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Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors
16 references·0 citing·39 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 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
  • 2000Financial Contagion3,393 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2012The Real Effects of Financial Markets899 cited
  • 2020The Global Macroeconomic Impacts of COVID-19: Seven Scenarios698 cited
  • 2010Volatility and growth: Credit constraints and the composition of investment641 cited
  • 2006Risk Assessment for Banking Systems636 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2010Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns573 cited

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2015
The impact of UN and US economic sanctions on GDP growth
350 cited
  • 2020Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S.222 cited
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