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Risk and return spillovers among the G10 currencies · Study

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ArticleRisk and return spillovers among the G10 currencies

Matthew Greenwood‐Nimmo2016

OA

Articlegreen2016

Risk and return spillovers among the G10 currencies

Matthew Greenwood‐Nimmo · Viet Hoang Nguyen · Barry Rafferty

177 citations·0/0 files stored·Journal of Financial Markets

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1998Generalized impulse response analysis in linear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2006The Cross‐Section of Volatility and Expected Returns 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 1978Prices of State-Contingent Claims Implicit in Option Prices 2008High idiosyncratic volatility and low returns: International and further U.S. evidence 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

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Year2016

Typearticle

Published2016-05-23

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations177

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.finmar.2016.05.001

openalex_workW3121966338

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Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers

2018Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks

2022Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness

2019Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis