SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
From fears to recession? Time‐frequency risk contagion among stock and credit default swap markets during the COVID pandemic
16 references·0 citing·28 second hop
From fears to recession? Time‐frequency risk contagion among stock and credit default swap markets during the COVID pandemic (2022)From fears to recession? Time‐frequency r…Treasury inconvenience yields during the COVID-19 crisis (2021)Treasury inconvenience yields…The impact of COVID-19 pandemic on transmission of monetary policy to financial markets (2021)The impact of COVID-19 pandem…The Unprecedented Stock Market Impact of COVID-19 (2020)The Unprecedented Stock Marke…Predicting stock returns in the presence of COVID-19 pandemic: The role of health news (2020)Predicting stock returns in t…Feverish Stock Price Reactions to COVID-19* (2020)Feverish Stock Price Reaction…COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 (2020)COVID-19 and the march 2020 s…Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil (2020)Asymmetric dependence between…Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Volatility connectedness in t…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Estimating global bank network connectedness (2017)Estimating global bank networ…Credit risk determinants: Evidence from a cross-country study (2014)Credit risk determinants: Evi…On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Why Does Stock Market Volatility Change Over Time? (1989)A Theory of Friendly Boards (2007)Financial markets under the global pandemic of COVID-19 (2020)Investor rewards to environmental responsibility: Evidence from the COVID-19 crisis (2021)The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021)The impact of COVID-19 on the stock market crash risk in China (2021)On the Estimation of Security Price Volatilities from Historical Data (1980)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Financial contagion during COVID–19 crisis (2020)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)
this work references cited by second hop

References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,889 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,842 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,299 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,851 cited
  • 2020Feverish Stock Price Reactions to COVID-19*1,199 cited
  • 2020The Unprecedented Stock Market Impact of COVID-19903 cited
  • 2020COVID-19 and the march 2020 stock market crash. Evidence from S&P1500726 cited
  • 2017Estimating global bank network connectedness650 cited
  • 2018Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?436 cited
  • 2014Credit risk determinants: Evidence from a cross-country study336 cited
  • 2020Predicting stock returns in the presence of COVID-19 pandemic: The role of health news326 cited
  • 2021Treasury inconvenience yields during the COVID-19 crisis308 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2020
Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil
291 cited
  • 2021The impact of COVID-19 pandemic on transmission of monetary policy to financial markets190 cited
  • Cited by

    No citing works inside the corpus for this window.