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Risk connectedness of selected CESEE stock markets: a spillover index approach
16 references·2 citing·33 second hop
Risk connectedness of selected CESEE stock markets: a spillover index approach (2019)Risk connectedness of selected CESEE stoc…The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2012)The Dynamics of Spillover Eff…Volatility transmission in emerging European foreign exchange markets (2011)Volatility transmission in em…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Return and volatility spillovers among the East Asian equity markets (2009)Return and volatility spillov…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Economic determinants of emerging stock market interdependence (2002)Economic determinants of emer…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Economic determinants of evolution in international stock market integration (1999)Economic determinants of evol…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International Asset Pricing a…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Forecasting International Equity Correlations (1994)Forecasting International Equ…The decomposition and measurement of the interdependency between second-order stationary processes (1991)The decomposition and measure…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Measurement of Linear Depende…Spatial correlation of local government implicit debt tail risks in China and its spillover effects on the banking system (2024)Spatial correlation of local …Returns and volatility connectedness among the Eurozone equity markets (2023)Returns and volatility connec…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)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a survey (2006)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)MONEY, INCOME, AND CAUSALITY (1972)Comparing alternative tests of causality in temporal systems (1983)Some recent development in a concept of causality (1988)Consciousness and Complexity (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Betting against beta (2013)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The Behavior of Stock-Market Prices (1965)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)The distribution of realized stock return volatility (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)On the Estimation of Security Price Volatilities from Historical Data (1980)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1982Measurement of Linear Dependence and Feedback Between Multiple Time Series2,070 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk812 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 2012The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil378 cited
  • 1991The decomposition and measurement of the interdependency between second-order stationary processes348 cited
  • 2011Volatility transmission in emerging European foreign exchange markets340 cited
  • 2009Return and volatility spillovers among the East Asian equity markets256 cited

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1999
Economic determinants of evolution in international stock market integration
223 cited
  • 2002Economic determinants of emerging stock market interdependence213 cited
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    • 2023Returns and volatility connectedness among the Eurozone equity markets17 cited
    • 2024Spatial correlation of local government implicit debt tail risks in China and its spillover effects on the banking system15 cited