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Financial markets, energy shocks, and extreme volatility spillovers
16 references·0 citing·41 second hop
Financial markets, energy shocks, and extreme volatility spillovers (2023)Financial markets, energy shocks, and ext…Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Quantile Connectedness: Model…Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies (2022)Examining the interrelatednes…Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Time-frequency connectedness …Tail dependence between bitcoin and green financial assets (2021)Tail dependence between bitco…Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds (2020)Time-frequency comovement amo…The impact of COVID-19 on emerging stock markets (2020)The impact of COVID-19 on eme…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…COVID-19 and stock market volatility: An industry level analysis (2020)COVID-19 and stock market vol…COVID-19 and finance: Agendas for future research (2020)COVID-19 and finance: Agendas…Constructing a Global Fear Index for the COVID-19 Pandemic (2020)Constructing a Global Fear In…Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Are cryptocurrencies a safe h…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Market Integration and Contagion (2005)Market Integration and Contag…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)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)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)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)A STATE‐PREFERENCE MODEL OF OPTIMAL FINANCIAL LEVERAGE (1973)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)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Emerging markets finance (2003)International Stock Return Comovements (2005)Capital flows, push versus pull factors and the global financial crisis (2012)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Measuring Economic Policy Uncertainty* (2016)Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis (2020)Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19 (2020)Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Testing for unit roots in heterogeneous panels (2003)The socio-economic implications of the coronavirus pandemic (COVID-19): A review (2020)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)The economics of COVID-19 pandemic: A survey (2021)Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga (2022)Common risk factors in the returns on stocks and bonds (1993)Determining the Number of Factors in Approximate Factor Models (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective (2022)Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective (2022)The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)
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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
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 2020COVID-19 and finance: Agendas for future research1,596 cited
  • 2005Market Integration and Contagion1,061 cited
  • 2022Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks831 cited
  • 2020The impact of COVID-19 on emerging stock markets675 cited
  • 2020Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic603 cited
  • 2020COVID-19 and stock market volatility: An industry level analysis544 cited
  • 2020Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds453 cited
  • 2021Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis323 cited
  • 2021Tail dependence between bitcoin and green financial assets300 cited

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  • 2022Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies291 cited
  • 2020Constructing a Global Fear Index for the COVID-19 Pandemic266 cited
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