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Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk
16 references·15 citing·28 second hop
Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk (2021)Volatility transmission and spillover dyn…Measuring Geopolitical Risk (2018)Measuring Geopolitical RiskGeopolitical risks and stock market dynamics of the BRICS (2018)Geopolitical risks and stock …On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Political uncertainty and risk premia (2013)Political uncertainty and ris…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The impact of terrorism on financial markets: An empirical study (2010)The impact of terrorism on fi…Collateral Damage: Trade Disruption and the Economic Impact of War (2010)Collateral Damage: Trade Disr…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Global political economy: understanding the international economic order (2001)Global political economy: und…Global Political Economy (2001)Global Political EconomyGeneralized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Understanding central bank responses to geopolitical risks: Evidence from the Fed and ECB (2025)Understanding central bank re…Higher-order moment and cross-moment spillovers among MENA stock markets: Insights from geopolitical risks and global fear (2025)Higher-order moment and cross…Geopolitical risks and business fluctuations in Europe: A sectorial analysis (2024)Geopolitical risks and busine…Connectedness between central bank digital currency index, financial stability and digital assets (2024)Connectedness between central…Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications (2023)Time-frequency connectedness …The resilience of Shariah-compliant investments: Probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets (2023)The resilience of Shariah-com…The effect of oil implied volatility and geopolitical risk on GCC stock sectors under various market conditions (2023)The effect of oil implied vol…Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks (2023)Forecasting stock market vola…Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors (2023)Asymmetric relationship betwe…Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis (2022)Financial connectedness and r…Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data (2022)Does geopolitical risk matter…Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks (2022)Do geopolitical events transm…Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices (2021)Volatility and Return Connect…The moderating effect of culture on the relationship between accountability and professional scepticism (2021)The moderating effect of cult…Historical geopolitical risk and the behaviour of stock returns in advanced economies (2021)Historical geopolitical risk …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)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)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)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Macroeconomics and Reality (1980)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)The robustness of identified VAR conclusions about money (1998)Protection For Sale (1992)Distributive Politics and Economic Growth (1994)Uncertainty about Government Policy and Stock Prices (2012)Policy Uncertainty and Corporate Investment (2015)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Carbon Tail Risk (2018)The Cross‐Section of Volatility and Expected Returns (2006)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Correlation of International Equity Markets (2001)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 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
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2013Political uncertainty and risk premia2,375 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2001Global Political Economy987 cited
  • 2001Global political economy: understanding the international economic order964 cited
  • 2018Measuring Geopolitical Risk596 cited
  • 2010Collateral Damage: Trade Disruption and the Economic Impact of War545 cited
  • 2018Geopolitical risks and stock market dynamics of the BRICS

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485 cited
  • 2010The impact of terrorism on financial markets: An empirical study417 cited
  • Cited by

    • 2022Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks215 cited
    • 2021Historical geopolitical risk and the behaviour of stock returns in advanced economies153 cited
    • 2021Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices124 cited
    • 2022Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data110 cited
    • 2023Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks90 cited
    • 2023Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications88 cited
    • 2023The effect of oil implied volatility and geopolitical risk on GCC stock sectors under various market conditions87 cited
    • 2023Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors72 cited
    • 2022Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis71 cited
    • 2023The resilience of Shariah-compliant investments: Probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets66 cited
    • 2024Geopolitical risks and business fluctuations in Europe: A sectorial analysis62 cited
    • 2024Connectedness between central bank digital currency index, financial stability and digital assets36 cited
    • 2025Higher-order moment and cross-moment spillovers among MENA stock markets: Insights from geopolitical risks and global fear24 cited
    • 2021The moderating effect of culture on the relationship between accountability and professional scepticism15 cited
    • 2025Understanding central bank responses to geopolitical risks: Evidence from the Fed and ECB11 cited