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Asymmetric interdependence between currency markets' volatilities across frequencies and time scales
16 references·0 citing·52 second hopsampled
Asymmetric interdependence between currency markets' volatilities across frequencies and time scales (2020)Asymmetric interdependence between curren…Asymmetric volatility connectedness on the forex market (2017)Asymmetric volatility connect…Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…Volatility transmission in emerging European foreign exchange markets (2011)Volatility transmission in em…Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Co-movement of energy commodi…Safe Haven Currencies (2010)Safe Haven CurrenciesMeasuring comovement in the time–frequency space (2010)Measuring comovement in the t…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data (2007)Multi-Scale Jump and Volatili…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…The distribution of realized stock return volatility (2001)The distribution of realized …A test for volatility spillover with application to exchange rates (2001)A test for volatility spillov…A Measure of Comovement for Economic Variables: Theory and Empirics (2001)A Measure of Comovement for E…Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)The Behavior of Stock-Market Prices (1965)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)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Dynamic Conditional Correlation (2002)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Multifractal analysis of financial markets: a review (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Turbulent cascades in foreign exchange markets (1996)High frequency data in financial markets: Issues and applications (1997)Is the correlation in international equity returns constant: 1960–1990? 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A Comparison of Realized Measures Across Multiple Asset Classes (2012)Economic policy uncertainty and stock market volatility (2015)Good and bad uncertainty: Macroeconomic and financial market implications (2015)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Portfolio Selection (1952)An Introduction to Copulas (1999)Modelling oil price and exchange rate co-movements (2011)Individual investor perceptions and behavior during the financial crisis (2012)Do global factors impact BRICS stock markets? A quantile regression approach (2014)Liquidity Risk and Expected Stock Returns (2003)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 2010Safe Haven Currencies488 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited
  • 2001A Measure of Comovement for Economic Variables: Theory and Empirics350 cited
  • 2011Volatility transmission in emerging European foreign exchange markets337 cited
  • 2017Asymmetric volatility connectedness on the forex market278 cited

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  • 2010Measuring comovement in the time–frequency space254 cited
  • 2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data241 cited
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