Abbassi, W. ; Kumari, V. ; Pandey, D.K. What makes firms vulnerable to the Russia–Ukraine crisis?. 2022 J. Risk Financ.. -
Adekoya, O.B. ; Oliyide, J.A. How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-var and causality-in-quantiles techniques. 2021 Resour. Policy. 70 -
Adekoya, O.B. ; Oliyide, J.A. ; Yaya, O.S. ; Al-Faryan, M.A.S. Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga. 2022 Resour. Policy. 77 -
- Ahmed, S. ; Hasan, M.M. ; Kamal, M.R. Russia–Ukraine crisis: The effects on the European stock market. 2022 Eur. Financial Manag.. -
Paper not yet in RePEc: Add citation now
- Akhtaruzzaman, M. ; Boubaker, S. ; Sensoy, A. Financial contagion during COVID–19 crisis. 2021 Finance Res. Lett.. 38 -
Paper not yet in RePEc: Add citation now
- Akhtaruzzaman, M. ; Boubaker, S. ; Sensoy, A. Financial contagion during COVID–19 crisis. 2021 Finance Res. Lett.. 38 -
Paper not yet in RePEc: Add citation now
Alam, M.K. ; Tabash, M.I. ; Billah, M. ; Kumar, S. ; Anagreh, S. The impacts of the Russia–Ukraine invasion on global markets and commodities: a dynamic connectedness among G7 and BRIC markets. 2022 J. Risk Financ. Manag.. 15 352-
Alter, A. ; Beyer, A. The dynamics of spillover effects during the European sovereign debt turmoil. 2014 J. Bank. Financ.. 42 134-153
- An, S. ; Gao, X. ; An, H. ; An, F. ; Sun, Q. ; Liu, S. Windowed volatility spillover effects among crude oil prices. 2020 Energy. 200 -
Paper not yet in RePEc: Add citation now
Antonakakis, N. ; Chatziantoniou, I. ; Gabauer, D. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. 2020 JRFM. 13 1-23
Antonakakis, N. ; Gabauer, D. ; Gupta, R. ; Plakandaras, V. Dynamic connectedness of uncertainty across developed economies: A time-varying approach. 2018 Econom. Lett.. 166 63-75
Arif, M. ; Hasan, M. ; Alawi, S.M. ; Naeem, M.A. COVID-19 and time-frequency connectedness between green and conventional financial markets. 2021 Glob. Finance J.. 49 -
- Arı, Y. USD/TRY and foreign banks in Turkey: Evidence by TVP-VAR. 2022 Appl. Econom.. 67 5-26
Paper not yet in RePEc: Add citation now
Balash, V. ; Faizliev, A. ; Sidorov, S. ; Chistopolskaya, E. Conditional time-varying general dynamic factor models and its application to the measurement of volatility spillovers across Russian assets. 2021 Mathematics. 9 2484-
Balsalobre-Lorente, D. ; Sinha, A. ; Murshed, M. Russia-Ukraine conflict sentiments and energy market returns in G7 countries: Discovering the unexplored dynamics. 2023 Energy Econ.. 125 -
- Barunik, J. ; Krehlík, T. Measuring the frequency dynamics of financial connectedness and systemic risk. 2018 J. Financ. Econom.. 16 271-296
Paper not yet in RePEc: Add citation now
- Blázquez-García, A. ; Conde, A. ; Mori, U. ; Lozano, J.A. A review on outlier/anomaly detection in time series data. 2021 ACM Comput. Surv.. 54 1-33
Paper not yet in RePEc: Add citation now
Boubaker, S. ; Goodell, J.W. ; Pandey, D.K. ; Kumari, V. Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine. 2022 Finance Res. Lett.. 48 -
Boungou, W. ; Yatié, A. The impact of the Ukraine–Russia war on world stock market returns. 2022 Econom. Lett.. 215 -
Chen, Y. ; Li, W. ; Qu, F. Dynamic asymmetric spillovers and volatility interdependence on China’s stock market. 2019 Physica A. 523 825-838
- Cogley, T. ; Sargent, T.J. Drifts and volatilities: monetary policies and outcomes in the post WWII US. 2005 Rev. Econ. Dyn.. 8 262-302
Paper not yet in RePEc: Add citation now
Corbet, S. ; Goodell, J.W. ; Günay, S. Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. 2020 Energy Econ.. 92 -
Degiannakis, S. ; Filis, G. ; Arora, V. Oil prices and stock markets: A review of the theory and empirical evidence. 2018 Energy J.. 39 -
Del Negro, M. ; Primiceri, G.E. Time varying structural vector autoregressions and monetary policy: A corrigendum. 2015 Rev. Econom. Stud.. 82 1342-1345
Demirer, R. ; Ferrer, R. ; Shahzad, S.J.H. Oil price shocks, global financial markets and their connectedness. 2020 Energy Econ.. 88 -
Diebold, F.X. ; Yilmaz, K. Better to give than to receive: Predictive directional measurement of volatility spillovers. 2012 Int. J. Forecast.. 28 57-66
Diebold, F.X. ; Yilmaz, K. On the network topology of variance decompositions: Measuring the connectedness of financial firms. 2014 J. Econometrics. 182 119-134
Fernandez-Rodriguez, F. ; Gomez-Puig, M. ; Sosvilla-Rivero, S. Volatility spillovers in EMU sovereign bond markets. 2015 Int. Rev. Econ. Finance. 39 337-352
- Filzmoser, P. ; Garrett, R.G. ; Reimann, C. Multivariate outlier detection in exploration geochemistry. 2005 Comput. Geosci.. 31 579-587
Paper not yet in RePEc: Add citation now
Fokin, N. The importance of modeling structural breaks in forecasting Russian GDP. 2021 Appl. Econom.. 63 5-29
Gabauer, D. ; Gupta, R. On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. 2018 Econom. Lett.. 171 63-71
Geng, J.-B. ; Du, Y.-J. ; Ji, Q. ; Zhang, D. Modeling return and volatility spillover networks of global new energy companies. 2021 Renew. Sustain. Energy Rev.. 135 -
- Ha, L.T. Dynamic interlinkages between the crude oil and gold and stock during Russia-Ukraine war: evidence from an extended TVP-VAR analysis. 2023 Environ. Sci. Pollut. Res.. 30 23110-23123
Paper not yet in RePEc: Add citation now
Jiang, Y. ; Fu, Y. ; Ruan, W. Risk spillovers and portfolio management between precious metal and BRICS stock markets. 2019 Physica A. 534 -
Karali, B. ; Ramirez, O.A. Macro determinants of volatility and volatility spillover in energy markets. 2014 Energy Econ.. 46 413-421
- Kırca, M. ; Karagöl, V. Symmetric and asymmetric causality between current account balance and oil prices: The case of BRICS-T. 2019 Appl. Econom.. 56 25-44
Paper not yet in RePEc: Add citation now
Koop, G. ; Korobilis, D. A new index of financial conditions. 2014 Eur. Econ. Rev.. 71 101-116
Koop, G. ; Korobilis, D. Large time-varying parameter VARs. 2013 J. Econometrics. 177 185-198
Koop, G. ; Pesaran, M. ; Potter, S.M. Impulse response analysis in nonlinear multivariate models. 1996 J. Econometrics. 74 119-147
- Le, T.H. Quantile time-frequency connectedness between cryptocurrency volatility and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts. 2023 Renew. Energy. 202 613-625
Paper not yet in RePEc: Add citation now
Liow, K.H. Volatility spillover dynamics and relationship across G7 financial markets. 2015 North Am. J. Econ. Finance. 33 328-365
Lorente, D.B. ; Mohammed, K.S. ; Cifuentes-Faura, J. ; Shahzad, U. Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective. 2023 Renew. Energy. 204 94-105
McIver, R.P. ; Kang, S.H. Financial crises and the dynamics of the spillovers between the U.S. and BRICS stock markets. 2020 Res. Int. Bus. Finance. 54 -
Ng, A. Volatility spillover effects from Japan and the US to the Pacific–basin. 2000 J. Int. Money Finance. 19 207-233
Pesaran, H. ; Shin, Y. Generalized impulse response analysis in linear multivariate models. 1998 Econom. Lett.. 58 17-29
Primiceri, G.E. Time varying structural vector autoregressions and monetary policy. 2005 Rev. Econom. Stud.. 72 821-852
Roy, R.P. ; Sinha Roy, S. Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. 2017 Econ. Model.. 67 368-380
Salisu, A.A. ; Ebuh, G.U. ; Usman, N. Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results. 2020 Int. Rev. Econ. Finance. 69 280-294
- Shahbaz, M. ; Balsalobre Lorente, D. ; Sharma, R. Economic Growth and Environmental Quality in a Post-Pandemic World: New Directions in the Econometrics of the Environmental Kuznets Curve. 2023 Routledge:
Paper not yet in RePEc: Add citation now
Shehzad, K. ; Xiaoxing, L. ; Kazouz, H. ; Balsalobre-Lorente, D. ; Zeraibi, A. ; Rauf, A. An asymmetric spillover between China and Pakistan’ stock markets: a comparative analysis before and during COVID-19 crisis. 2022 J. Sustain. Finance Invest.. 12 1265-1284
Si, D.-K. ; Li, X.-L. ; Xu, X. ; Fang, Y. The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China. 2021 Energy Econ.. 102 -
Singh, A. COVID-19 and safer investment bets. 2020 Finance Res. Lett.. 36 -
Skrobotov, A. Structural breaks in cointegration models: Multivariate case. 2021 Appl. Econom.. 64 83-106
- Skrobotov, A. Structural breaks in cointegration models. 2021 Appl. Econom.. 63 117-141
Paper not yet in RePEc: Add citation now
Tosun, O.K. ; Eshraghi, A. Corporate decisions in times of war: Evidence from the Russia-Ukraine conflict. 2022 Finance Res. Lett.. 48 -
- Tsay, R.S. ; Pena, D. ; Pankratz, A.E. Outliers in multivariate time series. 2000 Biometrika. 87 789-804
Paper not yet in RePEc: Add citation now
- Umar, Z. ; Polat, O. ; Choi, S.-Y. ; Teplova, T. The impact of the Russia-Ukraine conflict on the connectedness of financial markets. 2022 Finance Res. Lett.. 48 -
Paper not yet in RePEc: Add citation now
Wu, F. ; Guan, Z. ; Myers, R.J. Volatility spillover effects and cross hedging in corn and crude oil futures. 2011 J. Futures Mark.. 31 1052-1075
Xing, X. ; Xu, Z. ; Chen, Y. ; Ouyang, W. ; Deng, J. ; Pan, H. The impact of the Russia–Ukraine conflict on the energy subsector stocks in China: A network-based approach. 2023 Finance Res. Lett.. 53 -
Yang, Y. ; Zhao, L. ; Zhu, Y. ; Chen, L. ; Wang, G. ; Wang, C. Spillovers from the Russia-Ukraine conflict. 2023 Res. Int. Bus. Finance. -
Yilmaz, K. Return and volatility spillovers among the east Asian equity markets. 2010 J. Asian Econ.. 21 304-313
Yip, P.S. ; Brooks, R. ; Do, H.X. ; Nguyen, D.K. Dynamic volatility spillover effects between oil and agricultural products. 2020 Int. Rev. Financ. Anal.. 69 -
Zhang, D. Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. 2017 Energy Econ.. 62 323-333
Zhang, H. ; Chen, J. ; Shao, L. Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19. 2021 Int. Rev. Financ. Anal.. 77 -
Zhou, X. ; Zhang, W. ; Zhang, J. Volatility spillovers between the Chinese and world equity markets. 2012 Pac.-Basin Finance J.. 20 247-270