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Financial contagion drivers during recent global crises
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Financial contagion drivers during recent global crises (2022)Financial contagion drivers during recent…The Unprecedented Stock Market Reaction to COVID-19 (2020)The Unprecedented Stock Marke…Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)Stock markets’ reaction to CO…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Rational contagion and the globalization of securities markets (2000)Rational contagion and the gl…On crises, contagion, and confusion (2000)On crises, contagion, and con…Rational herding in financial economics (1996)Rational herding in financial…A Simple Model of Herd Behavior (1992)A Simple Model of Herd Behavi…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)The General Theory of Employment, Interest and Money. (1936)Network externalities, competition, and compatibility (1985)Standardization, Compatibility, and Innovation (1985)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Investor Psychology and Asset Pricing (2001)Using Online Conversations to Study Word-of-Mouth Communication (2004)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)In Search of Attention (2011)Textual Analysis in Accounting and Finance: A Survey (2016)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)Measuring Geopolitical Risk (2022)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1992A Simple Model of Herd Behavior6,511 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2020The Unprecedented Stock Market Reaction to COVID-191,514 cited
  • 1996Rational herding in financial economics1,272 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 2020Stock markets’ reaction to COVID-19: Cases or fatalities?1,253 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited

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Rational contagion and the globalization of securities markets
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