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Tail risk spillovers among Chinese stock market sectors
16 references·0 citing·43 second hop
Tail risk spillovers among Chinese stock market sectors (2024)Tail risk spillovers among Chinese stock …Climate policy uncertainty and stock market volatility: Evidence from different sectors (2022)Climate policy uncertainty an…Sectoral Connectedness: New Evidence from US Stock Market during COVID-19 Pandemics (2021)Sectoral Connectedness: New E…Sector connectedness in the Chinese stock markets (2021)Sector connectedness in the C…Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system (2021)Dynamic measures of asymmetri…Asymmetric volatility spillover among Chinese sectors during COVID-19 (2021)Asymmetric volatility spillov…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Connectedness and risk spillovers in China’s stock market: A sectoral analysis (2019)Connectedness and risk spillo…Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)Asymmetric connectedness on t…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…CAViaR (2004)CAViaRThe transmission of shocks among S&P indexes (2002)The transmission of shocks am…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests (1999)Predictive regressions with time-varying coefficients (2012)Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric volatility connectedness on the forex market (2017)High frequency volatility co-movements in cryptocurrency markets (2019)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The separation of ownership and control in East Asian Corporations (2000)Contagion as a Wealth Effect (2001)Competition and Financial Stability (2004)Contagion in financial networks (2010)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)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Quantifying the asymmetric spillovers in sustainable investments (2021)Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis (2021)Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis (2022)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2004CAViaR2,210 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 2015Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers459 cited
  • 2021Asymmetric volatility spillover among Chinese sectors during COVID-19209 cited
  • 2021Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system205 cited
  • 2019Connectedness and risk spillovers in China’s stock market: A sectoral analysis131 cited
  • 2022Climate policy uncertainty and stock market volatility: Evidence from different sectors104 cited
  • 2021Sectoral Connectedness: New Evidence from US Stock Market during COVID-19 Pandemics95 cited

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  • 2021Sector connectedness in the Chinese stock markets74 cited
  • 2002The transmission of shocks among S&P indexes58 cited
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