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The impact of pandemic on dynamic volatility spillover network of international stock markets
16 references·0 citing·48 second hopsampled
The impact of pandemic on dynamic volatility spillover network of international stock markets (2023)The impact of pandemic on dynamic volatil…The Unprecedented Stock Market Impact of COVID-19 (2020)The Unprecedented Stock Marke…The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)The COVID-19 Outbreak and Aff…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Feverish Stock Price Reactions to COVID-19* (2020)Feverish Stock Price Reaction…Coronavirus (COVID-19) — An epidemic or pandemic for financial markets (2020)Coronavirus (COVID-19) — An e…Measuring Geopolitical Risk (2018)Measuring Geopolitical RiskOn the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Dynamic correlation between s…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Stocks, bonds, money markets …Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar (2001)Contagious Speculation and a …Financial Contagion (2000)Financial ContagionEmerging equity market volatility (1997)Emerging equity market volati…Time-Varying World Market Integration (1995)Time-Varying World Market Int…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)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Asset Pricing (2001)Good Day Sunshine: Stock Returns and the Weather (2003)Does the stock market fully value intangibles? 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(2021)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)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)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)Corporate Immunity to the COVID-19 Pandemic (2020)Financial markets under the global pandemic of COVID-19 (2020)Two new Later Stone Age sites from the Final Pleistocene in the Falémé Valley, eastern Senegal (2024)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Financial Dependence and Growth (1996)Foreign Speculators and Emerging Equity Markets (2000)Does financial liberalization spur growth? (2005)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)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Asymmetric correlations of equity portfolios (2002)A Monetary History of the United States 1867-1960 (1964)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Systemic Risk and Stability in Financial Networks (2015)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Dynamic Conditional Correlation7,229 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2000Financial Contagion3,419 cited
  • 1995Time-Varying World Market Integration2,307 cited
  • 1997Emerging equity market volatility1,743 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,690 cited
  • 2020Feverish Stock Price Reactions to COVID-19*1,394 cited
  • 2001Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar924 cited
  • 2020The COVID-19 Outbreak and Affected Countries Stock Markets Response916 cited
  • 2020The Unprecedented Stock Market Impact of COVID-19903 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2011Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries764 cited
  • 2020Coronavirus (COVID-19) — An epidemic or pandemic for financial markets715 cited
  • 2018Measuring Geopolitical Risk596 cited

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  • 2010Stocks, bonds, money markets and exchange rates: measuring international financial transmission429 cited
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