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Contagion or interdependence? Comparing spillover indices · Study

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ArticleContagion or interdependence? Comparing spillover indices

Raisul Islam2021

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Articlebronze2021

Contagion or interdependence? Comparing spillover indices

Raisul Islam · Vladimir Volkov

23 citations·0/0 files stored·Empirical Economics

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

1977Determinants of corporate borrowing 1985Using daily stock returns 1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1997Credit Cycles 1996Impulse response analysis in nonlinear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements

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2023Risk contagion in financial markets: A systematic review using bibliometric methods

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Year2021

Typearticle

Published2021-12-02

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations23

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s00181-021-02169-2

openalex_workW4200310504

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