SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Systemic risk spillover across global and country stock markets during the COVID-19 pandemic
16 references·16 citing·31 second hopsampled
Systemic risk spillover across global and country stock markets during the COVID-19 pandemic (2021)Systemic risk spillover across global and…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…Return connectedness across asset classes around the COVID-19 outbreak (2020)Return connectedness across a…Predicting stock returns in the presence of COVID-19 pandemic: The role of health news (2020)Predicting stock returns in t…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…Financial contagion during COVID–19 crisis (2020)Financial contagion during CO…Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)Extreme return connectedness …Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns (2020)Death and contagious infectio…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…CoVaR (2016)CoVaRRare Disasters and Exchange Rates * (2015)Rare Disasters and Exchange R…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine (2023)Spillovers between green and …Risk spillovers across geopolitical risk and global financial markets (2023)Risk spillovers across geopol…Measurement and prediction of systemic risk in China’s banking industry (2023)Measurement and prediction of…Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war (2023)Interconnectivity and investm…Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic (2022)Volatility spillovers from th…Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic (2022)Time–frequency co-movement an…The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis (2022)The source of financial conta…The size of good and bad volatility shocks does matter for spillovers (2022)The size of good and bad vola…The Impacts of the Russia–Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets (2022)The Impacts of the Russia–Ukr…Tail-event driven NETwork dependence in emerging markets (2022)Tail-event driven NETwork dep…Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach (2022)Measuring systemic risk contr…Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework (2022)Dynamic connectedness between…Assessment of sustainable green financial environment: the underlying structure of monetary seismic aftershocks of the COVID-19 pandemic (2022)Assessment of sustainable gre…Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic (2021)Time-frequency volatility spi…Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach (2021)Evidence of Stock Market Cont…Do Green Bonds Act as a Hedge or a Safe Haven against Economic Policy Uncertainty? Evidence from the USA and China (2021)Do Green Bonds Act as a Hedge…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Coronavirus (COVID-19) — An epidemic or pandemic for financial markets (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Econometric Analysis of Panel Data (2021)Measuring Economic Policy Uncertainty* (2016)COVID-19 and finance: Agendas for future research (2020)COVID-Induced Economic Uncertainty (2020)Cultures and Organizations: Software of the Mind. (1993)Econometric Analysis of Cross Section and Panel Data (2001)COVID-19 and stock market volatility: An industry level analysis (2020)COVID-19 and the United States financial markets’ volatility (2020)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)COVID-19 e saúde mental: a emergência do cuidado (2020)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)Investigating the emerging COVID-19 research trends in the field of business and management: A bibliometric analysis approach (2020)SRISK: A conditional capital shortfall measure of systemic risk (2017)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2016CoVaR2,395 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,488 cited
  • 2020Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns1,435 cited
  • 2020Spillover of COVID-19: Impact on the Global Economy1,403 cited
  • 2020Stock markets’ reaction to COVID-19: Cases or fatalities?1,253 cited
  • 2020Financial contagion during COVID–19 crisis937 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2020Return connectedness across asset classes around the COVID-19 outbreak631 cited
  • 2020Extreme return connectedness and its determinants between clean/green and dirty energy investments452 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2015Rare Disasters and Exchange Rates *436 cited
  • 2020Predicting stock returns in the presence of COVID-19 pandemic: The role of health news326 cited
  • Cited by

    • 2022The Impacts of the Russia–Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets173 cited
    • 2021Do Green Bonds Act as a Hedge or a Safe Haven against Economic Policy Uncertainty? Evidence from the USA and China98 cited
    • 2023Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine98 cited
    • 2021Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic95 cited
    • 2022The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis86 cited
    • 2023Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war85 cited
    • 2022Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework81 cited
    • 2023Risk spillovers across geopolitical risk and global financial markets74 cited
    • 2022Tail-event driven NETwork dependence in emerging markets64 cited
    • 2022Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic53 cited
    • 2022Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic51 cited
    • 2021Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach48 cited
    • 2022The size of good and bad volatility shocks does matter for spillovers45 cited
    • 2022Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach42 cited
    • 2022Assessment of sustainable green financial environment: the underlying structure of monetary seismic aftershocks of the COVID-19 pandemic41 cited
    • 2023Measurement and prediction of systemic risk in China’s banking industry41 cited