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Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring

Citations

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Cited by:

  1. Chen-Yin Kuo & Shu-Mei Chiang, 2025. "Spillover effects and network connectedness among stock markets: evidence from the U.S. and Asia," Review of Quantitative Finance and Accounting, Springer, vol. 64(1), pages 1-52, January.
  2. Okorie, David Iheke & Lin, Boqiang, 2022. "Givers never lack: Nigerian oil & gas asymmetric network analyses," Energy Economics, Elsevier, vol. 108(C).
  3. Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Dynamic credit contagion and aggregate loss in networks," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  4. Jongrim Ha & M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2020. "Global Macro-Financial Cycles and Spillovers," CAMA Working Papers 2020-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  5. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2016. "Volatility transmission between stock and exchange-rate markets: A connectedness analysis," Working Papers del Instituto Complutense de Estudios Internacionales 1604, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
  6. de Paula, Aureo & Rasul, Imran & Souza, Pedro, 2018. "Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition," CEPR Discussion Papers 12792, C.E.P.R. Discussion Papers.
  7. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019. "Return spillovers around the globe: A network approach," Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
  8. Lovcha, Yuliya & Pérez Laborda, Àlex & Sikora, Iryna, 2019. "The Determinants of CO2 prices in the EU ETS System," Working Papers 2072/376031, Universitat Rovira i Virgili, Department of Economics.
  9. Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
  10. Cimini, Riccardo, 2015. "Eurozone network “Connectedness” after fiscal year 2008," Finance Research Letters, Elsevier, vol. 14(C), pages 160-166.
  11. Matteo Barigozzi & Christian Brownlees, 2019. "NETS: Network estimation for time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
  12. Raju Huidrom & M. Ayhan Kose & Hideaki Matsuoka & Franziska L. Ohnsorge, 2020. "How important are spillovers from major emerging markets?," International Finance, Wiley Blackwell, vol. 23(1), pages 47-63, March.
  13. Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2024. "Asymmetric volatility spillover between crude oil and other asset markets," Energy Economics, Elsevier, vol. 130(C).
  14. Jozef Baruník & Evžen KoÄ enda, 2019. "Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets," The Energy Journal, , vol. 40(2_suppl), pages 157-174, December.
  15. Thiem, Christopher, 2018. "Cross-category spillovers of economic policy uncertainty," Ruhr Economic Papers 744, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  16. Carlos Arteta & M. Ayhan Kose & Franziska Ohnsorge & Marc Stocke, 2015. "The Coming U.S. Interest Rate Tightening Cycle: Smooth Sailing or Stormy Waters?," Koç University-TUSIAD Economic Research Forum Working Papers 1522, Koc University-TUSIAD Economic Research Forum.
  17. Zubair Munawwara, 2024. "Impact Of Crude Oil Price Volatility On Indian Stock Market Returns: A Quantile Regression Approach," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 69(242), pages 93-128, July – Se.
  18. M. Ayhan Kose & Naotaka Sugawara & Marco E. Terrones, 2020. "Global Recessions," Working Papers 162, Peruvian Economic Association.
  19. Xu, Yongdeng & Guan, Bo & Lu, Wenna & Heravi, Saeed, 2024. "Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets," Energy Economics, Elsevier, vol. 136(C).
  20. Jonathan E. Ogbuabor & God’stime O. Eigbiremolen & Gladys C. Aneke & Manasseh O. Charles, 2018. "Measuring the dynamics of APEC output connectedness," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 32(1), pages 29-44, May.
  21. Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023. "High-dimensional VARs with common factors," Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
  22. Mishra, Abinash & Srivastava, Pranjal & Chakrabarti, Anindya S., 2020. "'Too central to fail' firms in bi-layered financial networks: Evidence of linkages from the US corporate bond and stock markets," IIMA Working Papers WP 2020-06-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  23. International Monetary Fund, 2018. "Brazil: Financial Sector Assessment Program-Technical Note on Stress Testing and Systemic Risk Analysis," IMF Staff Country Reports 2018/344, International Monetary Fund.
  24. Ekeocha, Patterson & Ogbuabor, Jonathan, 2020. "Measuring and Evaluating the Dynamics of Trade Shock Propagation in the Oceania," Conference papers 333234, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
  25. Zaghum Umar & Oluwasegun Babatunde Adekoya & Mariya Gubareva & Sabri Boubaker, 2024. "Returns and volatility connectedness among the Eurozone equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3103-3122, July.
  26. repec:ags:ijag24:344838 is not listed on IDEAS
  27. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & Perez de Gracia, Fernando, 2018. "Oil volatility, oil and gas firms and portfolio diversification," Energy Economics, Elsevier, vol. 70(C), pages 499-515.
  28. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  29. Timo Bettendorf & Reinhold Heinlein, 2023. "Connectedness between G10 currencies: Searching for the causal structure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3938-3959, October.
  30. Erhan Uluceviz & Kamil Yilmaz, 2020. "Real-financial connectedness in the Swiss economy," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-20, December.
  31. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
  32. Everett Grant & Julieta Yung, 2017. "The Double-Edged Sword of Global Integration: Robustness, Fragility & Contagion in the International Firm Network," Globalization Institute Working Papers 313, Federal Reserve Bank of Dallas.
  33. Honghai Yu & Wencong Sun & Xiangting Ye & Libing Fang, 2019. "Measuring the increasing connectedness of Chinese assets with global assets: using a variance decompositions method," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(5), pages 1261-1290, March.
  34. Arreola Hernandez, Jose & Kang, Sang Hoon & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2020. "Spillovers and diversification potential of bank equity returns from developed and emerging America," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  35. Debarsy, Nicolas & Dossougoin, Cyrille & Ertur, Cem & Gnabo, Jean-Yves, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 21-45.
  36. Gao, Yang & Li, Yangyang & Zhao, Chengjie & Wang, Yaojun, 2022. "Risk spillover analysis across worldwide ESG stock markets: New evidence from the frequency-domain," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  37. Georgios Magkonis & Abhijit Sharma, 2019. "Inflation Linkages Within The Eurozone: Core vs. Periphery," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 277-289, May.
  38. Tam Hoang-Nhat Dang & Nhan Thien Nguyen & Duc Hong Vo, 2023. "Sectoral volatility spillovers and their determinants in Vietnam," Economic Change and Restructuring, Springer, vol. 56(1), pages 681-700, February.
  39. Magkonis, Georgios & Tsopanakis, Andreas, 2016. "The financial and fiscal stress interconnectedness: The case of G5 economies," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 62-69.
  40. Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2017. "The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 640-653.
  41. Kang, Sang Hoon & Maitra, Debasish & Dash, Saumya Ranjan & Brooks, Robert, 2019. "Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  42. Danau, Daniel, 2020. "Prudence and preference for flexibility gain," European Journal of Operational Research, Elsevier, vol. 287(2), pages 776-785.
  43. Prasad, Nalin & Grant, Andrew & Kim, Suk-Joong, 2018. "Time varying volatility indices and their determinants: Evidence from developed and emerging stock markets," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 115-126.
  44. Áureo de Paula, 2015. "Econometrics of network models," CeMMAP working papers 52/15, Institute for Fiscal Studies.
  45. Fijorek, Kamil & Jurkowska, Aleksandra & Jonek-Kowalska, Izabela, 2021. "Financial contagion between the financial and the mining industries – Empirical evidence based on the symmetric and asymmetric CoVaR approach," Resources Policy, Elsevier, vol. 70(C).
  46. Ben Craig & Martín Saldías, 2016. "Spatial Dependence and Data-Driven Networks of International Banks," IMF Working Papers 2016/184, International Monetary Fund.
  47. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2017. "Asymmetric volatility connectedness on the forex market," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 39-56.
  48. Magkonis, Georgios & Tsopanakis, Andreas, 2020. "The Financial Connectedness Between Eurozone Core And Periphery: A Disaggregated View," Macroeconomic Dynamics, Cambridge University Press, vol. 24(7), pages 1674-1699, October.
  49. Bostanci, Gorkem & Yilmaz, Kamil, 2020. "How connected is the global sovereign credit risk network?," Journal of Banking & Finance, Elsevier, vol. 113(C).
  50. Luo, Jiawen & Ji, Qiang, 2018. "High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets," Energy Economics, Elsevier, vol. 76(C), pages 424-438.
  51. Shi, Yujie & Wang, Liming, 2023. "Comparing the impact of Chinese and U.S. economic policy uncertainty on the volatility of major global stock markets," Global Finance Journal, Elsevier, vol. 57(C).
  52. Akbulut Nesrin & Ari Yakup, 2023. "TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 1-23, December.
  53. Francis X. Diebold & Kamil Yilmaz, 2016. "Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 81-127.
  54. David I. Okorie, 2021. "A network analysis of electricity demand and the cryptocurrency markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3093-3108, April.
  55. Sanjay Kumar Rout & Hrushikesh Mallick, 2021. "International interdependency of macroeconomic activities: a multivariate empirical analysis," International Economics and Economic Policy, Springer, vol. 18(2), pages 425-450, May.
  56. Daniel Felix Ahelegbey, . "The econometrics of Bayesian graphical models: a review with financial application," Journal of Network Theory in Finance, Journal of Network Theory in Finance.
  57. Peng Qin & Manying Bai, 2022. "Does oil price uncertainty matter in stock market volatility forecasting?," PLOS ONE, Public Library of Science, vol. 17(12), pages 1-21, December.
  58. Bettendorf, Timo & Heinlein, Reinhold, 2019. "Connectedness between G10 currencies: Searching for the causal structure," Discussion Papers 06/2019, Deutsche Bundesbank.
  59. Hahn Shik Lee & Woo Suk Lee, 2018. "Housing market volatility connectedness among G7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 25(3), pages 146-151, February.
  60. Zhang, Wenting & Hamori, Shigeyuki, 2021. "Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany," International Review of Financial Analysis, Elsevier, vol. 74(C).
  61. Balcilar, Mehmet & Elsayed, Ahmed H. & Hammoudeh, Shawkat, 2023. "Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis1," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  62. International Monetary Fund, 2018. "Brazil: Financial System Stability Assessment," IMF Staff Country Reports 2018/339, International Monetary Fund.
  63. Calderón-Colín, Roberto & Carmona Sánchez, Juan Francisco, 2023. "A multivariate analysis of SIEFORE daily returns," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
  64. Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022. "Dynamic large financial networks via conditional expected shortfalls," European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
  65. Julián Andrada-Félix & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2018. "Fear connectedness among asset classes," Applied Economics, Taylor & Francis Journals, vol. 50(39), pages 4234-4249, August.
  66. Warshaw, Evan, 2020. "Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 1-14.
  67. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
  68. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
  69. Ordu, Beyza Mina & Oran, Adil & Soytas, Ugur, 2018. "Is food financialized? Yes, but only when liquidity is abundant," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 82-96.
  70. Lahiri, Kajal & Zhao, Yongchen, 2019. "International propagation of shocks: A dynamic factor model using survey forecasts," International Journal of Forecasting, Elsevier, vol. 35(3), pages 929-947.
  71. Kang, Sanghoon & Hernandez, Jose Arreola & Sadorsky, Perry & McIver, Ronald, 2021. "Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs," Energy Economics, Elsevier, vol. 99(C).
  72. Johnson A. Oliyide & Oluwasegun B. Adekoya & Muhammad A. Khan, 2021. "Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension," International Economics, CEPII research center, issue 167, pages 136-150.
  73. Elena Farahbakhsh Touli & Hoang Nguyen & Olha Bodnar, 2025. "Monitoring the Dynamic Networks of Stock Returns with an Application to the Swedish Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 65(3), pages 1741-1758, March.
  74. Ando, Tomohiro & Bai, Jushan & Lu, Lina & Vojtech, Cindy M., 2024. "Scenario-based quantile connectedness of the U.S. interbank liquidity risk network," Journal of Econometrics, Elsevier, vol. 244(2).
  75. Jose Arreola Hernandez & Sang Hoon Kang & Seong-Min Yoon, 2022. "Spillovers and portfolio optimization of precious metals and global/regional equity markets," Applied Economics, Taylor & Francis Journals, vol. 54(20), pages 2320-2342, April.
  76. Andrada-Félix, Julián & Fernandez-Perez, Adrian & Sosvilla-Rivero, Simón, 2020. "Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  77. Tabak, Benjamin Miranda & Silva, Igor Bettanin Dalla Riva e & Silva, Thiago Christiano, 2022. "Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 324-336.
  78. repec:ptu:bdpart:e201803 is not listed on IDEAS
  79. Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2020. "Crisis transmission: Visualizing vulnerability," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
  80. Just, Margaret & Echaust, Krzysztof, 2023. "Price volatility transfer between agricultural and energy markets – the perspective of European markets during the COVID-19 pandemic and the Russian-Ukrainian war," Village and Agriculture (Wieś i Rolnictwo), Polish Academy of Sciences (IRWiR PAN), Institute of Rural and Agricultural Development, vol. 199(2), August.
  81. Sun, Yanpeng & Mirza, Nawazish & Qadeer, Abdul & Hsueh, Hsin-Pei, 2021. "Connectedness between oil and agricultural commodity prices during tranquil and volatile period. Is crude oil a victim indeed?," Resources Policy, Elsevier, vol. 72(C).
  82. Barbaglia, Luca & Wilms, Ines & Croux, Christophe, 2016. "Commodity dynamics: A sparse multi-class approach," Energy Economics, Elsevier, vol. 60(C), pages 62-72.
  83. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  84. Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  85. Ramiro Losada & Ricardo Laborda, 2020. "Non-alternative collective investment schemes, connectedness and systemic risk," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  86. Aureo de Paula & Imran Rasul & Pedro CL Souza, 2018. "Recovering social networks from panel data: Identification, simulations and an application," Documentos de Trabajo 16173, The Latin American and Caribbean Economic Association (LACEA).
  87. Lai, Jennifer & McNelis, Paul D., 2024. "Financial contagion among the GSIBs and regulatory interventions," Journal of Financial Stability, Elsevier, vol. 72(C).
  88. Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019. "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
  89. Babajide Fowowe & Mohammed Shuaibu, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, CEPII research center, issue 148, pages 59-80.
  90. Jonathan E. Ogbuabor & Anthony Orji & Gladys C. Aneke & Oyun Erdene-Urnukh, 2016. "Measuring the Real and Financial Connectedness of Selected African Economies with the Global Economy," South African Journal of Economics, Economic Society of South Africa, vol. 84(3), pages 364-399, September.
  91. Korobilis, D & Yilmaz, K, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers 20937, University of Essex, Essex Business School.
  92. Antonakakis, Nikolaos & Gabauer, David, 2017. "Refined Measures of Dynamic Connectedness based on TVP-VAR," MPRA Paper 78282, University Library of Munich, Germany.
  93. Rosenkranz, Peter & Melchor, Monica, 2022. "Asia’s financial interconnectedness: Evolution, implications, and insights from past crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 685-707.
  94. Islam, Raisul & Volkov, Vladimir, 2020. "Contagion or interdependence? Comparing signed and unsigned spillovers," Working Papers 2020-05, University of Tasmania, Tasmanian School of Business and Economics.
  95. Wilms, Ines & Rombouts, Jeroen & Croux, Christophe, 2021. "Multivariate volatility forecasts for stock market indices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 484-499.
  96. De Ponti, Pietro & Romagnoli, Matteo, 2022. "Financial implications of the EU Emission Trading System: an analysis of wavelet coherence and volatility spillovers," FEEM Working Papers 323874, Fondazione Eni Enrico Mattei (FEEM).
  97. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
  98. Bhanja, Niyati & Shah, Adil Ahmad & Dar, Arif Billah, 2023. "Aggregate, asymmetric and frequency-based spillover among equity, precious metals, and cryptocurrency," Resources Policy, Elsevier, vol. 80(C).
  99. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
  100. Charfeddine, Lanouar & Al Refai, Hisham, 2019. "Political tensions, stock market dependence and volatility spillover: Evidence from the recent intra-GCC crises," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  101. Brož, Václav & Kočenda, Evžen, 2022. "Mortgage-related bank penalties and systemic risk among U.S. banks," Journal of International Money and Finance, Elsevier, vol. 122(C).
  102. Rodolfo C. Moura & Márcio P. Laurini, 2021. "Spillovers and jumps in global markets: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5997-6013, October.
  103. Celani, Alessandro & Cerchiello, Paola & Pagnottoni, Paolo, 2024. "The topological structure of panel variance decomposition networks," Journal of Financial Stability, Elsevier, vol. 71(C).
  104. Dahl, Roy Endré & Oglend, Atle & Yahya, Muhammad, 2020. "Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture," Journal of Commodity Markets, Elsevier, vol. 20(C).
  105. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 126-145.
  106. Christopher Thiem, 2020. "Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility," Open Economies Review, Springer, vol. 31(2), pages 317-342, April.
  107. Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco, 2022. "Markov switching panel with endogenous synchronization effects," Journal of Econometrics, Elsevier, vol. 230(2), pages 281-298.
  108. Shah, Adil Ahmad & Dar, Arif Billah & Bhanumurthy, N.R., 2021. "Are precious metals and equities immune to monetary and fiscal policy uncertainties?," Resources Policy, Elsevier, vol. 74(C).
  109. Casarin, Roberto & Costola, Michele & Yenerdag, Erdem, 2018. "Financial bridges and network communities," SAFE Working Paper Series 208, Leibniz Institute for Financial Research SAFE, revised 2018.
  110. Jalshayin Bhachech & Arnab Chakrabarti & Taisei Kaizoji & Anindya S. Chakrabarti, 2022. "Instability of networks: effects of sampling frequency and extreme fluctuations in financial data," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 95(4), pages 1-14, April.
  111. Hamill, Philip A. & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A. & Waterworth, James, 2021. "Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  112. Elsayed, Ahmed H. & Nasreen, Samia & Tiwari, Aviral Kumar, 2020. "Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies," Energy Economics, Elsevier, vol. 90(C).
  113. Chuliá, Helena & Fernández, Julián & Uribe, Jorge M., 2018. "Currency downside risk, liquidity, and financial stability," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 83-102.
  114. Cai, Jian & Eidam, Frederik & Saunders, Anthony & Steffen, Sascha, 2018. "Syndication, interconnectedness, and systemic risk," Journal of Financial Stability, Elsevier, vol. 34(C), pages 105-120.
  115. Wei Zhou & Jin Guo & Ning Chen & Shuai Lu, 2023. "Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets," Empirical Economics, Springer, vol. 65(6), pages 2549-2582, December.
  116. Buchetti, Bruno & Bouteska, Ahmed & Harasheh, Murad & Santoni, Alessandro, 2025. "Investor sentiment and dynamic connectedness in European markets: insights from the covid-19 and Russia-Ukraine conflict," Working Paper Series 3050, European Central Bank.
  117. Sila, Jan & Kocenda, Evzen & Kristoufek, Ladislav & Kukacka, Jiri, 2024. "Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 96(C).
  118. Tiwari, Aviral Kumar & Dam, Mehmet Metin & Altıntaş, Halil & Bekun, Festus Victor, 2025. "The dynamic connectedness between oil price shocks and emerging market economies stock markets: Evidence from new approaches," Energy Economics, Elsevier, vol. 141(C).
  119. Chen, Yu-Lun & Mo, Wan-Shin & Qin, Rong-Ling & Yang, J. Jimmy, 2023. "Return spillover across China's financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  120. Hanif, Waqas & Arreola Hernandez, Jose & Kang, Sang Hoon & Boako, Gideon & Yoon, Seong-Min, 2024. "Interdependence and spillovers between big oil companies and regional and global energy equity markets," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 451-469.
  121. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Spillover effects in oil-related CDS markets during and after the sub-prime crisis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  122. Clausen Volker & Schlösser Alexander & Thiem Christopher, 2019. "Economic Policy Uncertainty in the Euro Area: Cross-Country Spillovers and Macroeconomic Impact," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(5-6), pages 957-981, October.
  123. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
  124. Zhang, Xingmin & Zhang, Shuai & Lu, Liping, 2022. "The banking instability and climate change: Evidence from China," Energy Economics, Elsevier, vol. 106(C).
  125. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
  126. repec:ptu:bdpart:r201803 is not listed on IDEAS
  127. Alain Hecq & Ivan Ricardo & Ines Wilms, 2024. "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers 2407.07973, arXiv.org.
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