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COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
16 references·2 citing·33 second hopsampled
COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs (2022)COVID-induced sentiment and the intraday …Tail dependence between bitcoin and green financial assets (2021)Tail dependence between bitco…Examining the Interrelatedness of NFT’s, DeFi Tokens and Cryptocurrencies (2021)Examining the Interrelatednes…Searching for safe-haven assets during the COVID-19 pandemic (2020)Searching for safe-haven asse…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Predicting stock returns in the presence of COVID-19 pandemic: The role of health news (2020)Predicting stock returns in t…Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Is Gold a Hedge or a Safe-Hav…How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)How COVID-19 drives connected…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…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)COVID-19 pandemic, oil prices…Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19 (2020)Co-movements and spillovers o…On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…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…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Understanding dynamic return connectedness and portfolio strategies among international sustainable exchange-traded funds (2024)Understanding dynamic return …The higher the better? Hedging and investment strategies in cryptocurrency markets: Insights from higher moment spillovers (2024)The higher the better? Hedgin…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)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)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)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)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Introduction to Econophysics (1999)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Feverish Stock Price Reactions to COVID-19* (2020)Financial contagion during COVID–19 crisis (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)The Coronavirus and the Great Influenza Pandemic: Lessons from the “Spanish Flu” for the Coronavirus’s Potential Effects on Mortality and Economic Activity (2020)Efficient Tests for an Autoregressive Unit Root (1996)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Measuring Economic Policy Uncertainty* (2016)COVID-19 and finance: Agendas for future research (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Is gold a safe haven? International evidence (2010)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)Geopolitical risk and dynamic connectedness between commodity markets (2022)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (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 spillovers6,033 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2020Financial markets under the global pandemic of COVID-192,567 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,690 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,548 cited
  • 2020Searching for safe-haven assets during the COVID-19 pandemic656 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms596 cited
  • 2020Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis?526 cited
  • 2020How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques397 cited
  • 2020Predicting stock returns in the presence of COVID-19 pandemic: The role of health news344 cited

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2021
Examining the Interrelatedness of NFT’s, DeFi Tokens and Cryptocurrencies
315 cited
  • 2021Tail dependence between bitcoin and green financial assets306 cited
  • 2020Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19292 cited
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    • 2024The higher the better? Hedging and investment strategies in cryptocurrency markets: Insights from higher moment spillovers18 cited
    • 2024Understanding dynamic return connectedness and portfolio strategies among international sustainable exchange-traded funds16 cited