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Tail risk intersection between tech-tokens and tech-stocks
16 references·0 citing·35 second hop
Tail risk intersection between tech-tokens and tech-stocks (2024)Tail risk intersection between tech-token…Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)Static and Dynamic Connectedn…Is non-fungible token pricing driven by cryptocurrencies? (2021)Is non-fungible token pricing…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Financial contagion during COVID–19 crisis (2020)Financial contagion during CO…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…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 Legacy of Modern Portfolio Theory (2002)The Legacy of Modern Portfoli…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)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)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)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)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)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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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
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
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  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
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  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2020Financial contagion during COVID–19 crisis937 cited
  • 2021Is non-fungible token pricing driven by cryptocurrencies?550 cited
  • 2002The Legacy of Modern Portfolio Theory

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335 cited
  • 2021Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication314 cited
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