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Extreme coexceedances in new EU member states' stock markets
16 references·16 citing·42 second hopsampled
Extreme coexceedances in new EU member states' stock markets (2009)Extreme coexceedances in new EU member st…The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)The Stock Market's Reaction t…Market Liquidity and Funding Liquidity (2005)Market Liquidity and Funding …Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks (2004)Unique Equilibrium in a Model…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks (2002)Unique Equilibrium in a Model…Short-sale constraints and stock returns (2002)Short-sale constraints and st…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…The Endogenity of the Optimum Currency Area Criteria (1998)The Endogenity of the Optimum…Inflows of Capital to Developing Countries in the 1990s (1996)Inflows of Capital to Develop…Lessons of Massachusetts for EMU (1993)Lessons of Massachusetts for …Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Rational and Self-Fulfilling Balance-of-Payments Crises (1984)Rational and Self-Fulfilling …A Theory of Optimum Currency Areas (1961)A Theory of Optimum Currency …Time-Varying Dependence in European Equity Markets: A Contagion and Investor Sentiment Driven Analysis (2019)Time-Varying Dependence in Eu…The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe (2019)The Comovement of Exchange Ra…International Tail Risk Connectedness: Network and Determinants (2019)International Tail Risk Conne…Interindustry volatility spillover effects in China’s stock market (2019)Interindustry volatility spil…Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance (2017)Stock market contagion in Cen…Investor sentiment, flight-to-quality, and corporate bond comovement (2017)Investor sentiment, flight-to…Contagion Risk in Global Banking Sector (2017)Contagion Risk in Global Bank…Time-varying quantile association regression model with applications to financial contagion and VaR (2016)Time-varying quantile associa…Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management (2014)Dependence and extreme depend…Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets (2013)Extreme downside risk spillov…Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states (2012)Monetary policy and stock pri…Market fragility and international market crashes (2012)Market fragility and internat…Integration of European Bond Markets (2012)Integration of European Bond …Dynamic correlation analysis of US financial crisis and contagion: evidence from four OECD countries (2012)Dynamic correlation analysis …Contagion risk in the Australian banking and property sectors (2010)Contagion risk in the Austral…The Dark Side of Global Integration: Increasing Tail Dependence (2008)The Dark Side of Global Integ…A Model of Balance-of-Payments Crises (1979)Bank Runs, Deposit Insurance, and Liquidity (1983)Good-bye financial repression, hello financial crash (1985)Contagious Currency Crises (1996)Contagious Currency Crises: First Tests (1996)Contagion and Trade: Why Are Currency Crises Regional? 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References

  • 1985Does the Stock Market Overreact?7,569 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1961A Theory of Optimum Currency Areas4,546 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1998The Endogenity of the Optimum Currency Area Criteria2,542 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1996Inflows of Capital to Developing Countries in the 1990s1,096 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1984Rational and Self-Fulfilling Balance-of-Payments Crises960 cited
  • 1993Lessons of Massachusetts for EMU930 cited
  • 2002Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks911 cited
  • 2002Short-sale constraints and stock returns899 cited
  • 2005Market Liquidity and Funding Liquidity863 cited
  • 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks793 cited
  • 2004Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks

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Cited by

  • 2012Integration of European Bond Markets70 cited
  • 2017Contagion Risk in Global Banking Sector69 cited
  • 2014Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management69 cited
  • 2010Contagion risk in the Australian banking and property sectors65 cited
  • 2012Dynamic correlation analysis of US financial crisis and contagion: evidence from four OECD countries62 cited
  • 2019Time-Varying Dependence in European Equity Markets: A Contagion and Investor Sentiment Driven Analysis62 cited
  • 2017Investor sentiment, flight-to-quality, and corporate bond comovement55 cited
  • 2012Market fragility and international market crashes52 cited
  • 2019Interindustry volatility spillover effects in China’s stock market52 cited
  • 2008The Dark Side of Global Integration: Increasing Tail Dependence47 cited
  • 2017Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance38 cited
  • 2019The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe34 cited
  • 2016Time-varying quantile association regression model with applications to financial contagion and VaR31 cited
  • 2013Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets30 cited
  • 2019International Tail Risk Connectedness: Network and Determinants29 cited
  • 2012Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states28 cited