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Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
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  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1994The Sharpe Ratio2,542 cited
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  • 2022The World Uncertainty Index1,074 cited
  • 2014Do ETFs Increase Volatility?686 cited
  • 2015Does realized skewness predict the cross-section of equity returns?507 cited
  • 2013Oil shocks, policy uncertainty and stock market return505 cited
  • 2014Does gold act as a hedge or a safe haven for stocks? A smooth transition approach

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  • 2021Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach433 cited
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