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Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework
16 references·2 citing·50 second hopsampled
Spillovers and financial integration in emerging markets: Analysis of BRICS economies within a VAR‐BEKK framework (2019)Spillovers and financial integration in e…Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Asymmetric impact of gold, oi…A Model of Financialization of Commodities (2016)A Model of Financialization o…Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis (2015)Stock market volatility spill…Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis (2015)Spillover effects between exc…Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach (2015)Modeling oil price–US stock n…Financialization in commodity markets: A passing trend or the new normal? (2015)Financialization in commodity…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Financial crises and stock ma…Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework (2008)Return, volatility spillovers…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Characterizing World Market Integration through Time (2007)Characterizing World Market I…Research in emerging markets finance: looking to the future (2002)Research in emerging markets …Do stock market liberalizations cause investment booms? (2000)Do stock market liberalizatio…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Quantile and asymmetric return connectedness among BRICS stock markets (2023)Quantile and asymmetric retur…Dynamic Connectedness among BRICS and Major Countries Stock Markets (2020)Dynamic Connectedness among B…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Do global factors impact BRICS stock markets? A quantile regression approach (2014)Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2022)A Contribution to the Theory of Economic Growth (1956)Asset pricing and the bid-ask spread (1986)Stock Markets, Banks, and Economic Growth (1996)Absorptive capacity and the effects of foreign direct investment and equity foreign portfolio investment on economic growth (2002)Emerging markets finance (2003)Chapter 8 Growth Econometrics (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)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)Portfolio Selection (1952)An Introduction to Copulas (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Modelling oil price and exchange rate co-movements (2011)Individual investor perceptions and behavior during the financial crisis (2012)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Value and Capital (1939)Uncertainty about Government Policy and Stock Prices (2012)Drivers and triggers of international food price spikes and volatility (2013)New Evidence on the Financialization of Commodity Markets (2014)Oil Price Shocks: Causes and Consequences (2014)The robustness of identified VAR conclusions about money (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Financial Dependence and Growth (1996)A Decomposition of Global Linkages in Financial Markets Over Time (2004)Can Banks in Emerging Economies Benefit from Revenue Diversification? (2010)Size, value, and momentum in emerging market stock returns (2013)Measuring and Testing the Impact of News on Volatility (1993)The great reversals: the politics of financial development in the twentieth century (2003)What Segments Equity Markets? (2011)Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2000Do stock market liberalizations cause investment booms?864 cited
  • 2016A Model of Financialization of Commodities594 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2007Characterizing World Market Integration through Time531 cited
  • 2002Research in emerging markets finance: looking to the future453 cited
  • 2010Financial crises and stock market contagion in a multivariate time-varying asymmetric framework424 cited
  • 2016Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets390 cited
  • 2015Financialization in commodity markets: A passing trend or the new normal?373 cited
  • 2015Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach209 cited
  • 2015Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis206 cited

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2008
Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework
175 cited
  • 2015Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis170 cited
  • Cited by

    • 2023Quantile and asymmetric return connectedness among BRICS stock markets29 cited
    • 2020Dynamic Connectedness among BRICS and Major Countries Stock Markets28 cited