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DYNAMIC CONNECTEDNESS OF FINANCIAL STRESS ACROSS ADVANCED AND EMERGING ECONOMIES: EVIDENCE FROM TIME AND FREQUENCY DOMAINS
16 references·0 citing·37 second hopsampled
DYNAMIC CONNECTEDNESS OF FINANCIAL STRESS ACROSS ADVANCED AND EMERGING ECONOMIES: EVIDENCE FROM TIME AND FREQUENCY DOMAINS (2021)DYNAMIC CONNECTEDNESS OF FINANCIAL STRESS…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The Global Crisis and Equity Market Contagion (2014)The Global Crisis and Equity …Cross-border banking, credit access, and the financial crisis (2012)Cross-border banking, credit …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…Measuring financial stress in a developed country: An application to Canada (2006)Measuring financial stress in…Journal of Public Affairs (2006)Journal of Public AffairsTesting for unit roots in heterogeneous panels (2003)Testing for unit roots in het…Unit root tests in panel data: asymptotic and finite-sample properties (2002)Unit root tests in panel data…Unit root tests for panel data (2001)Unit root tests for panel dataThe information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …International Portfolio Investment Flows (1997)International Portfolio Inves…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A simple panel unit root test in the presence of cross‐section dependence (2007)Introductory Econometrics for Finance (2008)Book Review: Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)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)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)The Theory of Economic Development (2003)Finance and Growth: Theory and Evidence (2004)Chapter 12 Finance and Growth: Theory and Evidence (2005)R2 around the world: New theory and new tests☆ (2005)On the Estimation of Security Price Volatilities from Historical Data (1980)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)Firm-Level Political Risk: Measurement and Effects* (2019)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)
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References

  • 2003Testing for unit roots in heterogeneous panels15,333 cited
  • 2002Unit root tests in panel data: asymptotic and finite-sample properties12,832 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,889 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2001Unit root tests for panel data4,114 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,299 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,851 cited
  • 1997International Portfolio Investment Flows1,290 cited
  • 2014The Global Crisis and Equity Market Contagion710 cited
  • 2006Measuring financial stress in a developed country: An application to Canada571 cited
  • 2006Journal of Public Affairs

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473 cited
  • 2012Cross-border banking, credit access, and the financial crisis455 cited
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