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An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices
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An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices (2023)An investigation of the frequency dynamic…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness (2020)EMU risk-synchronisation and …Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…A new index of financial conditions (2014)A new index of financial cond…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Return and volatility spillovers among the East Asian equity markets (2009)Return and volatility spillov…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Dynamic stock market integrat…Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures (2004)Dynamic Relationships among G…Financial market integration in Europe: on the effects of EMU on stock markets (2002)Financial market integration …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 …Emerging equity market volatility (1997)Emerging equity market volati…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Return connectedness across asset classes around the COVID-19 outbreak (2020)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)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)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)Are Financial Assets Priced Locally or Globally? (2002)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Efficient Tests for an Autoregressive Unit Root (1996)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Characterizing World Market Integration through Time (2007)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 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
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2014A new index of financial conditions710 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2002Financial market integration in Europe: on the effects of EMU on stock markets379 cited
  • 2005Dynamic stock market integration driven by the European Monetary Union: An empirical analysis346 cited
  • 2020EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness

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291 cited
  • 2004Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures279 cited
  • 2009Return and volatility spillovers among the East Asian equity markets256 cited
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