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A Nonlinear Approach to Quantifying Investor Fear in Stock Markets of BRIC
16 references·1 citing·45 second hop
A Nonlinear Approach to Quantifying Investor Fear in Stock Markets of BRIC (2022)A Nonlinear Approach to Quantifying Inves…Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression (2022)Does geopolitical risk matter…COVID‐19 and food prices in sub‐Saharan Africa (2021)COVID‐19 and food prices in s…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model (2019)Time-varying dynamic conditio…RTransferEntropy — Quantifying information flow between different time series using effective transfer entropy (2019)RTransferEntropy — Quantifyin…Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model (2017)Does global fear predict fear…International Stock Return Predictability: What Is the Role of the United States? 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Deep integration and industrial policy under multilateral and regional-bilateral trade agreements (2005)Exchanging development for ma…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Analysing the information flow between financial time series (2002)Analysing the information flo…Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…No news is good news (1992)No news is good newsEfficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic (2024)Quantile dependence and asymm…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A long memory property of stock market returns and a new model (1993)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Realized Volatility: A Review (2008)International regimes, transactions, and change: embedded liberalism in the postwar economic order (1982)Governing the Market (1990)The East Asian Miracle: Economic Growth and Public Policy. 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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 1992No news is good news1,929 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 2013International Stock Return Predictability: What Is the Role of the United States?702 cited
  • 2002Analysing the information flow between financial time series448 cited
  • 2005Exchanging development for market access? Deep integration and industrial policy under multilateral and regional-bilateral trade agreements286 cited
  • 2022Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression186 cited
  • 2019RTransferEntropy — Quantifying information flow between different time series using effective transfer entropy182 cited
  • 2008Information flow between stock indices163 cited
  • 2019Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model141 cited

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2021
COVID‐19 and food prices in sub‐Saharan Africa
126 cited
  • 2017Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model116 cited
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    • 2024Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic17 cited