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RETRACTED: Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis · Study

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ArticleRETRACTED: Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis

Elie I. Bouri2020

Article2020

RETRACTED: Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis

Elie I. Bouri · Brian M. Lucey · Tareq Saeed · Xuan Vinh Vo

163 citations·0/0 files stored·International Review of Financial Analysis

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*2002International Asset Allocation With Regime Shifts

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Details

Year2020

Typearticle

Published2020-10-16

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations163

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.irfa.2020.101605

openalex_workW3092876935

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Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

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2021Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility

2022Quantile connectedness between energy, metal, and carbon markets