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Sectoral risk contagion and quantile network connectedness on Chinese stock sectors after the COVID-19 outbreak
16 references·0 citing·36 second hopsampled
Sectoral risk contagion and quantile network connectedness on Chinese stock sectors after the COVID-19 outbreak (2023)Sectoral risk contagion and quantile netw…Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Quantile time–frequency price…Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Quantile Connectedness: Model…Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach (2021)Interest rate swaps and the t…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…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…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)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…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Is All That Talk Just Noise? …Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Estimating quadratic variation using realized variance (2002)Estimating quadratic variatio…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Realized Variance and Market Microstructure Noise (2006)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)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)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)COVID-Induced Economic Uncertainty (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Media Coverage and the Cross‐section of Stock Returns (2009)The Econometrics of Financial Markets (2012)Textual Analysis in Accounting and Finance: A Survey (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)Expected Stock Returns and Variance Risk Premia (2009)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2004Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards2,369 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,488 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 2022Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks831 cited
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Estimating quadratic variation using realized variance
618 cited
  • 2021Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach524 cited
  • 2022Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets519 cited
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