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Time-frequency information transmission among financial markets: evidence from implied volatility
16 references·7 citing·31 second hop
Time-frequency information transmission among financial markets: evidence from implied volatility (2021)Time-frequency information transmission a…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Is Gold a Hedge or a Safe Haven? 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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1965The Behavior of Stock-Market Prices8,707 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
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
  • 1996Energy shocks and financial markets1,099 cited

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  • 2000The Investor Fear Gauge1,097 cited
  • Cited by

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    • 2022Time–frequency return co-movement among asset classes around the COVID-19 outbreak: portfolio implications35 cited
    • 2022From sentiment to systemic risk: Information transmission in Asia-Pacific stock markets33 cited
    • 2024RETRACTED: Mapping fear in financial markets: Insights from dynamic networks and centrality measures27 cited
    • 2022Analysis of the frequency dynamics of spillovers and connectedness among Islamic and conventional banks and their determinants: evidence from Gulf Cooperative Council (GCC) markets16 cited