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Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic
16 references·1 citing·34 second hop
Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic (2021)Spillovers of Stock Markets among the BRI…Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany (2021)Crude oil market and stock ma…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes (2016)Quantitative Easing and Volat…Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures (2015)Intra- and inter-regional ret…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Volatility transmission in emerging European foreign exchange markets (2011)Volatility transmission in em…Volatility spillovers between the Chinese and world equity markets (2011)Volatility spillovers between…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)Drift Independent Volatility …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE (1993)MEAN AND VOLATILITY SPILLOVER…Estimating Variance From High, Low and Closing Prices (1991)Estimating Variance From High…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Transmission of Stock Market Movements (1989)International Transmission of…Quantile and asymmetric return connectedness among BRICS stock markets (2023)Quantile and asymmetric retur…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Climate policy uncertainty and world renewable energy index volatility forecasting (2022)Geopolitical risk and dynamic connectedness between commodity markets (2022)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)On the Estimation of Security Price Volatilities from Historical Data (1980)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)A multiple indicators model for volatility using intra-daily data (2005)Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)The Behavior of Stock-Market Prices (1965)Generalized autoregressive conditional heteroskedasticity (1986)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Continuous-Time Finance. (1991)Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model (2005)Forecasting Stock Prices from the Limit Order Book Using Convolutional Neural Networks (2017)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)
this work references cited by second hop

References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 1991Estimating Variance From High, Low and Closing Prices617 cited
  • 2000Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices450 cited
  • 2021Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany357 cited
  • 2011Volatility transmission in emerging European foreign exchange markets337 cited
  • 1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE313 cited
  • 2011Volatility spillovers between the Chinese and world equity markets262 cited

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  • 2015Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures242 cited
  • 2016Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes242 cited
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    • 2023Quantile and asymmetric return connectedness among BRICS stock markets29 cited