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Dynamic spillover effects of global financial stress: Evidence from the quantile VAR network
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References

  • 2002Dynamic Conditional Correlation7,126 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
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 2005The Limits of Financial Globalization1,039 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2022Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks831 cited
  • 2006Measuring financial stress in a developed country: An application to Canada569 cited
  • 2013Dynamic co-movements of stock market returns, implied volatility and policy uncertainty553 cited
  • 2022Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets519 cited

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2020
Extreme return connectedness and its determinants between clean/green and dirty energy investments
452 cited
  • 2010Financial stress and economic contractions429 cited
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