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The size of good and bad volatility shocks does matter for spillovers
16 references·0 citing·46 second hopsampled
The size of good and bad volatility shocks does matter for spillovers (2022)The size of good and bad volatility shock…Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Quantile Connectedness: Model…Quantile connectedness in the cryptocurrency market (2021)Quantile connectedness in the…Return connectedness across asset classes around the COVID-19 outbreak (2020)Return connectedness across a…Dynamic connectedness of uncertainty across developed economies: A time-varying approach (2018)Dynamic connectedness of unce…Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)Asymmetric connectedness on t…The Global Crisis and Equity Market Contagion (2014)The Global Crisis and Equity …On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Jump-robust volatility estimation using nearest neighbor truncation (2012)Jump-robust volatility estima…Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Does Anything Beat 5-Minute R…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Do Bulls and Bears Move Across Borders? 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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 2022Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks831 cited
  • 2014The Global Crisis and Equity Market Contagion708 cited
  • 2020Return connectedness across asset classes around the COVID-19 outbreak631 cited
  • 2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes629 cited
  • 2015Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers459 cited
  • 2012Jump-robust volatility estimation using nearest neighbor truncation449 cited

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  • 2018Dynamic connectedness of uncertainty across developed economies: A time-varying approach346 cited
  • 2021Quantile connectedness in the cryptocurrency market344 cited
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