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Dynamic connectedness among the BRICS markets and the recent pandemic: an application of TVP-VAR approach
16 references·1 citing·30 second hop
Dynamic connectedness among the BRICS markets and the recent pandemic: an application of TVP-VAR approach (2024)Dynamic connectedness among the BRICS mar…The impact of COVID-19 on stock markets (2020)The impact of COVID-19 on sto…The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)The COVID-19 Outbreak and Aff…Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)Stock markets’ reaction to CO…Return connectedness across asset classes around the COVID-19 outbreak (2020)Return connectedness across a…Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Is Gold a Hedge or a Safe-Hav…How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)How COVID-19 drives connected…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…Financial contagion during COVID–19 crisis (2020)Financial contagion during CO…Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)Deaths, Panic, Lockdowns and …Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns (2020)Death and contagious infectio…COVID-19 and finance: Agendas for future research (2020)COVID-19 and finance: Agendas…Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time (2020)Aggregate and Firm-Level Stoc…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Dynamic spillovers of oil price shocks and economic policy uncertainty (2014)Dynamic spillovers of oil pri…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach (2006)The impact of the SARS outbre…Banking index volatility and spillover effects in G7 and BRICS economies: a quantile connectedness approach (2025)Banking index volatility and …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)COVID-19 and stock market volatility: An industry level analysis (2020)Hospitality and tourism industry amid COVID-19 pandemic: Perspectives on challenges and learnings from India (2020)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)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)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)Coronavirus (COVID-19) — An epidemic or pandemic for financial markets (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Econometric Analysis of Panel Data (2021)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Event Studies in Economics and Finance (1997)The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam (2020)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)Cultures and Organizations: Software of the Mind. (1993)Econometric Analysis of Cross Section and Panel Data (2001)COVID-19 and the United States financial markets’ volatility (2020)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 (2020)SRISK: A conditional capital shortfall measure of systemic risk (2017)NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic (2021)Quantile connectedness in the cryptocurrency market (2021)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)
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References

  • 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
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2020COVID-19 and finance: Agendas for future research1,596 cited
  • 2020Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns1,435 cited
  • 2020Stock markets’ reaction to COVID-19: Cases or fatalities?1,253 cited
  • 2020Financial contagion during COVID–19 crisis937 cited
  • 2020The COVID-19 Outbreak and Affected Countries Stock Markets Response916 cited
  • 2020Return connectedness across asset classes around the COVID-19 outbreak631 cited
  • 2006The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach582 cited
  • 2020Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis?526 cited
  • 2020Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic505 cited
  • 2014Dynamic spillovers of oil price shocks and economic policy uncertainty435 cited
  • 2020Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time423 cited

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2020
The impact of COVID-19 on stock markets
402 cited
  • 2020How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques397 cited
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    • 2025Banking index volatility and spillover effects in G7 and BRICS economies: a quantile connectedness approach16 cited