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Global equity market volatility spillovers: A broader role for the United States
16 references·10 citing·35 second hop
Global equity market volatility spillovers: A broader role for the United States (2016)Global equity market volatility spillover…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutomatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Forecasting international equity market volatility: A new approach (2022)Forecasting international equ…The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model (2021)The impact of Covid-19 on G7 …Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility? (2021)Is investor sentiment stronge…Which predictor is more predictive for Bitcoin volatility? And why? (2020)Which predictor is more predi…The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic (2020)The role of the IDEMV in pred…Global equity market volatility forecasting: New evidence (2020)Global equity market volatili…When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases (2019)When Does Attention Matter? T…International Tail Risk Connectedness: Network and Determinants (2019)International Tail Risk Conne…Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model (2018)Volatility spillover from the…The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets (2016)The Role of Jumps and Leverag…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Presidential Address: Discount Rates (2011)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)MONEY, INCOME, AND CAUSALITY (1972)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)SRISK: A conditional capital shortfall measure of systemic risk (2017)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets

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1,516 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
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    • 2021Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?74 cited
    • 2019When Does Attention Matter? The Effect of Investor Attention on Stock Market Volatility Around News Releases65 cited
    • 2018Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model55 cited
    • 2020Which predictor is more predictive for Bitcoin volatility? And why?50 cited
    • 2020Global equity market volatility forecasting: New evidence39 cited
    • 2022Forecasting international equity market volatility: A new approach34 cited
    • 2019International Tail Risk Connectedness: Network and Determinants29 cited