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Citations for "Volatility Dependence and Contagion in Emerging Equity Markets"

by Sebastian Edwards & Raul Susmel

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  1. Khaled GUESMI & Salma FATTOUM, 2014. "The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach," Economics Bulletin, AccessEcon, vol. 34(1), pages 510-519.
  2. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
  3. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(3), pages 397-412, July.
  4. Wajih Khallouli & Modibo René Sandretto, 2010. "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Working Papers, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure 1022, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  5. Khaled Guesmi & Salma Fattoum, 2014. "Return and volatility transmission between oil prices and oil-exporting and oil-importing countries," Working Papers, Department of Research, Ipag Business School 2014-443, Department of Research, Ipag Business School.
  6. E. Otranto, 2012. "Spillover Effects in the Volatility of Financial Markets," Working Paper CRENoS 201217, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  7. Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002, Society for Computational Economics 58, Society for Computational Economics.
  8. Harry Kelejian & George Tavlas & George Hondroyiannis, 2006. "A Spatial Modelling Approach to Contagion Among Emerging Economies," Open Economies Review, Springer, Springer, vol. 17(4), pages 423-441, December.
  9. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, Elsevier, vol. 16(2), pages 272-286.
  10. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers, University of Crete, Department of Economics 0502, University of Crete, Department of Economics.
  11. Georgios Kouretas & Manolis Syllignakis, 2012. "Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries," Central European Journal of Economic Modelling and Econometrics, CEJEME, CEJEME, vol. 4(2), pages 65-93, June.
  12. Baek, In-Mee & Jun, Jongbyung, 2011. "Testing contagion of the 1997-98 crisis in Asian stock markets with structural breaks and incubation periods," Journal of Asian Economics, Elsevier, Elsevier, vol. 22(5), pages 356-368, October.
  13. Marais, Elise & Bates, Samuel, 2006. "An empirical study to identify shift contagion during the Asian crisis," Economics Papers from University Paris Dauphine 123456789/272, Paris Dauphine University.
  14. Khaled Guesmi, 2011. "What Drives the Regional Integration of Emerging Stock Markets?," Economics Bulletin, AccessEcon, vol. 31(3), pages 2603-2619.
  15. Colavecchio , Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 17/2007, Bank of Finland, Institute for Economies in Transition.
  16. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
  17. Giampiero M. Gallo & Margherita Velucchi, 2009. "Market interdependence and financial volatility transmission in East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(1), pages 24-44.
  18. Schmitt, Noemi & Westerhoff, Frank, 2013. "Speculative behavior and the dynamics of interacting stock markets," BERG Working Paper Series 90, Bamberg University, Bamberg Economic Research Group.
  19. repec:wyi:journl:002202 is not listed on IDEAS
  20. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 643-662.
  21. Aymen Ben Rejeb, 2013. "Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 33(1), pages 56-71.
  22. Lee, Hyun-Hoon & Park, Cyn-Young & Byun, Hyung-suk, 2013. "Do contagion effects exist in capital flow volatility?," Journal of the Japanese and International Economies, Elsevier, vol. 30(C), pages 76-95.
  23. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 46, Money Macro and Finance Research Group.
  24. Dobromil Serwa, 2008. "Banking crises and nonlinear linkages between credit and output," Working Papers, Department of Applied Econometrics, Warsaw School of Economics 30, Department of Applied Econometrics, Warsaw School of Economics.
  25. Juncal Cuñado & Javier Gómez Biscarri & Fernando Perez de Gracia, 2006. "Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 01/06, School of Economics and Business Administration, University of Navarra.
  26. Fujii, Eiji, 2005. "Intra and inter-regional causal linkages of emerging stock markets: evidence from Asia and Latin America in and out of crises," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 15(4), pages 315-342, October.
  27. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers, ULB -- Universite Libre de Bruxelles 06-07.RS, ULB -- Universite Libre de Bruxelles.
  28. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(8), pages 2347-2369, August.
  29. Hui, Eddie C.M. & Chen, Jia, 2012. "Investigating the change of causality in emerging property markets during the financial tsunami," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 391(15), pages 3951-3962.
  30. Vít Bubák & Evžen Kocenda & Filip Zikes, 2010. "Volatility Transmission in Emerging European Foreign Exchange Markets," CESifo Working Paper Series 3063, CESifo Group Munich.
  31. Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(4), pages 706-742, September.
  32. Yilmaz, Kamil, 2010. "Return and volatility spillovers among the East Asian equity markets," Journal of Asian Economics, Elsevier, Elsevier, vol. 21(3), pages 304-313, June.
  33. Kuang-Liang Chang & Chi-Wei He, 2010. "Does The Magnitude Of The Effect Of Inflation Uncertainty On Output Growth Depend On The Level Of Inflation?," Manchester School, University of Manchester, vol. 78(2), pages 126-148, 03.
  34. George Hondroyiannis & Harry Kelejian & George Tavlas, 2009. "Spatial Aspects of Contagion among Emerging Economies," Spatial Economic Analysis, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(2), pages 191-211.
  35. Graciela L. Kaminsky & Carmen M. Reinhart, 2001. "Financial Markets in Times of Stress," NBER Working Papers 8569, National Bureau of Economic Research, Inc.
  36. Kuan-Min Wang & Hung-Cheng Lai, 2013. "Which Global Stock Indices Trigger Stronger Contagion Risk in the Vietnamese Stock Market? Evidence Using a Bivariate Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(4), pages 473-497, June.
  37. Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(4), pages 1141-1153.
  38. Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics, EconWPA 0307002, EconWPA, revised 18 Jul 2003.
  39. Bacchetta, Philippe & van Wincoop, Eric, 2012. "Sudden Spikes in Global Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8853, C.E.P.R. Discussion Papers.
  40. repec:dgr:uvatin:2004057 is not listed on IDEAS
  41. Chee Wooi Hooy, 2008. "Does trade regionalism increase stock market segmentation within a trading bloc?," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 22(1), pages 113-126.
  42. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2003. "Stress Testing with Student's t Dependence," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2003-056-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  43. Anna Creti & Khaled Guesmi & Ilyes Abid, 2014. "Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate Analysis," Working Papers, Department of Research, Ipag Business School 2014-065, Department of Research, Ipag Business School.
  44. R. Gargano & E. Otranto, 2013. "Financial Clustering in Presence of Dominant Markets," Working Paper CRENoS 201318, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  45. Chiang, Min-Hsien & Wang, Li-Min, 2011. "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, Elsevier, vol. 165(2), pages 175-189.
  46. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
  47. Francis X. Diebold / Kamil Yilmaz, 2009. "Equity Market Spillovers in the Americas," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 55-65, August.
  48. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk under currency boards," Journal of Development Economics, Elsevier, Elsevier, vol. 69(2), pages 367-391, December.
  49. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.
  50. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 222-223, February.
  51. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, Elsevier, vol. 13(2), pages 230-252.
  52. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  53. Laurence Fung & Ip-wing Yu, 2009. "A Study on the Transmission of Money Market Tensions in EMEAP Economies During the Credit Crisis of 2007 - 2008," Working Papers 0909, Hong Kong Monetary Authority.
  54. Kanas, Angelos, 2005. "Regime linkages between the Mexican currency market and emerging equity markets," Economic Modelling, Elsevier, Elsevier, vol. 22(1), pages 109-125, January.
  55. Cunado, Juncal & Gomez Biscarri, Javier & Perez de Gracia, Fernando, 2006. "Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization," Emerging Markets Review, Elsevier, Elsevier, vol. 7(3), pages 261-278, September.
  56. Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers, Centro de Investigacion Economica, ITAM 0904, Centro de Investigacion Economica, ITAM.
  57. Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  58. Diamandis, Panayiotis F., 2008. "Financial liberalization and changes in the dynamic behaviour of emerging market volatility: Evidence from four Latin American equity markets," Research in International Business and Finance, Elsevier, Elsevier, vol. 22(3), pages 362-377, September.
  59. Laborde, David & Rey, Serge, 2001. "Transmission internationale de la volatilité des prix d’actifs financiers : les relations entre les marchés français et américains de 1997 à 2000
    [Volatility and cross correlation across ass
    ," MPRA Paper 30284, University Library of Munich, Germany.
  60. MARAIS Elise, 2004. "La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique," International Finance, EconWPA 0404003, EconWPA.
  61. Kim Liow & Zhiwei Chen & Jingran Liu, 2011. "Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 42(3), pages 295-328, April.
  62. Hsing, Y., 2004. "Responses of Argentine Output to Shocks to Monetary Policy, Fiscal Policy and Exchange Rates: A VAR Model," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 4(1).
  63. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, Elsevier, vol. 21(2), pages 203-221, June.
  64. Sandra Lizarazo, 2009. "Default Risk and Risk Averse International Investors," Working Papers, Centro de Investigacion Economica, ITAM 0907, Centro de Investigacion Economica, ITAM.
  65. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics, EconWPA 0307004, EconWPA, revised 18 Jul 2003.
  66. Andres KUUSK & Tiiu Paas & Andres KUUSK, 2011. "Financial contagion of the 2008 crisis: is there any evidence of financial contagion from the US to the Baltic states," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, Centre for European Studies, Alexandru Ioan Cuza University, vol. 2, pages 61-76, December.
  67. Colavecchio, Roberta & Funke, Michael, 2009. "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets," Journal of Asian Economics, Elsevier, Elsevier, vol. 20(2), pages 174-196, March.
  68. Qiao, Zhuo & Smyth, Russell & Wong, Wing-Keung, 2008. "Volatility switching and regime interdependence between information technology stocks 1995-2005," Global Finance Journal, Elsevier, vol. 19(2), pages 139-156.
  69. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany.
  70. Bhar, Ramaprasad & Hamori, Shigeyuki, 2005. "Causality in variance and the type of traders in crude oil futures," Energy Economics, Elsevier, Elsevier, vol. 27(3), pages 527-539, May.
  71. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 775, Board of Governors of the Federal Reserve System (U.S.).
  72. El GHINI, Ahmed & SAIDI, Youssef, 2013. "Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market," MPRA Paper 53392, University Library of Munich, Germany.
  73. A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  74. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics, EconWPA 0307003, EconWPA, revised 18 Jul 2003.
  75. Khaled Guesmi & Salma Fattoum, 2014. "Measuring contagion effects between crude oil and OECD stock markets," Working Papers, Department of Research, Ipag Business School 2014-090, Department of Research, Ipag Business School.