The Global Crisis and Equity Market Contagion

Mehl, Arnaud; Bekaert, Geert; Fratzscher, Marcel; Ehrmann, Michael; Ehrmann, Michael; Mehl, Arnaud; Bekaert, Geert; Fratzscher, Marcel

Impacts of cross‐border equity portfolio flow and central bank transparency on financial development: The role of economic freedom and international bonds. (2025). Ezeani, Ernest ; Wonu, Chizindu ; Kwabi, Frank ; Leone, Vitor ; Owusu, Andrews.
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Latin American Equities, Volatility Regimes, and the US Economic Policy Uncertainty. (2025). Raffiee, Kambiz ; Chatrath, Arjun ; Adrangi, Bahram.
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Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin. (2025). Chatrath, Arjun ; Hatamerad, Saman ; Raffiee, Kambiz ; Adrangi, Bahram.
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Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants. (2025). Alves, José ; Afonso, Antonio ; Grabowski, Wojciech ; Monteiro, Sofia.
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Energy Supply Shock on European Stock Markets: Evidence from the Russia–Ukraine War. (2025). Cebula, Richard ; Sun, Yanfei ; Salvi, Antonio ; Ni, Yinan ; Rossi, Fabrizio.
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Fear propagation and return dynamics. (2025). Wang, Kai ; Sun, Yulong ; Zhou, Zhiping.
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A factor model for the cross-section of country equity risk premia. (2025). Fieberg, Christian ; Cakici, Nusret ; Zaremba, Adam ; Liedtke, Gerrit.
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Factor momentum versus price momentum: Insights from international markets. (2025). Fieberg, Christian ; Metko, Daniel ; Zaremba, Adam ; Cakici, Nusret.
In: Journal of Banking & Finance.
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Regional bank failures and volatility transmission. (2025). Wiesen, Thomas ; Lastrapes, William D.
In: Journal of Financial Stability.
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How geopolitical tensions affect China’s systemic financial risk contagion. (2025). Zhou, Yingxue ; Wang, DA ; Nie, Zhengyi.
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Stock and Sovereign Returns Linkages: Time-Varying Causality and Extreme-Quantile Determinants. (2025). Afonso, Antonio ; Monteiro, Sofia ; Grabowski, Wojciech ; Alves, Jos.
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Exploring Three-style Return Comovements and Contagion Using a Correlation Decomposition GARCH Model. (2024). Mak, Ving-Vunk ; So, Po-Yuk ; Su, Ender.
In: Computational Economics.
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Back to normal? Assessing the Effects of the Federal Reserves Quantitative Tightening. (2024). Casalena, Francesco.
In: IHEID Working Papers.
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Beneath the Surface: Disentangling the Dynamic Network of the U.S. and BRIC Stock Markets’ Interrelations Amidst Turmoil. (2024). Mohsen, Mujeeb Saif ; Tabash, Mosab I ; Naushad, J A ; Nishad, Mohamed T ; Chalissery, Neenu.
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An analysis of the time-lag effect of global geopolitical risk on business cycle based on visibility graph technique. (2024). Shum, Wai Yan ; Xiao, Zhongyi ; Shang, Yunfeng.
In: Technological Forecasting and Social Change.
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Financial technology and ESG market: A wavelet-DCC GARCH approach. (2024). Shrestha, Keshab ; Naysary, Babak.
In: Research in International Business and Finance.
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Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. (2024). Shafiullah, Muhammad ; lucey, brian ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam.
In: Research in International Business and Finance.
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Over-expected shocks and financial market security: Evidence from Chinas markets. (2024). Sensoy, Ahmet ; Li, Yueshan ; Chen, Shoudong ; Wang, LU.
In: Research in International Business and Finance.
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Carbon volatility connectedness and the role of external uncertainties: Evidence from China. (2024). Zhou, Wei-Xing ; Chen, Huayi ; Shi, Huai-Long.
In: Journal of Commodity Markets.
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Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; lucey, brian ; Rahman, Md Lutfur ; Uddin, Gazi Salah.
In: Journal of Commodity Markets.
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No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Bei, Zeyun ; Zhou, Yinggang ; Lin, Juan.
In: Journal of International Money and Finance.
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Central bank policies and financial markets: Lessons from the euro crisis. (2024). Nedeljkovic, Milan ; Mody, Ashoka.
In: Journal of Banking & Finance.
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How green screening influences risk transmission among stock-bond indices: Insight into the dependence structure. (2024). Pan, Zhijie ; Zheng, Yanting ; Xu, Dandan ; Wang, Ting.
In: Finance Research Letters.
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Does high volatility increase connectedness? A study of Asian equity markets. (2024). Wiesen, Thomas ; Afatsao, Richard ; Oliyide, Johnson ; Adekoya, Oluwasegun Babatunde.
In: International Review of Financial Analysis.
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The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis. (2024). Hong, Yongmiao ; Cheng, Zishu ; Wei, Yunjie ; Wang, Shouyang ; Cui, Ruhong ; Li, Mingchen.
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Understanding co-movements based on heterogeneous information associations. (2024). Chen, Huayi ; Shi, Huai-Long.
In: International Review of Financial Analysis.
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The impact of the Russia–Ukraine war on volatility spillovers. (2024). Lin, Yongjia ; Wang, Yizhi ; Sio-Chong, Tony.
In: International Review of Financial Analysis.
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Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai.
In: International Review of Financial Analysis.
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The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference. (2024). Uddin, Gazi ; Hao, Zhu Shi ; Sheng, Lin Wen ; Sen, Ding.
In: International Review of Financial Analysis.
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Global contagion of US COVID-19 panic news. (2024). Ho, Young ; Kang, Yong Joo ; Park, Dojoon.
In: Emerging Markets Review.
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Shock resistors or transmitters? Contagion across industries and countries during the COVID-19 pandemic and the global financial crisis. (2024). Umutlu, Mehmet ; Harb, Hadi.
In: Economics Letters.
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Macro topology structure and evolution of Chinese Public Funds’ Co-holding Network. (2024). Liu, Zhenchun ; Guo, Xiaoping ; Fan, Ningyuan ; Wang, Jianwei.
In: The North American Journal of Economics and Finance.
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The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles. (2024). Hu, Zinan ; Borjigin, Sumuya.
In: The North American Journal of Economics and Finance.
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A contagion test with unspecified heteroscedastic errors. (2024). Ko, Stanley Iat-Meng ; Peng, Liang ; Aboagye, Ernest ; Hsiao, Cody Yu-Ling ; Lo, Chia Chun.
In: Journal of Economic Dynamics and Control.
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Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhuang, Zixi ; Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan.
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Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning. (2024). Wang, Jinghua ; Ngene, Geoffrey M.
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Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao.
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Pension Funds and Financial Stability: The Case of the UK Gilt Crisis. (2023). Svend, Hougaard Jensen ; Jon, Gudjonsson.
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Corporate Investment in Bank-Dependent Companies in Crisis Time. (2023). Ilona, Skibiska-Fabrowska ; Elbieta, Bukalska.
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Financial integration and international risk spillovers. (2023). Lee, Dongwon.
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The impact of COVID-19 pandemic on the dynamic correlations between gold and U.S. equities: evidence from multifractal cross-correlation analysis. (2023). Maghyereh, Aktham ; Wtorek, Marcin ; Abdoh, Hussein.
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Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach. (2023). Chen, Meng-Wei ; Ju, Peijie ; Chang, Meng-Shiuh.
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A Markov Switching Approach in Assessing Oil Price and Stock Market Nexus in the Last Decade: The Impact of the COVID-19 Pandemic. (2023). Phoong, Seuk Yen ; al Mahi, Masnun.
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Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Bampinas, Georgios ; Politsidis, Panagiotis N.
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Are return predictors of industrial equity indexes common across regions?. (2023). Umutlu, Mehmet ; Bengitoz, Pelin.
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Time-Frequency Volatility Spillovers among Major International Financial Markets: Perspective from Global Extreme Events. (2023). Dong, Zibing ; Xiao, Yao ; Li, Yanshuang ; Zhuang, Xintian ; Gherghina, Stefan Cristian ; Wang, Jian.
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Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS. (2023). Goutte, Stéphane ; Gana, Marjene ; Guesmi, Khaled ; Ahmed, Ayedi.
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Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Bampinas, Georgios ; Politsidis, Panagiotis.
In: Post-Print.
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Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets. (2023). Hapau, Razvan Gabriel ; Vacaru, Oana Mihaela ; Gruiescu, Mihaela ; Manta, Eduard Mihai ; Davidescu, Adriana Anamaria.
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Revisiting asset co-movement: Does network topology really matter?. (2023). Chen, Huayi ; Shi, Huai-Long.
In: Research in International Business and Finance.
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Direct and spillover portfolio effects of COVID-19. (2023). Ding, Haoyuan ; Ying, Jiezhou ; Pu, BO.
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What impacts foreign capital flows to Chinas stock markets? Evidence from financial risk spillover networks. (2023). Li, Songsong ; Xu, Hao.
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News-based economic policy uncertainty and financial contagion: An international evidence. (2023). Hadhri, Sinda.
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Dynamic integration and transmission channels among interest rates and oil price shocks. (2023). Dagher, Leila ; Guesmi, Khaled ; Abid, Ilyes ; Urom, Christian.
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Is geopolitical risk interconnected? Evidence from Russian-Ukraine crisis. (2023). Ahmed, Shamima ; Assaf, Rima ; Rahman, Molla Ramizur ; Tabassum, Fariha.
In: The Journal of Economic Asymmetries.
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Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Bampinas, Georgios ; Politsidis, Panagiotis N.
In: Journal of International Money and Finance.
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Corporate culture and firm value: Evidence from crisis. (2023). HASAN, IFTEKHAR ; Fang, Yiwei ; Leung, Woon Sau ; Wong, Gabriel ; Fiordelisi, Franco.
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Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets. (2023). Goutte, Stéphane ; Gana, Marjene ; Guesmi, Khaled ; Ayadi, Ahmed.
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Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai.
In: Journal of International Financial Markets, Institutions and Money.
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International stock volatility predictability: New evidence from uncertainties. (2023). Wang, Tianyang ; Wu, Lan ; Ma, Feng.
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Market risks that change US-European equity correlations. (2023). Sarwar, Ghulam.
In: Journal of International Financial Markets, Institutions and Money.
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What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). shin, yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew.
In: Journal of Financial Stability.
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Firm fundamentals and the cross-section of implied volatility shapes. (2023). guo, biao ; Zhou, Guofu ; Chen, Ding.
In: Journal of Financial Markets.
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A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets. (2023). Zheng, Yanting ; Luan, Xin ; Liu, Jiaming.
In: International Review of Financial Analysis.
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Time-varying bond market integration and the impact of financial crises. (2023). Hyde, Stuart ; Qin, Weiping ; Cho, Sungjun.
In: International Review of Financial Analysis.
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Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics. (2023). Tsafack, Georges ; Starkey, Christopher Michael.
In: International Review of Financial Analysis.
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Dual role of the country factors in international asset pricing: The local factors and proxies for the global factors. (2023). Lee, Kyuseok ; Wei, Fengrong ; Eun, Cheol.
In: International Review of Financial Analysis.
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Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Chen, Yiqing ; Yao, Shujie ; Wan, Hong.
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Who are the vectors of contagion? Evidence from emerging markets. (2023). Agudelo, Diego A ; Munera, Daimer J.
In: International Review of Financial Analysis.
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Financial integration and international risk spillovers. (2023). Lee, Dongwon.
In: Economics Letters.
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The effect of interconnectivity on stock returns during the Global Financial Crisis. (2023). Tabak, Benjamin ; Silva, Thiago ; Berri, Paulo Victor.
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Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA.
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A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi.
In: Journal of Economic Dynamics and Control.
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Estimating contagion mechanism in global equity market with time‐zone effect. (2023). Chen, Muzi ; Huang, Difang ; Wu, Boyao.
In: Financial Management.
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Policy uncertainty and inventory behavior: Evidence from the US manufacturing sector. (2023). Li, Tongxia ; Chan, Kam C ; Routledge, James ; Lu, Chun.
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A cross‐country study on informed herding. (2022). Chen, Tao.
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Stock market dynamics and the relative importance of domestic, foreign, and common shocks. (2022). Horn, Wolfram ; Ademmer, Martin ; Quast, Josefine.
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A new analytical approach for identifying market contagion. (2022). Kim, Taeyoon ; Lee, Hee Soo.
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Spatial contagion between financial markets: new evidence of asymmetric measures. (2022). Ftiti, Zied ; Miled, Wafa ; Sahut, Jean-Michel.
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Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. (2022). Önder, A. Özlem ; Onder, Ozlem A ; Muradolu, Gulnur Y ; Kila, Gul Huyuguzel.
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Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management. (2022). Hendawi, Raed ; Alomari, Mohammad ; Ur, Mobeen ; McMillan, David ; al Rababaa, Abdel Razzaq.
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The study of co-movement risk in the context of the Belt and Road Initiative. (2022). Chien, Fengsheng ; Hsu, Ching-Chi.
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Network dynamic and stability on European Union. (2022). PEREIRA, EDER JOHNSON DE AREA ; Ferreira, Paulo ; Do, Raphael Silva ; Vivas, Jose Garcia ; de Barros, Hernane Borges ; de Area, Eder Johnson ; Moreira, Davidson Martins.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121008050.
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What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis?. (2022). Shi, Yujie.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:72:y:2022:i:c:s0927538x22000178.
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Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis. (2022). Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon ; Alomari, Mohammad ; al Rababa, Abdel Razzaq.
In: Resources Policy.
RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004196.
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Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period. (2022). Maghyereh, Aktham ; Abdoh, Hussein ; Awartani, Basel.
In: The Journal of Economic Asymmetries.
RePEc:eee:joecas:v:25:y:2022:i:c:s170349492100044x.
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Stock return comovement when investors are distracted: More, and more homogeneous. (2022). Jansen, David-Jan ; Ehrmann, Michael.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:129:y:2022:i:c:s0261560622001450.
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Global banks and systemic risk: The dark side of country financial connectedness. (2022). McLemore, Ping ; Sanz, Leandro ; Mihov, Atanas.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:129:y:2022:i:c:s0261560622001371.
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Measuring 25 years of global equity market co-movement using a time-varying spatial model. (2022). , Thomas ; Prange, Philipp ; Peter, Franziska J.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001115.
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International determinants of asymmetric dependence in investment returns. (2022). Sinagl, Petra ; Alcock, Jamie.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002278.
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Discretionary earnings smoothing, credit quality, and firm value. (2022). Simko, Paul J ; Allayannis, George.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426622001078.
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Housing networks and driving forces. (2022). Shi, Shuping ; Hurn, Stan ; Wang, Ben.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002685.
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The size of good and bad volatility shocks does matter for spillovers. (2022). Harb, Etienne ; Bouri, Elie.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001020.
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Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531.
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Sovereign bond market spillovers from crisis-time developments in Greece. (2022). Zigraiova, Diana ; Gabriele, Carmine ; Clancy, Daragh.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000464.
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Measuring market integration during crisis periods. (2022). Hyde, Stuart ; Qin, Weiping ; Cho, Sungjun.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000440.
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Predictability of stock market returns: New evidence from developed and developing countries. (2022). Li, Xiyang ; Chen, Xiaoyue ; Singh, Tarlok ; Shi, Kan.
In: Global Finance Journal.
RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000223.
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The U.S.-China trade conflict impacts on the Chinese and U.S. stock markets: A network-based approach. (2022). Chen, Yanhua ; Pantelous, Athanasios A.
In: Finance Research Letters.
RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004621.
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Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2022). Li, Youwei ; Chen, Yanhua ; Stanley, Eugene H ; Pantelous, Athanasios A.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003161.
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Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework. (2022). Basu, Sankarshan ; Das, Debojyoti ; Maitra, Debasish ; Dutta, Anupam.
In: Energy Economics.
RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005175.
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Market risks that change domestic diversification benefits. (2022). Sarwar, Ghulam.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001632.
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Instability spillovers in the banking sector: A spatial econometrics approach. (2022). Karkowska, Renata ; Acedaski, Jan.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000493.
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Governance, information flow, and stock returns. (2022). Dumitrescu, Ariadna ; Zakriya, Mohammed.
In: Journal of Corporate Finance.
RePEc:eee:corfin:v:72:y:2022:i:c:s0929119922000116.
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The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan.
In: Journal of Risk & Insurance.
RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425.
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The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan.
In: Working papers.
RePEc:bfr:banfra:857.
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Understanding Volatility Spillover Relationship Among G7 Nations And India During Covid-19. (2022). Das, Devanjali Nandi.
In: Papers.
RePEc:arx:papers:2208.09148.
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Firm internationalization and long‐term impact of the Covid‐19 pandemic. (2021). Nagarajan, Viswanathan ; Sharma, Prateek.
In: Managerial and Decision Economics.
RePEc:wly:mgtdec:v:42:y:2021:i:6:p:1477-1491.
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Forecasting systemic risk in portfolio selection: The role of technical trading rules. (2021). Kouaissah, Noureddine ; Hocine, Amin.
In: Journal of Forecasting.
RePEc:wly:jforec:v:40:y:2021:i:4:p:708-729.
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The contagion phenomena of the Brexit process on main stock markets. (2021). Iiguez, Cristina ; Escribano, Ana.
In: International Journal of Finance & Economics.
RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481.
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The Anatomy of Index Rebalancings : Evidence from Transaction Data. (2021). Williams, Tomas ; Pandolfi, Lorenzo ; Escobar, Mariana.
In: Policy Research Working Paper Series.
RePEc:wbk:wbrwps:9770.
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Bank Credit Risk Events and Peers’ Equity Value. (2021). Robles Fernandez, M. Dolores ; Fuertes, Ana-Maria.
In: Documentos de Trabajo del ICAE.
RePEc:ucm:doicae:2106.
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Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Gajurel, Dinesh ; Chowdhury, Biplob.
In: Applied Economics.
RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397.
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Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient. (2021). TILFANI, Oussama ; Ferreira, Paulo ; el Boukfaoui, My Youssef.
In: Empirical Economics.
RePEc:spr:empeco:v:60:y:2021:i:3:d:10.1007_s00181-019-01806-1.
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Residual contagion in emerging markets: ‘herd’ and ‘alarm’ effects in informatization. (2021). Lei, Yuliang ; Yang, Shenggang ; Fang, Min.
In: Electronic Commerce Research.
RePEc:spr:elcore:v:21:y:2021:i:3:d:10.1007_s10660-019-09350-x.
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When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times. (2021). Szafarz, Ariane ; Briere, Marie.
In: Working Papers CEB.
RePEc:sol:wpaper:2013/319463.
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The Anatomy of Index Rebalancings: Evidence from Transaction Data. (2021). Williams, Tomas ; Pandolfi, Lorenzo ; Escobar, Mariana ; Pedraza, Alvaro.
In: CSEF Working Papers.
RePEc:sef:csefwp:621.
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The Spillover Effect on the CEE Equity Markets and the Financial Contagion in the Context of Financial Integration. (2021). Stamule, Simona ; Lolea, Iulian Cornel ; Com, Contactcbyahoo.
In: Journal for Economic Forecasting.
RePEc:rjr:romjef:v::y:2021:i:4:p:155-170.
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The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?. (2021). Amamou, Souhir Amri ; Hellara, Slaheddine.
In: MPRA Paper.
RePEc:pra:mprapa:109038.
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Global Financial Crisis: Economic and Social Impact. (2021). Mihai, Eleodor-Alin ; Scarlat, Corina-Florentina.
In: Ovidius University Annals, Economic Sciences Series.
RePEc:ovi:oviste:v:xxi:y:2021:i:2:p:493-499.
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Testing stock market contagion properties between large and small stock markets. (2021). Su, EnDer.
In: Review of Quantitative Finance and Accounting.
RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00942-5.
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Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM. (2021). Trejo, Barbara Ruth ; David, Alberto Gallegos.
In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance).
RePEc:imx:journl:v:16:y:2021:i:2:p:1-26.
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Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM. (2021). Trejo, Barbara Ruth ; David, Alberto Gallegos.
In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance).
RePEc:imx:journl:v:16:y:2021:i:2:a:9.
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Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS. (2021). Goutte, Stéphane ; Gana, Marjene ; Guesmi, Khaled ; Ayadi, Ahmed.
In: Working Papers.
RePEc:hal:wpaper:halshs-03169699.
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Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS. (2021). Goutte, Stéphane ; Gana, Marjene ; Guesmi, Khaled ; Ayadi, Ahmed.
In: Post-Print.
RePEc:hal:journl:hal-04450376.
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Financial Contagion: A Tale of Three Bubbles. (2021). Burks, Nathan ; Hibbert, Ann Marie ; Fadahunsi, Adetokunbo.
In: JRFM.
RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:229-:d:558547.
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In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types. (2021). Nagayev, Ruslan ; Disli, Mustafa ; Aysan, Ahmet ; Salim, Kinan ; Rizkiah, Siti K.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000829.
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Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS. (2021). Goutte, Stéphane ; Gana, Marjene ; Guesmi, Khaled ; Ayadi, Ahmed.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:76:y:2021:i:c:p:376-423.
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Relationship between the financial and the real economy: A bibliometric analysis. (2021). Verbič, Miroslav ; Zabavnik, Darja.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:75:y:2021:i:c:p:55-75.
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Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach. (2021). Hamori, Shigeyuki ; Zhang, Yulian.
In: The Quarterly Review of Economics and Finance.
RePEc:eee:quaeco:v:82:y:2021:i:c:p:145-162.
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How COVID-19 has affected stock market persistence? Evidence from the G7’s. (2021). Bentes, Sonia R.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:581:y:2021:i:c:s0378437121004830.
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Quantile relationship between Islamic and non-Islamic equity markets. (2021). Uddin, Gazi ; Kang, Sang Hoon ; Rahman, Md Lutfur ; Hedstrom, Axel.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000937.
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The power of investor sentiment in explaining bank stock performance: Listed conventional vs. Islamic banks. (2021). Shaiban, Mohammed ; Hasanov, Akram ; Di, LI.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:66:y:2021:i:c:s0927538x21000160.
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Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis. (2021). Hamori, Shigeyuki ; Shang, Jin.
In: Resources Policy.
RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004098.
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Re-examining the real option characteristics of gold for gold mining companies. (2021). Uddin, Gazi ; Shahzad, Syed Jawad Hussain ; lucey, brian ; Rahman, Md Lutfur.
In: Resources Policy.
RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309211.
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Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic. (2021). Singh, Vik ; Roca, Eduardo ; Li, Bin.
In: Journal of Policy Modeling.
RePEc:eee:jpolmo:v:43:y:2021:i:2:p:253-277.
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Cross-stock market spillovers through variance risk premiums and equity flows. (2021). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001315.
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Herding by corporates in the US and the Eurozone through different market conditions. (2021). Tunaru, Radu ; Duygun, Meryem ; Vioto, Davide.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302679.
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Bank systemic risk exposure and office market interconnectedness. (2021). Füss, Roland ; Fuss, Roland ; Ruf, Daniel.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002636.
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Banking sector performance during the COVID-19 crisis. (2021). Demirguc-Kunt, Asli ; Ruiz-Ortega, Claudia ; Demirgu-Kunt, Asli ; Pedraza, Alvaro.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002570.
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Bank foreign assets, government support and international spillover effects of sovereign rating events on bank stock prices. (2021). Moch, Nils ; Schertler, Andrea.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621001461.
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Measuring financial interdependence in asset markets with an application to eurozone equities. (2021). Martin, Vance ; Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302478.
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From dotcom to Covid-19: A convergence analysis of Islamic investments. (2021). Kenourgios, Dimitris ; Pappas, Vasileios ; Alexakis, Christos ; Petropoulou, Athina.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001372.
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The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets. (2021). Brzeszczynski, Janusz ; Bwanya, Princess Rutendo ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub ; Charteris, Ailie.
In: Finance Research Letters.
RePEc:eee:finlet:v:43:y:2021:i:c:s154461232100026x.
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Volatility spillover around price limits in an emerging market. (2021). Aktas, Osman Ulas ; Kryzanowski, Lawrence ; Zhang, Jie.
In: Finance Research Letters.
RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319310888.
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Bank credit risk events and peers equity value. (2021). Robles Fernandez, M. Dolores ; Fuertes, Ana-Maria.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000119.
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Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena.
In: Journal of Econometrics.
RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.
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Estimating and testing high dimensional factor models with multiple structural changes. (2021). Kao, Chihwa ; Baltagi, Badi ; Wang, FA.
In: Journal of Econometrics.
RePEc:eee:econom:v:220:y:2021:i:2:p:349-365.
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Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis. (2021). Ahmed, Walid.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000188.
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Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. (2021). Li, Yiou ; Yuan, Ying ; Wang, Xunhong.
In: Economic Modelling.
RePEc:eee:ecmode:v:94:y:2021:i:c:p:401-414.
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The South African–United States sovereign bond spread and its association with macroeconomic fundamentals. (2021). Fedderke, Johannes.
In: South African Journal of Economics.
RePEc:bla:sajeco:v:89:y:2021:i:4:p:499-525.
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Policy Uncertainty and Customer Concentration. (2021). Leung, Woon Sau ; Sun, Jiong.
In: Production and Operations Management.
RePEc:bla:popmgt:v:30:y:2021:i:5:p:1517-1542.
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When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie.
In: Journal of Financial Research.
RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.
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Dynamics of crude oil price shocks and major Latin American Equity Markets: A study in time and frequency domains. (2021). Raffiee, Kambiz ; Macri, Joseph ; Adrangi, Bahram ; Chatrath, Arjun.
In: Bulletin of Economic Research.
RePEc:bla:buecrs:v:73:y:2021:i:3:p:432-455.
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Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets. (2020). Hasan, Mohammad S ; Alexandridis, Antonios K.
In: International Journal of Finance & Economics.
RePEc:wly:ijfiec:v:25:y:2020:i:4:p:518-546.
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Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic. (2020). Yousaf, Imran ; Ali, Shoaib.
In: Financial Innovation.
RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00213-1.
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Investigating liquidity constraints as a channel of contagion: a regime switching approach. (2020). Shijin, Santhakumar ; Sruthi, Rajan.
In: Financial Innovation.
RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00185-2.
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Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches. (2020). Huynh, Toan ; Duc, Toan Luu ; Duong, Duy.
In: Financial Innovation.
RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-019-0168-7.
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Is the Phillips curve framework still useful for understanding inflation dynamics in South Africa. (2020). Fedderke, Johannes.
In: Working Papers.
RePEc:rbz:wpaper:10142.
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Dynamic integration and transmission channels among interest rates and oil price shocks. (2020). Dagher, Leila ; Guesmi, Khaled ; Abid, Ilyes ; Urom, Christian.
In: MPRA Paper.
RePEc:pra:mprapa:116082.
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Sovereign bond and CDS market contagion: A story from the Eurozone crisis.. (2020). Politsidis, Panagiotis ; Panagiotidis, Theodore ; Bampinas, Georgios.
In: MPRA Paper.
RePEc:pra:mprapa:102846.
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Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2020). Li, Youwei ; Chen, Yanhua ; Stanley, Eugene ; Pantelous, Athanasios.
In: MPRA Paper.
RePEc:pra:mprapa:101700.
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Central Bank Communication and Financial Market Comovements in the Euro Area. (2020). Horvath, Roman ; Gertler, Pavel ; Jonaova, Julia.
In: Open Economies Review.
RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09561-7.
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Exposure to Provincial and National Information and Firm Performance: Crisis Period Evidence from China. (2020). Douch, Mohamed ; Kalinina, Yuliya ; Farooq, Omar.
In: International Advances in Economic Research.
RePEc:kap:iaecre:v:26:y:2020:i:1:d:10.1007_s11294-020-09769-1.
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Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case. (2020). Jareño, Francisco ; Koczar, Monika W ; Jareo, Francisco ; Escribano, Ana.
In: Mathematics.
RePEc:gam:jmathe:v:9:y:2020:i:1:p:6-:d:466312.
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EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients. (2020). TILFANI, Oussama ; Ferreira, Paulo ; Dionisio, Andreia ; el Boukfaoui, My Youssef.
In: JRFM.
RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:91-:d:354926.
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Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions. (2020). Gabauer, David ; Chatziantoniou, Ioannis ; Antonakakis, Nikolaos.
In: JRFM.
RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:84-:d:349823.
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Stock Market Contagion during the Global Financial Crises: Evidence from the Chilean Stock Market. (2020). Gjerde, Tom ; Mahenthiran, Sakthi ; Silva, Berta.
In: IJFS.
RePEc:gam:jijfss:v:8:y:2020:i:2:p:26-:d:348131.
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Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets. (2020). Potrykus, Marcin ; Kubiszewska, Katarzyna.
In: European Research Studies Journal.
RePEc:ers:journl:v:xxiii:y:2020:i:4:p:1047-1067.
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Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution✰. (2020). Nasir, Muhammad Ali ; Huynh, Toan ; Duc, Toan Luu ; Thampanya, Natthinee.
In: Technological Forecasting and Social Change.
RePEc:eee:tefoso:v:159:y:2020:i:c:s0040162520310210.
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International stock market co-movements following US financial globalization. (2020). Huang, Chai Liang.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:69:y:2020:i:c:p:788-814.
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The hedging effectiveness of global sectors in emerging and developed stock markets. (2020). Han, Liyan ; Wu, Lei ; Jin, Jiayu ; Zeng, Hong Chao.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:66:y:2020:i:c:p:92-117.
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Political risk and bank stability in the Middle East and North Africa region. (2020). Molyneux, Philip ; Maghyereh, Aktham ; Al-Shboul, Mohammad ; Hassan, Abul.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19303609.
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Dont talk too bad! stock market reactions to bank corporate governance news. (2020). Soana, Maria Gaia ; Carlini, Federico ; Cucinelli, Doriana ; Previtali, Daniele.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:121:y:2020:i:c:s0378426620302247.
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Local demand shocks, excess comovement and return predictability. (2020). Broman, Markus S.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:119:y:2020:i:c:s037842662030176x.
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Dodd-Franking the hedge Funds. (2020). Johan, Sofia ; Cumming, Douglas ; Dai, NA.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426617302261.
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The cross-over effect of irrational sentiments in housing, commercial property, and stock markets. (2020). Füss, Roland ; Fuss, Roland ; Das, Prashant ; Russ, Isabel Nina ; Hanle, Benjamin.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300674.
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Ultimate ownership, crash risk, and split share structure reform in China. (2020). Gao, Wenlian ; Liang, Quanxi.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300182.
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Are banking shocks contagious? Evidence from the eurozone. (2020). Flavin, Thomas ; Dungey, Mardi ; Lagoa-Varela, Dolores.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572.
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Risk aggregation in non-life insurance: Standard models vs. internal models. (2020). Jung, Kwangmin ; Eling, Martin.
In: Insurance: Mathematics and Economics.
RePEc:eee:insuma:v:95:y:2020:i:c:p:183-198.
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Oil shocks and financial systemic stress: International evidence. (2020). Qin, Xiao.
In: Energy Economics.
RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302851.
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Dynamic interdependence of ASEAN5 with G5 stock markets. (2020). Liow, Kim ; Song, Jeongseop.
In: Emerging Markets Review.
RePEc:eee:ememar:v:45:y:2020:i:c:s1566014120300042.
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Integrated dynamic models for hedging international portfolio risks. (2020). Topaloglou, Nikolas ; Zenios, Stavros ; Vladimirou, Hercules.
In: European Journal of Operational Research.
RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65.
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A self-normalization test for correlation change. (2020). Choi, Ji-Eun ; Shin, Dong Wan.
In: Economics Letters.
RePEc:eee:ecolet:v:193:y:2020:i:c:s016517651930045x.
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The contagion effects of volatility indices across the U.S. and Europe. (2020). Huang, Tze-Chin ; Chiang, Shu-Mei ; Chen, Chun-Da.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301315.
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Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342.
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Interrelations in market fears of U.S. and European equity markets. (2020). Sarwar, Ghulam.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:52:y:2020:i:c:s106294081930169x.
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U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model. (2020). Rouyer, Ellen ; Liang, Chin Chia ; Troy, Carol.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305485.
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Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data. (2020). Ji, Qiang ; GUPTA, RANGAN ; Cuñado, Juncal ; Cunado, Juncal ; Liu, Bing-Yue.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830319x.
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Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Nioi, Mihai ; Pochea, Maria Miruna.
In: Economic Modelling.
RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.
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An assessment of contagion risks in the banking system using non-parametric and Copula approaches. (2020). Nasir, Muhammad Ali ; Huynh, Toan ; Duc, Toan Luu ; Nguyen, Sang Phu ; Duong, Duy.
In: Economic Analysis and Policy.
RePEc:eee:ecanpo:v:65:y:2020:i:c:p:105-116.
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Mutual funds exits, financial crisis and Darwin. (2020). Zhang, Yue ; Zalewska, Anna.
In: Journal of Corporate Finance.
RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301826.
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Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach. (2020). Yang, Lu ; Hamori, Shigeyuki ; Ho, Kung-Cheng.
In: Journal of Asian Economics.
RePEc:eee:asieco:v:68:y:2020:i:c:s1049007820300440.
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Stock return comovement when investors are distracted: more, and more homogeneous. (2020). Jansen, David-Jan ; Ehrmann, Michael.
In: Working Paper Series.
RePEc:ecb:ecbwps:20202412.
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Did Globalization Kill Contagion?. (2020). Szafarz, Ariane ; OOSTERLINCK, Kim ; Burietz, Aurore ; Accominotti, Olivier ; Briere, Marie.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:14395.
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Efecto derrame del mercado internacional en las economías latinoamericanas: los casos de Chile, Brasil, Colombia y México. (2020). Candelo Viáfara, Juan Manuel ; Candelo-Viafara, Juan Manuel ; Oviedo-Gomez, Andres Felipe.
In: Apuntes del Cenes.
RePEc:col:000152:019994.
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A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S.
In: Cambridge Working Papers in Economics.
RePEc:cam:camdae:20114.
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US ECONOMIC POLICY UNCERTAINTY AND GCC STOCK MARKET PERFORMANCE. (2020). Abdullah, Saeed.
In: Studies in Business and Economics.
RePEc:blg:journl:v:15:y:2020:i:1:p:223-242.
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Labor Unionization and Supply‐Chain Partners’ Performance. (2020). Leung, Woon Sau ; Sun, Jiong ; Li, Jing.
In: Production and Operations Management.
RePEc:bla:popmgt:v:29:y:2020:i:5:p:1325-1353.
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Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi.
In: The Economic Record.
RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330.
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Asymmetric Network Connectedness of Fears. (2020). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia.
In: Papers.
RePEc:arx:papers:1810.12022.
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What influences a banks decision to go public?. (2019). Tsoukas, Serafeim ; Sermpinis, Georgios ; Zhang, Ping.
In: International Journal of Finance & Economics.
RePEc:wly:ijfiec:v:24:y:2019:i:4:p:1464-1485.
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Financial Globalisation and Economic Transformation in Africa: Evidence from Nigeria. (2019). Gbenga, Sanusi ; Patrick, Idode.
In: Financial Sciences. Nauki o Finansach.
RePEc:vrs:finsci:v:24:y:2019:i:1:p:7-24:n:1.
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Estimating and testing high dimensional factor models with multiple structural changes. (2019). Kao, Chihwa ; Baltagi, Badi ; Wang, FA.
In: MPRA Paper.
RePEc:pra:mprapa:98489.
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A Time-Frequency Analysis of Sovereign Debt Contagion in Europe. (2019). Aguiar-Conraria, Luís ; Ojo, Mustapha Olalekan ; Soares, Maria Joana.
In: NIPE Working Papers.
RePEc:nip:nipewp:11/2019.
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Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Uhde, Andre ; Wengerek, Sascha Tobias ; Hippert, Benjamin.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8.
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Extreme spillovers of VIX fear index to international equity markets. (2019). Tongurai, Jittima ; Boonchoo, Pattana ; Cheuathonghua, Massaporn ; Padungsaksawasdi, Chaiyuth.
In: Financial Markets and Portfolio Management.
RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-018-0323-6.
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Long-term asset allocation, risk tolerance and market sentiment. (2019). Joliet, Robert ; Erdemlioglu, Deniz.
In: Post-Print.
RePEc:hal:journl:hal-02510242.
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Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects. (2019). Gao, Wangfeng ; Xu, Guoxiang.
In: Sustainability.
RePEc:gam:jsusta:v:11:y:2019:i:5:p:1402-:d:211569.
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Predicting Contagion from the US Financial Crisis to International Stock Markets Using Dynamic Copula with Google Trends. (2019). Yamaka, Woraphon ; Maneejuk, Paravee.
In: Mathematics.
RePEc:gam:jmathe:v:7:y:2019:i:11:p:1032-:d:282944.
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Are cryptocurrencies contagious to Asian financial markets?. (2019). Hazrati, Shinta Amalina ; Handika, Rangga ; Soepriyanto, Gatot.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:50:y:2019:i:c:p:416-429.
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Financial contagion analysis in frontier markets: Evidence from the US subprime and the Eurozone debt crises. (2019). Vieira, Isabel ; Ferreira, Paulo ; Dionisio, Andreia ; Mohti, Wahbeeah.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:525:y:2019:i:c:p:1388-1398.
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What drives European Union stock market co-movements?. (2019). Nioi, Mihai ; Pochea, Maria Miruna.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:97:y:2019:i:c:p:57-69.
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On the global financial market integration “swoosh” and the trilemma. (2019). Mehl, Arnaud ; Bekaert, Geert.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:94:y:2019:i:c:p:227-245.
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International tail risk and World Fear. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Benno, Duc Binh ; Simen, Chardin Wese.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:93:y:2019:i:c:p:244-259.
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The walking debt crisis. (2019). Kruse, Robinson ; Basse, Tobias ; Wegener, Christoph.
In: Journal of Economic Behavior & Organization.
RePEc:eee:jeborg:v:157:y:2019:i:c:p:382-402.
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Integration and risk contagion in financial crises: Evidence from international stock markets. (2019). Gkillas, Konstantinos ; Vortelinos, Dimitrios I ; Tsagkanos, Athanasios.
In: Journal of Business Research.
RePEc:eee:jbrese:v:104:y:2019:i:c:p:350-365.
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Bad bad contagion. (2019). Londono, Juan M..
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302274.
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Long-term asset allocation, risk tolerance and market sentiment. (2019). Joliet, Robert ; Erdemlioglu, Deniz.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:62:y:2019:i:c:p:1-19.
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Does financial inclusion mitigate credit boom-bust cycles?. (2019). Lopez, Tania ; Winkler, Adalbert.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:43:y:2019:i:c:p:116-129.
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Good and bad volatility spillovers: An asymmetric connectedness. (2019). BenSaïda, Ahmed ; Bensaida, Ahmed.
In: Journal of Financial Markets.
RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.
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A systematic review of sovereign connectedness on emerging economies. (2019). Ballester, Laura ; Gonzalez-Urteaga, Ana ; Diaz-Mendoza, Ana Carmen.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:62:y:2019:i:c:p:157-163.
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Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes. (2019). Uddin, Gazi ; Rahman, Md Lutfur ; Hedstrom, Axel ; Ahmed, Ali.
In: Energy Economics.
RePEc:eee:eneeco:v:80:y:2019:i:c:p:743-759.
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Risk spillovers between oil and stock markets: A VAR for VaR analysis. (2019). Wang, Yudong ; Wen, Danyan ; Ma, Chaoqun.
In: Energy Economics.
RePEc:eee:eneeco:v:80:y:2019:i:c:p:524-535.
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Impacts of Chinas crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement. (2019). Huo, Rui ; Ahmed, Abdullahi D.
In: Economic Modelling.
RePEc:eee:ecmode:v:79:y:2019:i:c:p:28-46.
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Herding behavior and contagion in the cryptocurrency market. (2019). Klotzle, Marcelo ; Jordo, Paulo Vitor ; Gomes, Leonardo Lima ; Figueiredo, Antonio Carlos.
In: Journal of Behavioral and Experimental Finance.
RePEc:eee:beexfi:v:22:y:2019:i:c:p:41-50.
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Euro area sovereign risk spillovers before and after the ECBs OMT announcement. (2019). Gilbert, Niels.
In: Working Papers.
RePEc:dnb:dnbwpp:636.
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Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael.
In: CESifo Working Paper Series.
RePEc:ces:ceswps:_7532.
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Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael.
In: Cardiff Economics Working Papers.
RePEc:cdf:wpaper:2019/6.
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A regime switching skew-normal model of contagion. (2019). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin.
In: Studies in Nonlinear Dynamics & Econometrics.
RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.
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The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance. (2019). Michael, Taillard ; Abdullah, Alqahtani.
In: Asian Journal of Law and Economics.
RePEc:bpj:ajlecn:v:10:y:2019:i:2:p:13:n:1.
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The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries. (2019). Goldstein, Michael A ; McCarthy, Joseph ; Orlov, Alexei G.
In: The Financial Review.
RePEc:bla:finrev:v:54:y:2019:i:1:p:5-56.
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Change-point Analysis in Financial Networks. (2019). Banerjee, Sayantan ; Guhathakurta, Kousik.
In: Papers.
RePEc:arx:papers:1911.05952.
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A structural approach to identify financial transmission in distinguished scenarios of crises. (2018). Roestel, Jan ; Herwartz, Helmut.
In: Economics Working Papers.
RePEc:zbw:cauewp:201808.
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Office Market Interconnectedness and Systemic Risk Exposure. (2018). Ruf, Daniel ; Füss, Roland ; Fuss, Roland.
In: Working Papers on Finance.
RePEc:usg:sfwpfi:2018:30.
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Asset pricing, spatial linkages and contagion in real estate stocks. (2018). Milcheva, Stanimira ; Zhu, Bing.
In: Journal of Property Research.
RePEc:taf:jpropr:v:35:y:2018:i:4:p:271-295.
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Stock Market Volatility Clustering and Asymmetry in Africa: A Post Global Financial Crisis Evidence. (2018). Kalu O., Emenike ; Emenike, Kalu O.
In: MPRA Paper.
RePEc:pra:mprapa:91653.
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Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad. (2018). Sandoval Paucar, Giovanny.
In: MPRA Paper.
RePEc:pra:mprapa:90422.
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Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach. (2018). Dahlqvist, Carl-Henrik.
In: PLOS ONE.
RePEc:plo:pone00:0202251.
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Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan.
In: Open Economies Review.
RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.
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Measuring financial interdependence in asset returns with an application to euro zone equities. (2018). Martin, Vance ; Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee.
In: CAMA Working Papers.
RePEc:een:camaaa:2018-05.
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African stock markets in the midst of the global financial crisis: Recoupling or decoupling?. (2018). ALAGIDEDE, IMHOTEP ; Boako, Gideon.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:46:y:2018:i:c:p:166-180.
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Stock market information flow: Explanations from market status and information-related behavior. (2018). Liu, Xiaoxing ; Chen, Xiaohong ; Lu, Jingen.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:512:y:2018:i:c:p:837-848.
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Networks of volatility spillovers among stock markets. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan ; Koenda, Even.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:490:y:2018:i:c:p:1555-1574.
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“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:86:y:2018:i:c:p:1-30.
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Country transparency and the global transmission of financial shocks. (2018). Brandao Marques, Luis ; Gelos, R. Gaston ; Melgar, Natalia ; Brandao-Marques, Luis.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:96:y:2018:i:c:p:56-72.
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Whats the value of a TBTF guaranty? Evidence from the G-SII designation for insurance companies✰. (2018). Riddick, Leigh A ; Dewenter, Kathryn L.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:91:y:2018:i:c:p:70-85.
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The effect of supranational banking supervision on the financial sector: Event study evidence from Europe. (2018). Loipersberger, Florian.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:91:y:2018:i:c:p:34-48.
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Financial market spillovers during the quantitative easing programmes of the global financial crisis (2007–2009) and the European debt crisis. (2018). Larkin, Charles ; Corbet, Shaen ; Meegan, Andrew.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:56:y:2018:i:c:p:128-148.
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Identifying contagion: A unifying approach. (2018). Gebka, Bartosz ; Anderson, Robert ; Sewraj, Deeya.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:55:y:2018:i:c:p:224-240.
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Can economic policy uncertainty predict stock returns? Global evidence. (2018). Sharma, Susan ; Phan, Dinh ; Tran, Vuong Thao ; Bach, Dinh Hoang.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:55:y:2018:i:c:p:134-150.
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Spatial analysis of sovereign risks: The case of emerging markets. (2018). Önder, A. Özlem ; Huyugüzel Kışla, Gül ; Onder, Ozlem A ; Kila, Gul Huyuguzel.
In: Finance Research Letters.
RePEc:eee:finlet:v:26:y:2018:i:c:p:47-55.
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Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis. (2018). Uddin, Gazi ; Bekiros, Stelios ; Lutfur, MD ; Labidi, Chiaz ; Hedstrom, Axel.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:59:y:2018:i:c:p:179-211.
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Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets. (2018). Mishra, Anil ; Ahmad, Wasim ; Daly, Kevin.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:59:y:2018:i:c:p:117-133.
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Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market. (2018). Phuong, Thao Thi ; Hai, Ly Thi ; Tran, Hoa Xuan.
In: Emerging Markets Review.
RePEc:eee:ememar:v:37:y:2018:i:c:p:114-133.
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Does ethics improve stock market resilience in times of instability?. (2018). Hassan, M. Kabir ; Peillex, Jonathan ; Erragragui, Elias ; Faisal, Abu Nahian.
In: Economic Systems.
RePEc:eee:ecosys:v:42:y:2018:i:3:p:450-469.
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Volatility spillover shifts in global financial markets. (2018). BenSaïda, Ahmed ; Abdallah, Oussama ; Litimi, Houda ; Bensaida, Ahmed.
In: Economic Modelling.
RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.
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Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Pappas, Vasileios ; Alexakis, Christos.
In: Economic Modelling.
RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239.
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East meets West: When the Islamic and Gregorian calendars coincide. (2018). Tantisantiwong, Nongnuch ; Power, David ; Helliar, Christine ; Halari, Anwar.
In: The British Accounting Review.
RePEc:eee:bracre:v:50:y:2018:i:4:p:402-424.
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Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets. (2018). Shouyang, Wang ; Bhowmik, Roni ; Ghulam, Abbas.
In: Journal of Systems Science and Information.
RePEc:bpj:jossai:v:6:y:2018:i:2:p:97-119:n:1.
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Contagion in the CoCos market? A case study of two stress events. (2018). Segura, Anatoli ; miglietta, arianna ; Bologna, Pierluigi.
In: Temi di discussione (Economic working papers).
RePEc:bdi:wptemi:td_1201_18.
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The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Hillebrand, Eric ; Borghi, Riccardo ; Mikkelsen, Jakob.
In: CREATES Research Papers.
RePEc:aah:create:2018-38.
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Mixed-frequency macro-financial spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john.
In: Working Papers.
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Systemic risk and dynamics of contagion: a duplex inter-bank network. (2017). Yin, Libo ; Han, Liyan ; Ding, Ding.
In: Quantitative Finance.
RePEc:taf:quantf:v:17:y:2017:i:9:p:1435-1445.
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Portuguese and Brazilian stock market integration: a non-linear and detrended approach. (2017). Ferreira, Paulo.
In: Portuguese Economic Journal.
RePEc:spr:portec:v:16:y:2017:i:1:d:10.1007_s10258-017-0127-z.
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Risk Transmission and Contagion in the Equity Markets: International Evidence from the Global Financial Crisis. (2017). Hurata, Mehmet Yasin ; Gencer, Hatice Gaye.
In: Journal for Economic Forecasting.
RePEc:rjr:romjef:v::y:2017:i:3:p:110-129.
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WINTER SAECULUM. (2017). Antunovic, Tihomir ; Krivicic, Ivan ; Mihalina, Emil .
In: UTMS Journal of Economics.
RePEc:ris:utmsje:0197.
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Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data. (2017). Liu, BingYue ; Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal.
In: Working Papers.
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Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Azwadi.
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RePEc:pra:mprapa:78595.
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On the Global Financial Market Integration “Swoosh” and the Trilemma. (2017). Mehl, Arnaud ; Bekaert, Geert.
In: NBER Working Papers.
RePEc:nbr:nberwo:23124.
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Mixed-Frequency Macro-Financial Spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john.
In: Koç University-TUSIAD Economic Research Forum Working Papers.
RePEc:koc:wpaper:1704.
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International Tail Risk and World Fear. (2017). Prokopczuk, Marcel ; Benno, Duc Binh ; Simen, Chardin Wese.
In: Hannover Economic Papers (HEP).
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Sentiment in Central Banks Financial Stability Reports. (2017). Londono, Juan M. ; Correa, Ricardo ; Mislang, Nathan ; Garud, Keshav.
In: International Finance Discussion Papers.
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Joint tests of contagion with applications to financial crises. (2017). Martin, Vance ; Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee.
In: CAMA Working Papers.
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Discount rate or cash flow contagion? Evidence from the recent financial crises. (2017). Jiang, Junhua.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:39:y:2017:i:pa:p:315-326.
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Volatility Spillovers from Australias major trading partners across the GFC. (2017). Powell, Robert ; Allen, David ; Singh, Abhay K.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175.
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Bubbles in the Australian housing market. (2017). Heaney, Richard ; Baur, Dirk G.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:44:y:2017:i:c:p:113-126.
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Research in finance: A review of influential publications and a research agenda. (2017). Zhu, Yushu ; Ling, Xin ; Chen, Xiaoyan ; Smith, Tom ; Linnenluecke, Martina K.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:43:y:2017:i:c:p:188-199.
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The impact of media coverage on investor trading behavior and stock returns. (2017). Wu, Chen-Hui ; Lin, Chan-Jane.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:43:y:2017:i:c:p:151-172.
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Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model. (2017). GUPTA, RANGAN ; Cunado, Juncal ; Hassapis, Christis ; Christou, Christina.
In: Journal of Multinational Financial Management.
RePEc:eee:mulfin:v:40:y:2017:i:c:p:92-102.
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Dependence of stock markets with gold and bonds under bullish and bearish market states. (2017). Shahbaz, Muhammad ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Azwadi.
In: Resources Policy.
RePEc:eee:jrpoli:v:52:y:2017:i:c:p:308-319.
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Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. (2017). Beetsma, Roel ; Giuliodori, Massimo ; de Jong, Frank ; Widijanto, Daniel .
In: Journal of International Money and Finance.
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The synchronization of credit cycles. (2017). Metiu, Norbert ; Meller, Barbara.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:82:y:2017:i:c:p:98-111.
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Financial contagion risk and the stochastic discount factor. (2017). Piccotti, Louis R.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:77:y:2017:i:c:p:230-248.
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Identifying and measuring the contagion channels at work in the European financial crises. (2017). Pedio, Manuela ; Guidolin, Massimo.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:48:y:2017:i:c:p:117-134.
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Global portfolio investment network and stock market comovement. (2017). Chuluun, Tuugi.
In: Global Finance Journal.
RePEc:eee:glofin:v:33:y:2017:i:c:p:51-68.
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Examining the flight-to-safety with the implied volatilities. (2017). Sarwar, Ghulam.
In: Finance Research Letters.
RePEc:eee:finlet:v:20:y:2017:i:c:p:118-124.
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Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. (2017). Tziogkidis, Panagiotis ; Maghyereh, Aktham ; Awartani, Basel.
In: Energy Economics.
RePEc:eee:eneeco:v:68:y:2017:i:c:p:440-453.
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Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena.
In: Emerging Markets Review.
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How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets. (2017). Ballester, Laura ; Gonzalez-Urteaga, Ana.
In: Emerging Markets Review.
RePEc:eee:ememar:v:30:y:2017:i:c:p:200-214.
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Herd behavior of the overall market: Evidence based on the cross-sectional comovement of returns. (2017). Lee, Kyuseok.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:42:y:2017:i:c:p:266-284.
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Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk.
In: Economic Modelling.
RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.
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Networks of Volatility Spillovers among Stock Markets. (2017). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vyrost, Tomas ; Lyocsa, Stefan .
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Impact of the global financial crisis on Islamic and conventional stocks and bonds. (2017). Jahromi, Maria ; Smith, Tom ; Akhtar, Shumi.
In: Accounting and Finance.
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The Walking Debt Crisis. (2017). Wegener, Christoph ; Kruse, Robinson ; Basse, Tobias.
In: CREATES Research Papers.
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Asymmetric Dynamic Conditional Correlation Approach to Financial Contagion: A Study of Asian Markets. (2016). Kumar, Dilip.
In: Global Business Review.
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The Contagion Effects on Real Economy: Emerging Markets during the Recent Crises. (2016). demiralay, sercan ; Gencer, Hatice Gaye.
In: Journal for Economic Forecasting.
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Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies. (2016). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
In: ADBI Working Papers.
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Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting. (2016). Nguyen, Duc Khuong ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon.
In: MPRA Paper.
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Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedance. (2016). Lyócsa, Štefan ; Horvath, Roman ; Baumohl, Eduard.
In: Working Papers.
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Are Banking Shocks Contagious? Evidence from the Eurozone. (2016). Flavin, Thomas ; Lagoa-Varela, Dolores.
In: Economics Department Working Paper Series.
RePEc:may:mayecw:n268-16.pdf.
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Networks of volatility spillovers among stock markets. (2016). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard.
In: KIER Working Papers.
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Identifying and Measuring the Contagion Channels at Work in the European Financial Crises. (2016). Pedio, Manuela.
In: Working Papers.
RePEc:igi:igierp:586.
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Bad Bad Contagion. (2016). Londono, Juan M..
In: International Finance Discussion Papers.
RePEc:fip:fedgif:1178.
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Stock market recovery from the 2008 financial crisis: The differences across Europe. (2016). Kabaivanov, Stanimir ; Bogdanova, Boryana.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:37:y:2016:i:c:p:360-374.
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Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models. (2016). Han, Yingying ; Zhou, Xiang ; Gong, PU.
In: Physica A: Statistical Mechanics and its Applications.
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Capital and credit market integration and real economic contagion during the global financial crisis. (2016). Pyun, Ju Hyun ; Hyun, JU ; An, Jiyoun.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:67:y:2016:i:c:p:172-193.
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Output spillovers from changes in sovereign credit ratings. (2016). Chen, Hsien-Yi ; Yang, Shu-Ling ; Chang, Chong-Chuo.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:63:y:2016:i:c:p:48-63.
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Bank integration and co-movements across housing markets. (2016). Milcheva, Stanimira ; Zhu, Bing.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:72:y:2016:i:s:p:s148-s171.
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Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:72:y:2016:i:c:p:67-80.
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The MAX effect: An exploration of risk and mispricing explanations. (2016). Gray, Philip ; Zhong, Angel.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:65:y:2016:i:c:p:76-90.
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Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. (2016). Muradoglu, Yaz ; Mollah, Sabur ; Mobarek, Asma ; Jun, AI.
In: Journal of Financial Stability.
RePEc:eee:finsta:v:24:y:2016:i:c:p:1-11.
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Will the crisis “tear us apart”? Evidence from the EU. (2016). Ingham, Hilary ; Pappas, Vasileios ; Izzeldin, Marwan ; Steele, Gerry .
In: International Review of Financial Analysis.
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Stock market risk in the financial crisis. (2016). Grout, Paul ; Zalewska, Anna.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:46:y:2016:i:c:p:326-345.
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No contagion from Russia toward global equity markets after the 2014 international sanctions. (2016). Nivorozhkin, Eugene ; Castagneto-Gissey, G.
In: Economic Analysis and Policy.
RePEc:eee:ecanpo:v:52:y:2016:i:c:p:79-98.
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Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn.
In: Working Paper Series.
RePEc:ecb:ecbwps:20161954.
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Are foreigners the vectors of Contagion? A study of six emerging markets. (2016). Agudelo, Diego ; Munera, Daimer J.
In: Documentos de Trabajo de Valor Público.
RePEc:col:000122:016989.
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Dynamic Global Linkages of the BRICS Stock Markets with the United States and Europe Under External Crisis Shocks: Implications for Portfolio Risk Forecasting. (2016). Nguyen, Duc Khuong ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon.
In: The World Economy.
RePEc:bla:worlde:v:39:y:2016:i:11:p:1703-1727.
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Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis. (2015). Olbrys, Joanna ; Elbieta, Majewska.
In: Folia Oeconomica Stetinensia.
RePEc:vrs:foeste:v:15:y:2015:i:1:p:101-113:n:6.
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Essays in banking and international finance. (2015). Schafer, Larissa.
In: Other publications TiSEM.
RePEc:tiu:tiutis:54db9c22-05fa-4444-97d5-13d1e406580b.
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Importance of Foreign Ownership and Staggered Adjustment of Capital Outflows. (2015). Yılmaz, Erdal ; Ozmen, Utku ; Ozel, Ozgur.
In: Working Papers.
RePEc:tcb:wpaper:1531.
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â€œSpillovers From the United States to Latin American and G7 Stock Markets: a VAR Quantile Analysisâ€. (2015). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena.
In: IREA Working Papers.
RePEc:ira:wpaper:201525.
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Intra-daily volatility spillovers in international stock markets. (2015). Golosnoy, Vasyl ; Liesenfeld, Roman ; Gribisch, Bastian.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:53:y:2015:i:c:p:95-114.
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Forecasting volatility with empirical similarity and Google Trends. (2015). Heiden, Moritz ; Hamid, Alain .
In: Journal of Economic Behavior & Organization.
RePEc:eee:jeborg:v:117:y:2015:i:c:p:62-81.
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Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis. (2015). Do, Hung ; Brooks, Robert ; Treepongkaruna, Sirimon.
In: Global Finance Journal.
RePEc:eee:glofin:v:28:y:2015:i:c:p:24-37.
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On the stock market liquidity and the business cycle: A multi country approach. (2015). giouvris, evangelos ; Galariotis, Emilios.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:38:y:2015:i:c:p:44-69.
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Measuring stock market contagion: Local or common currency returns?. (2015). Mink, Mark.
In: Emerging Markets Review.
RePEc:eee:ememar:v:22:y:2015:i:c:p:18-24.
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A Wake-Up-Call Theory of Contagion. (2015). Bertsch, Christoph ; Ahnert, Toni.
In: Staff Working Papers.
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Modeling multivariate extreme events using self-exciting point processes. (2014). Korniichuk, Volodymyr ; Grothe, Oliver ; Manner, Hans.
In: Journal of Econometrics.
RePEc:eee:econom:v:182:y:2014:i:2:p:269-289.
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Macroeconomic Experiences and Risk Taking of Euro Area Households. (2014). Ehrmann, Michael ; Ampudia Fraile, Miguel.
In: Staff Working Papers.
RePEc:bca:bocawp:14-10.
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The Global Crisis and Equity Market Contagion. (2014). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
In: Discussion Papers of DIW Berlin.
RePEc:diw:diwwpp:dp1352.
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The Global Crisis and Equity Market Contagion. (2014). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1352. Full description at Econpapers || Download paper

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The Global Crisis and Equity Market Contagion. (2014). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
In: Discussion Papers of DIW Berlin.
RePEc:diw:diwwpp:dp1352.
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