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Foreign exchange market return spillovers and connectedness among African countries
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Foreign exchange market return spillovers and connectedness among African countries (2023)Foreign exchange market return spillovers…Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014 (2015)Trans-Atlantic Equity Volatil…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Volatility transmission in emerging European foreign exchange markets (2011)Volatility transmission in em…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Global market integration: An alternative measure and its application☆ (2009)Global market integration: An…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…A test for volatility spillover with application to exchange rates (2001)A test for volatility spillov…Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence (2000)Volatility Spillovers Between…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Statistical aspects of ARCH and stochastic volatility (1996)High dimensional covariance matrix estimation using a factor model (2008)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Are Financial Assets Priced Locally or Globally? (2002)Financial market integration in Europe: on the effects of EMU on stock markets (2002)Volatility Spillover Effects in European Equity Markets (2005)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)The robustness of identified VAR conclusions about money (1998)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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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
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2009Global market integration: An alternative measure and its application☆621 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited
  • 2011Volatility transmission in emerging European foreign exchange markets337 cited

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  • 2015Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014324 cited
  • 2000Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence281 cited
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