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The stress contagion among financial markets and its determinants
16 references·2 citing·40 second hopsampled
The stress contagion among financial markets and its determinants (2022)The stress contagion among financial mark…Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic? (2022)Gold or Bitcoin, which is the…Asymmetric volatility spillover among Chinese sectors during COVID-19 (2021)Asymmetric volatility spillov…Tail risk contagion between international financial markets during COVID-19 pandemic (2020)Tail risk contagion between i…Return connectedness across asset classes around the COVID-19 outbreak (2020)Return connectedness across a…Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)Extreme return connectedness …Analyzing time-varying volatility spillovers between the crude oil markets using a new method (2020)Analyzing time-varying volati…Dynamic connectedness of uncertainty across developed economies: A time-varying approach (2018)Dynamic connectedness of unce…Dating systemic financial stress episodes in the EU countries (2017)Dating systemic financial str…Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes (2016)Quantitative Easing and Volat…Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…Dynamic Equicorrelation (2012)Dynamic EquicorrelationBetter to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Financial stress and economic contractions (2010)Financial stress and economic…Measuring financial stress in a developed country: An application to Canada (2006)Measuring financial stress in…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Higher-order moment and cross-moment spillovers among MENA stock markets: Insights from geopolitical risks and global fear (2025)Higher-order moment and cross…Military experience and household stock market participation: Evidence from China (2023)Military experience and house…Modelling 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)Currency crashes in emerging markets: An empirical treatment (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Financial stability, energy consumption and environmental quality: Evidence from South Asian economies (2016)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Credit Cycles (1997)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The Transmission of Financial Stress from Advanced to Emerging Economies (2009)Assessing systemic risks and predicting systemic events (2012)Oil prices and financial stress: A volatility spillover analysis (2015)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin (2019)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Measuring Economic Policy Uncertainty* (2016)Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms (2020)Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties (2021)The Impacts of the Russia–Ukraine Invasion on Global Markets and Commodities: A Dynamic Connectedness among G7 and BRIC Markets (2022)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)Common risk factors in the returns on stocks and bonds (1993)Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014 (2015)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic (2021)Quantile connectedness in the cryptocurrency market (2021)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies (2022)The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2020Return connectedness across asset classes around the COVID-19 outbreak631 cited
  • 2006Measuring financial stress in a developed country: An application to Canada569 cited
  • 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH547 cited
  • 2012Dynamic Equicorrelation456 cited
  • 2020Extreme return connectedness and its determinants between clean/green and dirty energy investments452 cited
  • 2010Financial stress and economic contractions429 cited
  • 2018Dynamic connectedness of uncertainty across developed economies: A time-varying approach346 cited
  • 2016Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes242 cited
  • 2021Asymmetric volatility spillover among Chinese sectors during COVID-19209 cited
  • 2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method206 cited
  • 2022Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?205 cited

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2020
Tail risk contagion between international financial markets during COVID-19 pandemic
188 cited
  • 2017Dating systemic financial stress episodes in the EU countries163 cited
  • Cited by

    • 2025Higher-order moment and cross-moment spillovers among MENA stock markets: Insights from geopolitical risks and global fear24 cited
    • 2023Military experience and household stock market participation: Evidence from China17 cited