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Volatility spillover dynamics and relationship across G7 financial markets
16 references·16 citing·38 second hopsampled
Volatility spillover dynamics and relationship across G7 financial markets (2015)Volatility spillover dynamics and relatio…Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Dynamic spillovers between oi…Volatility spillovers between the Chinese and world equity markets (2011)Volatility spillovers between…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Stocks, bonds, money markets …Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Taking Stock: Monetary Policy Transmission to Equity Markets (2004)Taking Stock: Monetary Policy…Small sample properties of forecasts from autoregressive models under structural breaks (2004)Small sample properties of fo…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…A Measure of Comovement for Economic Variables: Theory and Empirics (2001)A Measure of Comovement for E…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Volatility and Links between National Stock Markets (1994)Volatility and Links between …Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models? (1990)Stock Prices and Bond Yields:…Financial fusion: Bridging Islamic and Green investments in the European stock market (2024)Financial fusion: Bridging Is…Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors (2022)Value investing versus other …Realized higher-order moments spillovers between commodity and stock markets: Evidence from China (2022)Realized higher-order moments…Network connectedness dynamics of the yield curve of G7 countries (2022)Network connectedness dynamic…Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19 (2022)Can treasury inflation-protec…Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock (2022)Analysis of connectivity betw…Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic (2021)Volatility spillovers among N…Volatility connectedness and market dependence across major financial markets in China economy (2021)Volatility connectedness and …On the dynamics of international real-estate-investment trust-propagation mechanisms: Evidence from time-varying return and volatility connectedness measuress (2021)On the dynamics of internatio…Contagion effect of systemic risk among industry sectors in China’s stock market (2021)Contagion effect of systemic …Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets (2020)Dynamic behaviors and contrib…The dynamics of volatility connectedness in international real estate investment trusts (2018)The dynamics of volatility co…Financial risk network architecture of energy firms (2018)Financial risk network archit…Housing market volatility connectedness among G7 countries (2017)Housing market volatility con…Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty (2017)Dynamics of international spi…Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States (2016)Time-varying price shock tran…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)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)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A General Equilibrium Approach To Monetary Theory (1969)Credit Cycles (1997)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Investor sentiment and the stock market’s reaction to monetary policy (2009)Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)Limited-dependent and qualitative variables in econometrics (1983)Financial Contagion (2000)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Emerging markets finance (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Measuring financial contagion: A Copula approach (2007)The robustness of identified VAR conclusions about money (1998)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Intraday Patterns: Volume and Price Variability (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Statistical aspects of ARCH and stochastic volatility (1996)A New Approach to Measuring Financial Contagion (2000)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Are Financial Assets Priced Locally or Globally? (2002)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)
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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
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 2004Taking Stock: Monetary Policy Transmission to Equity Markets466 cited
  • 2004Small sample properties of forecasts from autoregressive models under structural breaks394 cited
  • 2010Stocks, bonds, money markets and exchange rates: measuring international financial transmission370 cited
  • 2001A Measure of Comovement for Economic Variables: Theory and Empirics350 cited
  • 2012Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries347 cited

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  • 2011Volatility spillovers between the Chinese and world equity markets262 cited
  • 1990Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models?258 cited
  • Cited by

    • 2017Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty134 cited
    • 2022Realized higher-order moments spillovers between commodity and stock markets: Evidence from China95 cited
    • 2018Financial risk network architecture of energy firms79 cited
    • 2021Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic76 cited
    • 2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets64 cited
    • 2016Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States64 cited
    • 2018The dynamics of volatility connectedness in international real estate investment trusts59 cited
    • 2022Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors51 cited
    • 2021Volatility connectedness and market dependence across major financial markets in China economy43 cited
    • 2021On the dynamics of international real-estate-investment trust-propagation mechanisms: Evidence from time-varying return and volatility connectedness measuress36 cited
    • 2022Network connectedness dynamics of the yield curve of G7 countries34 cited
    • 2022Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-1934 cited
    • 2024Financial fusion: Bridging Islamic and Green investments in the European stock market31 cited
    • 2021Contagion effect of systemic risk among industry sectors in China’s stock market30 cited
    • 2022Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock30 cited
    • 2017Housing market volatility connectedness among G7 countries30 cited