants, and trade diversion in Brexit: Firm exit and loss of variety (2017)Impact of border barriers, re…The sectoral effects of Brexit on the British economy: early evidence from the reaction of the stock market (2016)The sectoral effects of Brexi…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…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 impulse responses for multivariate GARCH models: An exchange rate illustration (2006)Volatility impulse responses …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Stock market integration and volatility spillovers: new evidence from Asia–Pacific and European markets (2023)Stock market integration and …Frequency heterogeneity of tail connectedness: Evidence from global stock markets (2023)Frequency heterogeneity of ta…Dynamic spillover and connectedness in higher moments of European stock sector markets (2023)Dynamic spillover and connect…An examination of green bonds as a hedge and safe haven for international equity markets (2023)An examination of green bonds…Resilience of United Kingdom financial institutions to major uncertainty: A network analysis related to the Credit Default Swaps market (2019)Resilience of United Kingdom …Making sense of Brexit losses: An in-depth review of macroeconomic studies (2019)Making sense of Brexit losses…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Macroeconomics and Reality (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Good and bad volatility spillovers: An asymmetric connectedness (2018)Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms (2020)Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching (2023)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)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)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 Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)A nonparametric test for abnormal security-price performance in event studies (1989)The impact of terrorism on financial markets: An empirical study (2010)How does the stock market react to the announcement of green policies? (2013)The Economic Effects of Brexit: Evidence from the Stock Market (2018)The heterogeneous impact of Brexit: Early indications from the FTSE (2018)Carbon credit futures as an emerging asset: Hedging, diversification and downside risks (2022)The robustness of identified VAR conclusions about money (1998)Policy Uncertainty and Corporate Investment (2015)Extreme Correlation of International Equity Markets (2001)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2007The Impact of Uncertainty Shocks2,111 cited
  • 2006Volatility impulse responses for multivariate GARCH models: An exchange rate illustration177 cited
  • 2016The sectoral effects of Brexit on the British economy: early evidence from the reaction of the stock market122 cited
  • 2018Policy uncertainty and international financial markets: the case of Brexit118 cited
  • 2017Impact of border barriers, returning migrants, and trade diversion in Brexit: Firm exit and loss of variety46 cited
  • 2017Post-Brexit Trade Survival: Looking Beyond the European Union35 cited

Cited by

  • 2023Dynamic spillover and connectedness in higher moments of European stock sector markets

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37 cited
  • 2023An examination of green bonds as a hedge and safe haven for international equity markets35 cited
  • 2019Resilience of United Kingdom financial institutions to major uncertainty: A network analysis related to the Credit Default Swaps market30 cited
  • 2023Stock market integration and volatility spillovers: new evidence from Asia–Pacific and European markets26 cited
  • 2019Making sense of Brexit losses: An in-depth review of macroeconomic studies24 cited
  • 2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets24 cited