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Volatility spillovers during normal and high volatility states and their driving factors: A cross‐country and cross‐asset analysis
16 references·2 citing·43 second hop
Volatility spillovers during normal and high volatility states and their driving factors: A cross‐country and cross‐asset analysis (2022)Volatility spillovers during normal and h…The Unprecedented Stock Market Impact of COVID-19 (2020)The Unprecedented Stock Marke…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 …COVID-Induced Economic Uncertainty (2020)COVID-Induced Economic Uncert…COVID-19: Media coverage and financial markets behavior—A sectoral inquiry (2020)COVID-19: Media coverage and …Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States (2019)Asymmetric volatility spillov…Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes (2016)Quantitative Easing and Volat…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets (2014)Modelling Volatility Spillove…Safe Haven Currencies (2010)Safe Haven CurrenciesReal-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Risk, uncertainty, and asset prices (2008)Risk, uncertainty, and asset …Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting daily variability…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine (2023)Spillovers between green and …Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach (2023)Extreme spillovers between in…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)Macroeconomic Forecasting Using Diffusion Indexes (2002)Forecasting Stock Returns (2013)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Fiscal Volatility Shocks and Economic Activity (2015)COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 (2020)Feverish Stock Price Reactions to COVID-19* (2020)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)Measuring Uncertainty (2015)A critical analysis of the impacts of COVID-19 on the global economy and ecosystems and opportunities for circular economy strategies (2020)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)Fear, lockdown, and diversion: Comparing drivers of pandemic economic decline 2020 (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A model of investor sentiment /Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)Implications of COVID-19 Pandemic on the Global Trade Networks (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Realized Volatility: A Review (2008)The Volatility of Realized Volatility (2008)Parametric and Nonparametric Volatility Measurement (2010)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)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 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
  • 2020COVID-Induced Economic Uncertainty1,562 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
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  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 2020Return connectedness across asset classes around the COVID-19 outbreak631 cited
  • 2020COVID-19: Media coverage and financial markets behavior—A sectoral inquiry567 cited
  • 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited
  • 2010Safe Haven Currencies488 cited
  • 2020Extreme return connectedness and its determinants between clean/green and dirty energy investments452 cited
  • 2008Risk, uncertainty, and asset prices400 cited
  • 2014Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets268 cited
  • 2016Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes

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242 cited
  • 2019Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States220 cited
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    • 2023Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine98 cited
    • 2023Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach32 cited