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Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis
16 references·1 citing·34 second hop
Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis (2020)Diffusion of COVID-19 impact across selec…Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis (2013)Co-movements of GCC emerging …Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis (2013)Co-movement of Asia-Pacific w…Integration of 22 emerging stock markets: A three-dimensional analysis (2012)Integration of 22 emerging st…Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Co-movement of energy commodi…Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis (2009)Transmission of the U.S. subp…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Comovements in international stock markets (2006)Comovements in international …The rise in comovement across national stock markets: market integration or IT bubble? (2004)The rise in comovement across…International transmission of stock market movements: a wavelet analysis (2004)International transmission of…The Asian financial crisis and the co-movement of Asian stock markets (2002)The Asian financial crisis an…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Economic integration and stock market comovement in the Americas (2002)Economic integration and stoc…Economic determinants of emerging stock market interdependence (2002)Economic determinants of emer…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income (1998)The Decomposition of Economic…DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS (1998)DECOMPOSITION OF ECONOMIC REL…Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method (2023)Effects of macroeconomic fact…Is the correlation in international equity returns constant: 1960–1990? (1995)Extreme Correlation of International Equity Markets (2001)Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach (2017)Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently ? A wavelet coherence analysis (2017)Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals (2019)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Dynamic Conditional Correlation (2002)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Multifractal analysis of financial markets: a review (2019)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The relationship between return and market value of common stocks (1981)Economic Forces and the Stock Market (1986)The 2008 financial crisis: Stock market contagion and its determinants (2014)Cross-country determinants of economic policy uncertainty spillovers (2017)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Adjustment of Consumption to Changing Expectations About Future Income (1981)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)The contribution of wavelets to the analysis of economic and financial data (1999)Oil and the macroeconomy: using wavelets to analyze old issues (2010)Wavelet-based evidence of the impact of oil prices on stock returns (2013)Does industrial structure explain the benefits of international diversification? (1994)The Increasing Importance of Industry Factors (2000)Dating the integration of world equity markets (2002)The dark side of global integration: Increasing tail dependence (2009)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk (2012)Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)The Transmission of Federal Reserve Tapering News to Emerging Financial Markets (2014)Multiscale systematic risk (2004)A GUIDE TO WAVELETS FOR ECONOMISTS* (2007)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited
  • 2009Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis433 cited
  • 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income370 cited
  • 1998DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS347 cited
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  • 2002The Asian financial crisis and the co-movement of Asian stock markets165 cited
  • 2006Comovements in international stock markets158 cited
  • 2012Integration of 22 emerging stock markets: A three-dimensional analysis

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147 cited
  • 2004International transmission of stock market movements: a wavelet analysis133 cited
  • 2002Economic integration and stock market comovement in the Americas125 cited
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    • 2023Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method18 cited