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Measuring contagion during COVID-19 through volatility spillovers of BRIC countries using diagonal BEKK approach
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Measuring contagion during COVID-19 through volatility spillovers of BRIC countries using diagonal BEKK approach (2021)Measuring contagion during COVID-19 throu…The Global Macroeconomic Impacts of COVID-19: Seven Scenarios (2020)The Global Macroeconomic Impa…Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)Stock markets’ reaction to CO…Spillover of COVID-19: Impact on the Global Economy (2020)Spillover of COVID-19: Impact…Financial contagion during COVID–19 crisis (2020)Financial contagion during CO…COVID-Induced Economic Uncertainty (2020)COVID-Induced Economic Uncert…COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19 pandemic, oil prices…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network (2023)Spillovers and connectedness …Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis (2022)Spillovers and contagion betw…Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis (2022)Is the COVID-19 pandemic more…Assessing interdependence and contagion effects on the bond yield and stock returns nexus in Sub-Saharan Africa: Evidence from wavelet analysis (2022)Assessing interdependence and…COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach (2021)COVID-19 Pandemic and Romania…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Measuring Uncertainty (2015)A critical analysis of the impacts of COVID-19 on the global economy and ecosystems and opportunities for circular economy strategies (2020)Fear, lockdown, and diversion: Comparing drivers of pandemic economic decline 2020 (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Economic Policy Uncertainty* (2016)COVID-19 and finance: Agendas for future research (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Competition and Financial Stability (2004)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
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  • 2020Financial contagion during COVID–19 crisis937 cited
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    • 2023Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network97 cited
    • 2022Spillovers and contagion between BRIC and G7 markets: New evidence from time-frequency analysis58 cited
    • 2021COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach40 cited
    • 2022Assessing interdependence and contagion effects on the bond yield and stock returns nexus in Sub-Saharan Africa: Evidence from wavelet analysis38 cited
    • 2022Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis34 cited