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Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis
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Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis (2021)Return and volatility transmission betwee…The Unprecedented Stock Market Reaction to COVID-19 (2020)The Unprecedented Stock Marke…The Impact of the COVID-19 Pandemic on Firm Performance (2020)The Impact of the COVID-19 Pa…The impact of COVID-19 on emerging stock markets (2020)The impact of COVID-19 on eme…Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash (2020)Resiliency of Environmental a…How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)How COVID-19 drives connected…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…COVID-19: Media coverage and financial markets behavior—A sectoral inquiry (2020)COVID-19: Media coverage and …COVID-19 and stock market volatility: An industry level analysis (2020)COVID-19 and stock market vol…COVID-19 and finance: Agendas for future research (2020)COVID-19 and finance: Agendas…On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach (2018)On the transmission mechanism…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…A new index of financial conditions (2014)A new index of financial cond…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…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model (2024)Return and volatility spillov…U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging (2023)U.S. leveraged loan and debt …Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach (2023)Time-frequency volatility tra…Patterns of unconventional monetary policy spillovers during a systemic crisis (2023)Patterns of unconventional mo…COVID-19 and the quantile connectedness between energy and metal markets (2022)COVID-19 and the quantile con…Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era (2021)Dynamic return and volatility…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Macroeconomics and Reality (1980)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A STATE‐PREFERENCE MODEL OF OPTIMAL FINANCIAL LEVERAGE (1973)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)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)Corporate Social Responsibility: A Theory of the Firm Perspective (2001)Corporate Social and Financial Performance: A Meta-Analysis (2003)The Social Responsibility of Business Is to Increase Its Profits (2007)ESG activities and banking performance: International evidence from emerging economies (2020)Does CSR matter in times of crisis? Evidence from the COVID-19 pandemic (2021)Measuring Economic Policy Uncertainty* (2016)COVID-Induced Economic Uncertainty (2020)Economic uncertainty before and during the COVID-19 pandemic (2020)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)SRISK: A conditional capital shortfall measure of systemic risk (2017)COVID-19 lockdowns, stimulus packages, travel bans, and stock returns (2020)Japanese currency and stock market—What happened during the COVID-19 pandemic? (2020)The economics of COVID-19 pandemic: A survey (2021)
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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
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2020COVID-19 and finance: Agendas for future research1,596 cited
  • 2020The Unprecedented Stock Market Reaction to COVID-191,514 cited
  • 2020Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash1,227 cited
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  • 2014A new index of financial conditions710 cited
  • 2020The impact of COVID-19 on emerging stock markets675 cited
  • 2020COVID-19: Media coverage and financial markets behavior—A sectoral inquiry567 cited
  • 2020COVID-19 and stock market volatility: An industry level analysis544 cited
  • 2020How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques

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397 cited
  • 2018On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach379 cited
  • Cited by

    • 2023Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach92 cited
    • 2021Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era90 cited
    • 2022COVID-19 and the quantile connectedness between energy and metal markets89 cited
    • 2023U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging32 cited
    • 2024Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model30 cited
    • 2023Patterns of unconventional monetary policy spillovers during a systemic crisis15 cited