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Citations for "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets"

by Francis X. Diebold & Kamil Yilmaz

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  1. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Dynamic spillovers of oil price shocks and economic policy uncertainty," Energy Economics, Elsevier, vol. 44(C), pages 433-447.
  2. Apostolakis, George & Papadopoulos, Athanasios P., 2014. "Financial stress spillovers in advanced economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 128-149.
  3. Franck Martin & Jiangxingyun Zhang, 2014. "Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ?," Economics Bulletin, AccessEcon, vol. 34(2), pages 1327-1349.
  4. Kamil Yilmaz, 2009. "Business Cycle Spillovers," 2009 Meeting Papers 1079, Society for Economic Dynamics.
  5. Albaity, Mohamed Shikh, 2011. "Impact of the monetary policy instruments on Islamic stock market index return," Economics Discussion Papers 2011-26, Kiel Institute for the World Economy.
  6. Thomas Dimpfl & Robert Jung, 2011. "Financial market spillovers around the globe," Global Financial Markets Working Paper Series 20-2011, Friedrich-Schiller-University Jena.
  7. Sugimoto, Kimiko & Matsuki, Takashi & Yoshida, Yushi, 2014. "The global financial crisis: An analysis of the spillover effects on African stock markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 201-233.
  8. Anderson, Randy I. & Chen, Yi-Chi & Wang, Li-Min, 2015. "A range-based volatility approach to measuring volatility contagion in securitized real estate markets," Economic Modelling, Elsevier, vol. 45(C), pages 223-235.
  9. Chiang, Min-Hsien & Wang, Li-Min, 2011. "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, vol. 165(2), pages 175-189.
  10. Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo Group Munich.
  11. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility across Financial Crises," CEPN Working Papers hal-00845254, HAL.
  12. Antonio Cabrales & Piero Gottardi & Fernando Vega-Redondo, 2014. "Risk-Sharing and Contagion in Networks," CESifo Working Paper Series 4715, CESifo Group Munich.
  13. Lee, Hyun-Hoon & Park, Cyn-Young & Byun, Hyung-suk, 2012. "Do Contagion Effects Exist in Capital Flow Volatility?," ADB Economics Working Paper Series 302, Asian Development Bank.
  14. Britta Niehof, 2014. "Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model," MAGKS Papers on Economics 201458, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  15. Antonakakis, Nikolaos, 2012. "Exchange return co-movements and volatility spillovers before and after the introduction of Euro," MPRA Paper 37869, University Library of Munich, Germany.
  16. Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos, 2014. "Dynamic Spillover Effects in Futures Markets," MPRA Paper 53876, University Library of Munich, Germany.
  17. Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
  18. Anna Creti & Khaled Guesmi & Ilyes Abid, 2014. "Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate Analysis," Working Papers 2014-065, Department of Research, Ipag Business School.
  19. Montagnoli, Alberto & Nagayasu, Jun, 2013. "UK House Prices: Convergence Clubs and Spillovers," SIRE Discussion Papers 2013-101, Scottish Institute for Research in Economics (SIRE).
  20. Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015. "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers 20963, National Bureau of Economic Research, Inc.
  21. Marcel Aloy & Gilles de Truchis & Gilles Dufrenot & Benjamin Keddad, 2014. "Shift-volatility transmission in East Asian Equity Markets," Working Papers 2014-500, Department of Research, Ipag Business School.
  22. Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George, 2012. "Volatility spillovers and the effect of news announcements," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2260-2273.
  23. Morales, Lucía & Andreosso-O’Callaghan, Bernadette, 2012. "The current global financial crisis: Do Asian stock markets show contagion or interdependence effects?," Journal of Asian Economics, Elsevier, vol. 23(6), pages 616-626.
  24. Fernando Duarte & Thomas Eisenbach, 2013. "Fire-sale spillovers and systemic risk," Staff Reports 645, Federal Reserve Bank of New York.
  25. Timothy Krause & Sina Ehsani & Donald Lien, 2014. "Exchange-traded funds, liquidity and volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 24(24), pages 1617-1630, December.
  26. Ippei Fujiwara & Koji Takahashi, 2011. "Asian financial linkage: macro-finance dissonance," Globalization and Monetary Policy Institute Working Paper 92, Federal Reserve Bank of Dallas.
  27. Francis X. Diebold & Kamil Yılmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," PIER Working Paper Archive 11-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  28. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo Group Munich.
  29. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
  30. Lee, Hsiu-Chuan & Chang, Shu-Lien, 2013. "Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 197-216.
  31. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Working Papers in Economics 14/27, University of Canterbury, Department of Economics and Finance.
  32. Nicolas Arregui & Mohamed Norat & Antonio Pancorbo & Jodi G. Scarlata & Eija Holttinen & Fabiana Melo & Jay Surti & Christopher Wilson & Rodolfo Wehrhahn & Mamoru Yanase, 2013. "Addressing Interconnectedness; Concepts and Prudential Tools," IMF Working Papers 13/199, International Monetary Fund.
  33. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3011-3026, February.
  34. Ben Rejeb, Aymen & Boughrara, Adel, 2014. "Financial integration in emerging market economies: effects on volatility transmission and contagion," MPRA Paper 61519, University Library of Munich, Germany.
  35. Bacchetta, Philippe & van Wincoop, Eric, 2013. "Sudden spikes in global risk," Journal of International Economics, Elsevier, vol. 89(2), pages 511-521.
  36. Tsai, I-C., 2014. "Spillover of fear: Evidence from the stock markets of five developed countries," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 281-288.
  37. Alter, Adrian & Beyer, Andreas, 2014. "The dynamics of spillover effects during the European sovereign debt turmoil," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
  38. Murat Taşdemir & Abdullah Yalama, 2014. "Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(2), pages 190-202, March.
  39. Nikolaos Antonakakis & Harald Badinger, 2012. "Output Volatility, Economic Growth, and Cross-Country Spillovers: New Evidence for the G7 Countries," FIW Working Paper series 098, FIW.
  40. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
  41. McMillan, David G. & Speight, Alan E.H., 2010. "Return and volatility spillovers in three euro exchange rates," Journal of Economics and Business, Elsevier, vol. 62(2), pages 79-93, March.
  42. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "Intra-daily volatility spillovers between the US and German stock markets," Economics Working Papers 2012-06, Christian-Albrechts-University of Kiel, Department of Economics.
  43. Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013. "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, vol. 45(8), pages 953-962, March.
  44. Jaeck, Edouard & Lautier, Delphine, 2014. "Samuelson hypothesis and electricity derivative markets," Economics Papers from University Paris Dauphine 123456789/13630, Paris Dauphine University.
  45. Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
  46. 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.
  47. repec:wyi:journl:002202 is not listed on IDEAS
  48. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 956-977, 09.
  49. Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol, 2014. "Asymmetric adjustment toward optimal capital structure: Evidence from a crisis," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 226-242.
  50. Mina Dragouni & George Filis & Nikolaos Antonakakis, 2013. "Time-Varying Interdependencies of Tourism and Economic Growth: Evidence from European Countries," FIW Working Paper series 128, FIW.
  51. Duncan, Andrew S. & Kabundi, Alain, 2013. "Domestic and foreign sources of volatility spillover to South African asset classes," Economic Modelling, Elsevier, vol. 31(C), pages 566-573.
  52. Evzen Kocenda & Vit Bubak & Filip Zikes, 2011. "Volatility Transmission in Emerging European Foreign Exchange Markets," William Davidson Institute Working Papers Series wp1020, William Davidson Institute at the University of Michigan.
  53. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence," MPRA Paper 59760, University Library of Munich, Germany.
  54. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model," Working Paper Series 1285, European Central Bank.
  55. Alter, Adrian & Beyer, Andreas, 2013. "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series 1558, European Central Bank.
  56. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, School of Economics and Management, University of Aarhus.
  57. Andrew Swiston & Tamim Bayoumi, 2007. "The Ties That Bind; Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields," IMF Working Papers 07/128, International Monetary Fund.
  58. Manish Kumar, 2011. "Return and volatility spillovers: evidence from Indian exchange rates," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 3(4), pages 371-387.
  59. Bernard Ben Sita, 2013. "Volatility links between US industries," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1273-1286, August.
  60. Harald Schmidbauer & Angi Roesch & Erhan Uluceviz, 2013. "Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy," Koç University-TUSIAD Economic Research Forum Working Papers 1320, Koc University-TUSIAD Economic Research Forum.
  61. 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, vol. 26(C), pages 643-662.
  62. Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 151-165.
  63. Manabu Asai, 2013. "Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(5), pages 469-480, 08.
  64. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
  65. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
  66. Mauricio Calani C., 2012. "Spillovers of the Credit Default Swap Market," Working Papers Central Bank of Chile 678, Central Bank of Chile.
  67. Xindan Li & Bing Zhang, 2013. "Spillover and Cojumps Between the U.S. and Chinese Stock Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 49(S2), pages 23-42, March.
  68. Bonga-Bonga, Lumengo, 2014. "Assessing the readiness of BRICS grouping for mutually beneficial financial integration," MPRA Paper 60701, University Library of Munich, Germany.
  69. Frigyes F Heinz & Yan Sun, 2014. "Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers," IMF Working Papers 14/17, International Monetary Fund.
  70. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, 01.
  71. Nicolas R. Blancher & Srobona Mitra & Hanan Morsy & Akira Otani & Tiago Severo & Laura Valderrama, 2013. "Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide," IMF Working Papers 13/168, International Monetary Fund.
  72. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility Across Financial Crises," Working Papers 2010-08, CEPII research center.
  73. Pami Dua & Vineeta Sharma, 2013. "Measurement And Patterns Of International Synchronization-- A Spectral Approach," Working papers 224, Centre for Development Economics, Delhi School of Economics.
  74. Cronin, David, 2014. "The interaction between money and asset markets: A spillover index approach," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 185-202.
  75. Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2014. "Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty," Department of Economics Working Papers wuwp166, Vienna University of Economics and Business, Department of Economics.
  76. Ivailo Arsov & Elie Canetti & Laura E. Kodres & Srobona Mitra, 2013. "Near-Coincident Indicators of Systemic Stress," IMF Working Papers 13/115, International Monetary Fund.
  77. Narayan, Paresh Kumar, 2015. "An analysis of sectoral equity and CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 80-93.
  78. Masafumi Yabara, 2014. "Assessing exchange rate dynamics of East Africa: fragmented or integrated?," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(1), pages 154-174, March.
  79. Stolbov, Mikhail, 2012. "International credit cycles: a regional perspective," MPRA Paper 37773, University Library of Munich, Germany.
  80. Harald Schmidbauer & Angi Rösch & Erhan Uluceviz, 2012. "Connectedness Cycles in Equity Markets: A Wavelet Approach," EcoMod2012 4502, EcoMod.
  81. Peter Claeys & Borek Vasicek, 2012. "Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News," Working Papers 2012/07, Czech National Bank, Research Department.
  82. Galin Todorov & Prasad Bidarkota, 2014. "Time-varying financial spillovers from the US to frontier markets," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(2), pages 246-283, September.
  83. Chudik, Alexander & Fratzscher, Marcel, 2012. "Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis," Working Paper Series 1416, European Central Bank.
  84. Bayraci, Selcuk & Demiralay, Sercan, 2013. "Conditional Autoregregressive Range (CARR) Based Volatility Spillover Index For the Eurozone Markets," MPRA Paper 51909, University Library of Munich, Germany.
  85. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, 06.
  86. Peter Claeys & Borek Vašícek, 2013. "“How systemic is Spain for Europe?”," AQR Working Papers 201301, University of Barcelona, Regional Quantitative Analysis Group, revised Feb 2013.
  87. Chen Zhou, 2010. "Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions," International Journal of Central Banking, International Journal of Central Banking, vol. 6(34), pages 205-250, December.
  88. Conefrey, Thomas & Cronin, David, 2013. "Spillover in Euro Area Sovereign Bond Markets," Research Technical Papers 05/RT/13, Central Bank of Ireland.
  89. Karapanagiotidis, Paul, 2012. "Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility," MPRA Paper 38885, University Library of Munich, Germany.
  90. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  91. Antonakakis, Nikolaos & Dragouni, Mina & Filis, George, 2015. "How strong is the linkage between tourism and economic growth in Europe?," Economic Modelling, Elsevier, vol. 44(C), pages 142-155.
  92. Grobys, Klaus, 2015. "Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy," Economics Letters, Elsevier, vol. 127(C), pages 72-75.
  93. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  94. Paolo Giordani & Xiuyan Mun & Robert Kohn, 2012. "Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(1), pages 154-192, December.
  95. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
  96. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2014. "The impact of oil price shocks on U.S. bond market returns," Energy Economics, Elsevier, vol. 44(C), pages 248-258.
  97. Baur, Dirk G. & Fry, Renée A., 2009. "Multivariate contagion and interdependence," Journal of Asian Economics, Elsevier, vol. 20(4), pages 353-366, September.
  98. King, Daniel & Botha, Ferdi, 2015. "Modelling stock return volatility dynamics in selected African markets," Economic Modelling, Elsevier, vol. 45(C), pages 50-73.
  99. Nikolaos Antonakakis & Max Breitenlechner & Johann Scharler, 2014. "How Strongly are Business Cycles and Financial Cycles Linked in the G7 Countries?," Working Papers 2014-07, Faculty of Economics and Statistics, University of Innsbruck.
  100. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2012. "International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach," Melbourne Institute Working Paper Series wp2012n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  101. Kim Hiang Liow & Graeme Newell, 2012. "Investment Dynamics of the Greater China Securitized Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 34(3), pages 399-428.
  102. Claeys, Peter & Moreno, Rosina & Suriñach, Jordi, 2012. "Debt, interest rates, and integration of financial markets," Economic Modelling, Elsevier, vol. 29(1), pages 48-59.
  103. Reboredo, Juan C., 2014. "Volatility spillovers between the oil market and the European Union carbon emission market," Economic Modelling, Elsevier, vol. 36(C), pages 229-234.
  104. Thomas Dimpfl & Robert C. Jung, 2012. "Financial market spillovers around the globe," Applied Financial Economics, Taylor & Francis Journals, vol. 22(1), pages 45-57, January.
  105. Kamil Yilmaz, 2009. "Return and Volatility Spillovers among the East Asian Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers 0907, Koc University-TUSIAD Economic Research Forum.
  106. Le Pen, Yannick & Sévi, Benoît, 2010. "Revisiting the excess co-movements of commodity prices in a data-rich environment," Economics Papers from University Paris Dauphine 123456789/6800, Paris Dauphine University.
  107. Lillie Lam & James Yetman, 2013. "Asia's Decoupling: Fact, Fairytale or Forecast?," Pacific Economic Review, Wiley Blackwell, vol. 18(3), pages 321-344, 08.
  108. Dimitrios P. Louzis, 2013. "Measuring return and volatility spillovers in euro area financial markets," Working Papers 154, Bank of Greece.
  109. Saldías, Martín, 2013. "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
  110. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "How does trading volume affect financial return distributions?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 190-206.
  111. Akio Hattori & Kentaro Kikuchi & Fuminori Niwa & Yoshihiko Uchida, 2014. "A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market," IMES Discussion Paper Series 14-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
  112. Phurichai Rungcharoenkitkul, 2011. "Risk Sharing and Financial Contagion in Asia; An Asset Price Perspective," IMF Working Papers 11/242, International Monetary Fund.
  113. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  114. Sin, Chor-Yiu (CY), 2013. "Using CARRX models to study factors affecting the volatilities of Asian equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 552-564.
  115. Goodell, John W. & Vähämaa, Sami, 2013. "US presidential elections and implied volatility: The role of political uncertainty," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1108-1117.
  116. Pablo D'Erasmo, 2014. "Capital Requirements in a Quantitative Model of Banking Industry Dynamics," 2014 Meeting Papers 476, Society for Economic Dynamics.
  117. Murat Tasdemir & Abdullah Yalama, 2010. "Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil," Working Papers 2010/8, Turkish Economic Association, revised Jan 2010.
  118. Stefan Klößner & Rodrigo Sekkel, 2014. "International Spillovers of Policy Uncertainty," Working Papers 14-57, Bank of Canada.
  119. Nagayasu, Jun, 2012. "Regional inflation and industrial structure in monetary union," MPRA Paper 37310, University Library of Munich, Germany.
  120. Zhou, Xiangyi & Zhang, Weijin & Zhang, Jie, 2012. "Volatility spillovers between the Chinese and world equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 247-270.
  121. Brian M. Lucey & Charles Larkin & Fergal O'Connor, 2014. "Gold markets around the world - who spills over what, to whom, when?," Applied Economics Letters, Taylor & Francis Journals, vol. 21(13), pages 887-892, September.
  122. Kim Hiang Liow, 2008. "Financial Crisis and Asian Real Estate Securities Market Interdependence: Some Additional Evidence," Journal of Property Research, Taylor & Francis Journals, vol. 25(2), pages 127-155, November.
  123. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2014. "How does bad and good volatility spill over across petroleum markets?," Papers 1405.2445, arXiv.org.
  124. Khaled Guesmi & Ilyes Abid & Olfa Kaabia, 2014. "Conditional Correlations and Volatility Spillovers between Crude Oil and Oil- exporting and importing countries," Working Papers 2014-334, Department of Research, Ipag Business School.
  125. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2014. "Volatility risk premia and financial connectedness," Department of Economics 0047, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  126. Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh, 2014. "Stock returns, mutual fund flows and spillover shocks," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 146-162.
  127. Liow, Kim Hiang, 2012. "Volatility interdependence in European securitised real estate markets: who is the most influential?," ERES eres2012_020, European Real Estate Society (ERES).
  128. Renée Fry-McKibbin & Vance Martin & Chrismin Tang, 2013. "Financial Contagion and Asset Pricing," CAMA Working Papers 2013-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  129. Francis X. Diebold & Kamil Yilmaz, 2013. "Measuring the Dynamics of Global Business Cycle Connectedness," PIER Working Paper Archive 13-070, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  130. Dungey, Mardi & McKenzie, Michael D. & Yalama, Abdullah, 2013. "The cross market effects of short sale restrictions," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 53-71.
  131. Andrew Stuart Duncan & Alain Kabundi, 2011. "Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets," Working Papers 253, Economic Research Southern Africa.
  132. Tamim Bayoumi & Trung Bui, 2011. "Unforeseen Events Wait Lurking; Estimating Policy Spillovers From U.S. to Foreign Asset Prices," IMF Working Papers 11/183, International Monetary Fund.
  133. Ioannis A. Tampakoudis & Demetres N. Subeniotis & Ioannis G. Kroustalis, 2012. "Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(3/4), pages 171-194.
  134. Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
  135. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2012. "International market links and volatility transmission," Journal of Econometrics, Elsevier, vol. 170(1), pages 117-141.
  136. Martín Saldías, 2012. "Systemic risk analysis and option-based theory and information," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  137. Balteanu, Irina & Erce, Aitor, 2014. "Bank crises and sovereign defaults in emerging markets: exploring the links," Globalization and Monetary Policy Institute Working Paper 184, Federal Reserve Bank of Dallas.
  138. Dimpfl, Thomas, 2011. "The impact of US news on the German stock market—An event study analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 389-398.
  139. Chau, Frankie & Deesomsak, Rataporn, 2014. "Does linkage fuel the fire? The transmission of financial stress across the markets," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 57-70.
  140. N. Antonakakis & H. Badinger, 2014. "International business cycle spillovers since the 1870s," Applied Economics, Taylor & Francis Journals, vol. 46(30), pages 3682-3694, October.
  141. Acatrinei, Marius & Gorun, Adrian & Marcu, Nicu, 2013. "A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 136-148, March.
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