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Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios
16 references·0 citing·36 second hopsampled
Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios (2022)Forecasting stock-market tail risk and co…The Unprecedented Stock Market Reaction to COVID-19 (2020)The Unprecedented Stock Marke…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness (2020)EMU risk-synchronisation and …Vulnerable Growth (2019)Vulnerable GrowthThe financial economics of gold — A survey (2015)The financial economics of go…Tail Risk and Asset Prices (2014)Tail Risk and Asset PricesOn the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)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…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Estimation and Testing of Forecast Rationality under Flexible Loss (2005)Estimation and Testing of For…CAViaR (2004)CAViaRGeneralized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyThe Golden Age of Capitalism: Reinterpreting the Postwar Experience. (1991)The Golden Age of Capitalism:…Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Comparing Predictive Accuracy (1994)Forecasting Economic Time Series (2000)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Efficient Tests for an Autoregressive Unit Root (1996)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Measuring Economic Policy Uncertainty* (2016)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-Induced Economic Uncertainty (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)The Coronavirus and the Great Influenza Pandemic: Lessons from the “Spanish Flu” for the Coronavirus’s Potential Effects on Mortality and Economic Activity (2020)The Cost of the Covid-19 Crisis: Lockdowns, Macroeconomic Expectations, and Consumer Spending (2020)On the Estimation of Security Price Volatilities from Historical Data (1980)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Combining forecasts: A review and annotated bibliography (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
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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 spillovers6,033 cited
  • 1995Comparing Predictive Accuracy5,370 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 2004CAViaR2,210 cited
  • 1997Testing the equality of prediction mean squared errors2,123 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,690 cited
  • 2020The Unprecedented Stock Market Reaction to COVID-191,642 cited
  • 2014Tail Risk and Asset Prices825 cited
  • 2019Vulnerable Growth779 cited
  • 1991The Golden Age of Capitalism: Reinterpreting the Postwar Experience.406 cited
  • 2005Estimation and Testing of Forecast Rationality under Flexible Loss343 cited
  • 2015The financial economics of gold — A survey334 cited

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  • 2020EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness298 cited
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