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

by Sebastian Edwards & Raul Susmel

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  1. Ahmed El Ghini & Youssef Saidi, 2015. "Financial market contagion during the global financial crisis: evidence from the Moroccan stock market," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 78-95.
  2. Philippe Bacchetta & Eric van Wincoop, 2012. "Sudden Spikes in Global Risk," Working Papers 062012, Hong Kong Institute for Monetary Research.
  3. 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 46, Money Macro and Finance Research Group.
  4. 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, vol. 4(2), pages 65-93, June.
  5. 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, vol. 2, pages 61-76, December.
  6. Kaminsky, Graciela L. & Reinhart, Carmen M., 2002. "Financial markets in times of stress," Journal of Development Economics, Elsevier, vol. 69(2), pages 451-470, December.
  7. 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, vol. 34(4), pages 1141-1153.
  8. 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.
  9. Khaled Guesmi & Salma Fattoum & Zied Ftiti, 2014. "Oil prices impact on stock markets: what we learned for the case of oil exporting countries?," Working Papers 2014-443, Department of Research, Ipag Business School.
  10. 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.
  11. Chiang, Min-Hsien & Wang, Li-Min, 2011. "Volatility contagion: A range-based volatility approach," Journal of Econometrics, Elsevier, vol. 165(2), pages 175-189.
  12. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
  13. 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 0307002, EconWPA, revised 18 Jul 2003.
  14. Michael Funke & Roberta Colavecchio, 2009. "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets," Quantitative Macroeconomics Working Papers 20903, Hamburg University, Department of Economics.
  15. 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, vol. 22(5), pages 356-368, October.
  16. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
  17. 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 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.
  18. 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, vol. 4(1).
  19. Jae-Kwang Hwang, 2014. "Spillover Effects of the 2008 Financial Crisis in Latin America Stock Markets," International Advances in Economic Research, International Atlantic Economic Society, vol. 20(3), pages 311-324, August.
  20. King, Daniel & Botha, Ferdi, 2015. "Modelling stock return volatility dynamics in selected African markets," Economic Modelling, Elsevier, vol. 45(C), pages 50-73.
  21. 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.
  22. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
  23. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  24. 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.
  25. Khaled Guesmi, 2011. "What Drives the Regional Integration of Emerging Stock Markets?," Economics Bulletin, AccessEcon, vol. 31(3), pages 2603-2619.
  26. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".
  27. 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.
  28. Khaled Guesmi & Salma Fattoum, 2014. "Measuring contagion effects between crude oil and OECD stock markets," Working Papers 2014-090, Department of Research, Ipag Business School.
  29. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
  30. Yilmaz, Kamil, 2010. "Return and volatility spillovers among the East Asian equity markets," Journal of Asian Economics, Elsevier, vol. 21(3), pages 304-313, June.
  31. 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 1022, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  32. Jon Wongswan, 2003. "Contagion: an empirical test," International Finance Discussion Papers 775, Board of Governors of the Federal Reserve System (U.S.).
  33. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
  34. 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, vol. 60(4), pages 473-497, June.
  35. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 17(8), pages 659-670.
  36. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
  37. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics.
  38. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
  39. Serwa, Dobromił, 2007. "Banking crises and nonlinear linkages between credit and output," MPRA Paper 5946, University Library of Munich, Germany.
  40. Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
  41. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, EconWPA, revised 18 Jul 2003.
  42. 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.
  43. Francis X. Diebold & Kamil Yilmaz, 2011. "Equity Market Spillovers in the Americas," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 7, pages 199-214 Central Bank of Chile.
  44. Colavecchio , Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," BOFIT Discussion Papers 17/2007, Bank of Finland, Institute for Economies in Transition.
  45. Kim Hiang Liow & Qing Ye, 2014. "Switching volatility and cross-market linkages in public property markets," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 287-314, December.
  46. George Hondroyiannis & Harry Kelejian & George Tavlas, 2009. "Spatial Aspects of Contagion among Emerging Economies," Spatial Economic Analysis, Taylor & Francis Journals, vol. 4(2), pages 191-211.
  47. Sergio L. Schmukler & Luis Serven, 2002. "Pricing Currency Risk: Facts and Puzzles from Currency Boards," NBER Working Papers 9047, National Bureau of Economic Research, Inc.
  48. Lizarazo, Sandra, 2010. "Default Risk and Risk Averse International Investors," MPRA Paper 20794, University Library of Munich, Germany.
  49. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
  50. 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.
  51. Schmitt, Noemi & Westerhoff, Frank, 2014. "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
  52. 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, vol. 46(3), pages 397-412, July.
  53. repec:dgr:uvatin:2004057 is not listed on IDEAS
  54. 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.
  55. 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.
  56. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
  57. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003.
  58. Harry Kelejian & George Tavlas & George Hondroyiannis, 2006. "A Spatial Modelling Approach to Contagion Among Emerging Economies," Open Economies Review, Springer, vol. 17(4), pages 423-441, December.
  59. 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.
  60. 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.
  61. Ben Rejeb, Aymen & Arfaoui, Mongi, 2014. "Financial market interdependencies: a quantile regression analysis of volatility spillover," MPRA Paper 61516, University Library of Munich, Germany.
  62. 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 asset mark
    ," MPRA Paper 30284, University Library of Munich, Germany.
  63. 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.
  64. Chee Wooi Hooy, 2008. "Does trade regionalism increase stock market segmentation within a trading bloc?," International Economic Journal, Taylor & Francis Journals, vol. 22(1), pages 113-126.
  65. 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.
  66. 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, vol. 22(3), pages 362-377, September.
  67. Guesmi, Khaled & Fattoum, Salma, 2014. "Return and volatility transmission between oil prices and oil-exporting and oil-importing countries," Economic Modelling, Elsevier, vol. 38(C), pages 305-310.
  68. 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, vol. 15(4), pages 315-342, October.
  69. Bhar, Ramaprasad & Hamori, Shigeyuki, 2005. "Causality in variance and the type of traders in crude oil futures," Energy Economics, Elsevier, vol. 27(3), pages 527-539, May.
  70. Giampiero M. Gallo & Margherita Velucchi, 2009. "Market interdependence and financial volatility transmission in East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 24-44.
  71. 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.
  72. 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 01/06, School of Economics and Business Administration, University of Navarra.
  73. 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.
  74. MARAIS Elise, 2004. "La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique," International Finance 0404003, EconWPA.
  75. Karen Watkins & Dick van Dijk & Jaap Spronk, 2004. "Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience," Tinbergen Institute Discussion Papers 04-057/2, Tinbergen Institute.
  76. 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, vol. 391(15), pages 3951-3962.
  77. 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.
  78. Kanas, Angelos, 2005. "Regime linkages between the Mexican currency market and emerging equity markets," Economic Modelling, Elsevier, vol. 22(1), pages 109-125, January.
  79. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk under currency boards," Journal of Development Economics, Elsevier, vol. 69(2), pages 367-391, December.
  80. repec:wyi:journl:002202 is not listed on IDEAS
  81. 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, vol. 42(3), pages 295-328, April.
  82. 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, vol. 7(3), pages 261-278, September.
  83. Radovan Vadovic, 2009. "Early, Late, and Multiple Bidding in Internet Auctions," Working Papers 0904, Centro de Investigacion Economica, ITAM.
  84. 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.
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