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Measuring 25 years of global equity market co-movement using a time-varying spatial model
16 references·0 citing·37 second hop
Measuring 25 years of global equity market co-movement using a time-varying spatial model (2022)Measuring 25 years of global equity marke…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Introduction: Spatial Econometrics (2010)Introduction: Spatial Econome…Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances (2009)Specification and estimation …Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …International Stock Return Comovements (2005)International Stock Return Co…The determinants of cross-border equity flows (2004)The determinants of cross-bor…Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models (2004)Asymptotic Distributions of Q…IPO Pricing in the Dot‐com Bubble (2003)IPO Pricing in the Dot‐com Bu…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Spatial Processes: Models and Applications (1982)Spatial Processes: Models and…Estimation Methods for Models of Spatial Interaction (1975)Estimation Methods for Models…Spatial Autocorrelation (1974)Spatial AutocorrelationModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)ON STATIONARY PROCESSES IN THE PLANE (1954)Econometric Analysis for National Economic Planning (1971)Spatial Interaction and the Statistical Analysis of Lattice Systems (1974)Predicting with networks: Nonparametric multiple regression analysis of dyadic data (1988)Under the hood Issues in the specification and interpretation of spatial regression models (2002)Spatial Econometrics: Methods and Models (1988)STATISTICS FOR SPATIAL DATA (1992)Statistics for Spatial Data (1993)Panel data models with spatially correlated error components (2006)Estimation of spatial autoregressive panel data models with fixed effects (2009)Thirty years of spatial econometrics (2010)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Matlab Software for Spatial Panels (2012)Comparing Implementations of Estimation Methods for Spatial Econometrics (2015)Limited-dependent and qualitative variables in econometrics (1983)Financial Contagion (2000)Emerging markets finance (2003)Foundations of International Macroeconomics (1997)Legal Determinants of External Finance (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation (2008)Cultural Biases in Economic Exchange? * (2009)Econometric Analysis of Panel Data (2021)Properties of Tests for Spatial Dependence in Linear Regression Models (1991)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Comparing implementations of global and local indicators of spatial association (2018)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
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  • 2007

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Measuring financial contagion: A Copula approach
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