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Return connectedness across asset classes around the COVID-19 outbreak
16 references·16 citing·29 second hopsampled
Return connectedness across asset classes around the COVID-19 outbreak (2020)Return connectedness across asset classes…The Unprecedented Stock Market Impact of COVID-19 (2020)The Unprecedented Stock Marke…The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)The contagion effects of the …Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…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)COVID-19 pandemic, oil prices…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…A new index of financial conditions (2014)A new index of financial cond…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Macroeconomics and Reality (1980)Macroeconomics and RealityReturn and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis (2023)Return and volatility connect…Volatility Spillovers Across NFTs News Attention and Financial Markets (2022)Volatility Spillovers Across …Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change (2022)Time-frequency spillovers amo…The Impacts of the Russia–Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets (2022)The Impacts of the Russia–Ukr…Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2022)Rethinking financial contagio…Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities (2022)Impact of COVID-19 on the qua…Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis (2022)Covid-19 impact on NFTs and m…Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis (2021)Volatility Spillovers between…Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Time-frequency connectedness …Systemic risk spillover across global and country stock markets during the COVID-19 pandemic (2021)Systemic risk spillover acros…Quantile connectedness in the cryptocurrency market (2021)Quantile connectedness in the…NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic (2021)NFTs and asset class spillove…International stock market risk contagion during the COVID-19 pandemic (2021)International stock market ri…Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis (2021)Comparative efficiency of gre…Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets (2021)Asymmetric spillover and netw…Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021)Asymmetric spillover and netw…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)SRISK: A conditional capital shortfall measure of systemic risk (2017)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,488 cited
  • 2020The Unprecedented Stock Market Impact of COVID-19

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903 cited
  • 2020The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies880 cited
  • 2014A new index of financial conditions710 cited
  • Cited by

    • 2021Quantile connectedness in the cryptocurrency market344 cited
    • 2021Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis323 cited
    • 2021NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic274 cited
    • 2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic268 cited
    • 2021Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets225 cited
    • 2022Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change219 cited
    • 2021Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis217 cited
    • 2021Systemic risk spillover across global and country stock markets during the COVID-19 pandemic217 cited
    • 2023Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis196 cited
    • 2021Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis183 cited
    • 2022Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities177 cited
    • 2022Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis175 cited
    • 2022Volatility Spillovers Across NFTs News Attention and Financial Markets174 cited
    • 2022The Impacts of the Russia–Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets173 cited
    • 2021Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets168 cited
    • 2021International stock market risk contagion during the COVID-19 pandemic166 cited