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From fears to recession? Time‐frequency risk contagion among stock and credit default swap markets during the COVID pandemic
16 references·0 citing·29 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…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Credit risk determinants: Evidence from a cross-country study (2014)Credit risk determinants: Evi…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)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)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)The robustness of identified VAR conclusions about money (1998)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)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)SRISK: A conditional capital shortfall measure of systemic risk (2017)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Climate policy uncertainty and the price dynamics of green and brown energy stocks (2022)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 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 connectedness637 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

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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
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