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Vit Bubak
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Vít Bubák & Evžen Kocenda & Filip Zikes, 2010.
"Volatility Transmission in Emerging European Foreign Exchange Markets,"
CESifo Working Paper Series
3063, CESifo.
- Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
- 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.
Cited by:
- Antonakakis, Nikolaos & Breitenlechner, Max & Scharler, Johann, 2015. "Business cycle and financial cycle spillovers in the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 154-162.
- Viorica Chirilă & Ciprian Chirilă, 2020. "Asymmetric Return and Volatility Transmission in Euro Zone and Baltic Countries Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 2-11, December.
- Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
- John Francis Diaz & Peh Ying Qian & Genevieve Liao Tan, 2018. "Variance Persistence in the Greater China Region: A Multivariate GARCH Approach," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(2), pages 49-68, July-Dec.
- 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.
- Sanjay Sehgal & Wasim Ahmad & Florent Deisting, 2015. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(2), pages 261-284, May.
- Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2017.
"A vector heterogeneous autoregressive index model for realized volatility measures,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 337-344.
- Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2016. "A Vector Heterogeneous Autoregressive Index Model for Realized Volatily Measures," CEIS Research Paper 391, Tor Vergata University, CEIS, revised 23 Jul 2016.
- Cubadda, G. & Guardabascio, B. & Hecq, A.W., 2015. "A Vector Heterogeneous Autoregressive Index model for realized volatility measures," Research Memorandum 033, Maastricht University, Graduate School of Business and Economics (GSBE).
- Gianluca Cubadda & Alain Hecq, 2022.
"Dimension Reduction for High Dimensional Vector Autoregressive Models,"
CEIS Research Paper
534, Tor Vergata University, CEIS, revised 24 Mar 2022.
- Gianluca Cubadda & Alain Hecq, 2020. "Dimension Reduction for High Dimensional Vector Autoregressive Models," Papers 2009.03361, arXiv.org, revised Feb 2022.
- Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High‐Dimensional Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1123-1152, October.
- Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
- Dimitrios Louzis, 2015. "Measuring spillover effects in Euro area financial markets: a disaggregate approach," Empirical Economics, Springer, vol. 49(4), pages 1367-1400, December.
- 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.
- Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," Papers 1308.1221, arXiv.org, revised Jul 2014.
- Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers," Journal of Financial Markets, Elsevier, vol. 27(C), pages 55-78.
- Barunik, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?," FinMaP-Working Papers 13, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Working Papers 202423, University of Pretoria, Department of Economics.
- Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
- Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2015. "Volatility transmission in global financial markets," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 3-18.
- 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.
- Li, Dan & Drovandi, Christopher & Clements, Adam, 2024. "Outlier-robust methods for forecasting realized covariance matrices," International Journal of Forecasting, Elsevier, vol. 40(1), pages 392-408.
- Dai, Yanke & Li, Baoxin & Xu, Yangfei, 2023. "International transmission of exchange rate volatility: Evidence from FIEs’ investments in China," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
- Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013.
"On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010,"
CESifo Working Paper Series
4189, CESifo.
- Caporale, Guglielmo Maria & Hunter, John & Menla Ali, Faek, 2014. "On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 87-103.
- Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013. "On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010," Discussion Papers of DIW Berlin 1289, DIW Berlin, German Institute for Economic Research.
- DUMITRESCU, Sorin, 2015. "European Equity Market Return, Volatility And Liquidity Spillover Dynamics During The Eurozone Debt Crisis," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(2), pages 30-50.
- Lord Mensah & Charles Andoh & Saint Kuttu & Eric Boachie-Yiadom, 2023. "The level of African forex markets integration and Eurobond issue," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 232-250, March.
- Julien Chevallier & Florian Ielpo, 2013. "Volatility spillovers in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(13), pages 1211-1227, September.
- 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, Universität Innsbruck.
- Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty, 2016.
"Risk and Return Spillovers among the G10 Currencies,"
Melbourne Institute Working Paper Series
wp2016n04, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Rafferty, Barry, 2016. "Risk and return spillovers among the G10 currencies," Journal of Financial Markets, Elsevier, vol. 31(C), pages 43-62.
- 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.
- Donghua Wang & Yang Xin & Xiaohui Chang & Xingze Su, 2021. "Realized volatility forecasting and volatility spillovers: Evidence from Chinese non‐ferrous metals futures," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2713-2731, April.
- 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.
- Pham, Son Duy & Nguyen, Thao Thac Thanh & Li, Xiao-Ming, 2024. "Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations," Global Finance Journal, Elsevier, vol. 59(C).
- Matthieu Garcin & Martino Grasselli, 2022. "Long versus short time scales: the rough dilemma and beyond," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 257-278, June.
- Yusui Tang & Feng Ma & Yaojie Zhang & Yu Wei, 2022. "Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4770-4783, October.
- 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.
- Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2016. "Asymmetric volatility connectedness on forex markets," Papers 1607.08214, arXiv.org.
- Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2017. "Asymmetric volatility connectedness on the forex market," KIER Working Papers 956, Kyoto University, Institute of Economic Research.
- Evzen Kocenda & Michala Moravcova, 2017.
"Exchange Rate Co-movements, Hedging and Volatility Spillovers in New EU Forex Markets,"
Working Papers IES
2017/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2017.
- Kočenda, Evžen & Moravcová, Michala, 2019. "Exchange rate comovements, hedging and volatility spillovers on new EU forex markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 42-64.
- 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.
- Zhang, Dayong & Shi, Min & Shi, Xunpeng, 2018. "Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade," Energy Economics, Elsevier, vol. 69(C), pages 33-41.
- Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
- Tomas Adam & Sona Benecka, 2013. "Financial Stress Spillover and Financial Linkages between the Euro Area and the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 46-64, March.
- Noureddine Benlagha & Wael Hemrit, 2022. "Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 1-21, January.
- Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
- Hasan Fehmi Baklaci & Tezer Yelkenci, 2022. "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 267-314, June.
- Harald Schmidbauer & Angi Rösch & Erhan Uluceviz & Narod Erkol, 2016. "The Russian Stock Market during the Ukrainian Crisis: A Network Perspective," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 478-509, December.
- Michał Adam, 2013. "Spillovers and contagion in the sovereign CDS market," Bank i Kredyt, Narodowy Bank Polski, vol. 44(6), pages 571-604.
- Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan & Vo, Xuan Vinh, 2023. "Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?," Journal of Financial Stability, Elsevier, vol. 65(C).
- 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.
- Julián Andrada-Félixa & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2017. "Fear connectedness among asset classes," IREA Working Papers 201703, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.
- Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
- Caraiani, Petre, 2012. "Characterizing emerging European stock markets through complex networks: From local properties to self-similar characteristics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(13), pages 3629-3637.
- Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).
- Gannon, Gerard L. & Thuraisamy, Kannan S., 2017. "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 328-350.
- Kuck, Konstantin & Maderitsch, Robert, 2019. "Intra-day dynamics of exchange rates: New evidence from quantile regression," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 247-257.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018.
"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2017. "Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 1-26.
- Liu, Pan & Power, Gabriel J. & Vedenov, Dmitry, 2021. "Fair-weather Friends? Sector-specific volatility connectedness and transmission," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 712-736.
- Sofiane Aboura & Julien Chevallier, 2015.
"Volatility returns with vengeance: Financial markets vs. commodities,"
Post-Print
hal-01529747, HAL.
- Aboura, Sofiane & Chevallier, Julien, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Research in International Business and Finance, Elsevier, vol. 33(C), pages 334-354.
- Boakye, Robert Owusu & Mensah, Lord Kwaku & Kang, Sang Hoon & Osei, Kofi Acheampong, 2023. "Foreign exchange market return spillovers and connectedness among African countries," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Tang, Yusui & Ma, Feng, 2023. "The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching," Resources Policy, Elsevier, vol. 83(C).
- Todorova, Neda & Worthington, Andrew & Souček, Michael, 2014. "Realized volatility spillovers in the non-ferrous metal futures market," Resources Policy, Elsevier, vol. 39(C), pages 21-31.
- Balázs Egert & Evžen Kočenda, 2012.
"The impact of macro news and central bank communication on emerging European forex markets,"
Working Papers
hal-04141076, HAL.
- Balázs Égert & Evžen Kočenda, 2012. "The impact of macro news and central bank communication on emerging European forex markets," EconomiX Working Papers 2012-20, University of Paris Nanterre, EconomiX.
- Balázs Égert & Evžen Kočenda, 2014. "The impact of macro news and central bank communication on emerging European forex markets," Post-Print hal-01385932, HAL.
- Égert, Balázs & Kočenda, Evžen, 2014. "The impact of macro news and central bank communication on emerging European forex markets," Economic Systems, Elsevier, vol. 38(1), pages 73-88.
- Balazs Egert & Evžen Kocenda, 2013. "The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets," CESifo Working Paper Series 4288, CESifo.
- Orlowski, Lucjan T., 2016. "Co-movements of non-Euro EU currencies with the Euro," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 376-383.
- Antonakakis, Nikolaos & Gabauer, David, 2017. "Refined Measures of Dynamic Connectedness based on TVP-VAR," MPRA Paper 78282, University Library of Munich, Germany.
- Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2018. "Asymmetric semi-volatility spillover effects in EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 221-230.
- Syed Jawad Hussain Shahzad & Jose Arreola‐Hernandez & Md Lutfur Rahman & Gazi Salah Uddin & Muhammad Yahya, 2021. "Asymmetric interdependence between currency markets' volatilities across frequencies and time scales," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2436-2457, April.
- Souček, Michael & Todorova, Neda, 2014. "Realized volatility transmission: The role of jumps and leverage effects," Economics Letters, Elsevier, vol. 122(2), pages 111-115.
- Zhang, Xu & Yang, Xian & He, Qizhi, 2022. "Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Cui, Jinxin & Maghyereh, Aktham & Goh, Mark & Zou, Huiwen, 2022. "Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments," Energy, Elsevier, vol. 238(PB).
- Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022. "Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
- Kumar, Satish, 2018. "Price discovery in emerging currency markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 528-536.
- Rajni Kant Rajhans & Anuradha Jain, 2015. "Volatility Spillover in Foreign Exchange Markets," Paradigm, , vol. 19(2), pages 137-151, December.
- Antonakakis, N. & Badinger, H., 2016. "Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries," Economic Modelling, Elsevier, vol. 52(PB), pages 352-365.
- Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
- Karyotis, Catherine & Alijani, Sharam, 2016. "Soft commodities and the global financial crisis: Implications for the economy, resources and institutions," Research in International Business and Finance, Elsevier, vol. 37(C), pages 350-359.
- Ohikhuare, Obaika M., 2023. "How geopolitical risk drives spillover interconnectedness between crude oil and exchange rate markets: Evidence from the Russia-Ukraine war," Resources Policy, Elsevier, vol. 86(PB).
- Thomas A. P. de Boer & Cornelis Gardebroek & Joost M. E. Pennings & Andres Trujillo‐Barrera, 2022. "Intraday liquidity in soybean complex futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1189-1211, July.
- Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015. "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 95-114.
- N. Antonakakis & H. Badinger, 2014. "International business cycle spillovers since the 1870s," Applied Economics, Taylor & Francis Journals, vol. 46(30), pages 3682-3694, October.
- Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2017. "Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets," Discussion Papers in Economics and Business 17-01, Osaka University, Graduate School of Economics.
- Khalifa, Ahmed A.A. & Otranto, Edoardo & Hammoudeh, Shawkat & Ramchander, Sanjay, 2016. "Volatility transmission across currencies and commodities with US uncertainty measures," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 63-83.
- Huayun Jiang & Neda Todorova & Eduardo Roca & Jen-Je Su, 2017. "Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 49(34), pages 3435-3452, July.
- 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.
- Baklaci, Hasan Fehmi & Aydoğan, Berna & Yelkenci, Tezer, 2020. "Impact of stock market trading on currency market volatility spillovers," Research in International Business and Finance, Elsevier, vol. 52(C).
- Stephanos Papadamou & Thomas Markopoulos, 2014. "Investigating Intraday Interdependence Between Gold, Silver and Three Major Currencies: the Euro, British Pound and Japanese Yen," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(4), pages 399-410, November.
- Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
- Michal Adam & Piotr Banbula & Michal Markun, 2015. "International Dependence and Contagion across Asset Classes: The Case of Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(3), pages 254-270, May.
- Yaxian Lu & Longguang Yang & Lihong Liu, 2019. "Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis," Sustainability, MDPI, vol. 11(2), pages 1-12, January.
- Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2018. "Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets," Economic Modelling, Elsevier, vol. 69(C), pages 237-248.
- Jian, Zhihong & Wu, Shuai & Zhu, Zhican, 2018. "Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach," Emerging Markets Review, Elsevier, vol. 37(C), pages 98-113.
- Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
- David Gabauer, 2020. "Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 788-796, August.
- Dimitrios P. Louzis, 2013. "Measuring return and volatility spillovers in euro area financial markets," Working Papers 154, Bank of Greece.
- Rim Ammar Lamouchi & Ruba Khalid Shira, 2023. "Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(3), pages 1-3.
- Afees A. Salisu & Taofeek O. Ayinde, 2018.
"Testing for spillovers in naira exchange rates: The role of electioneering & global financial crisis,"
Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 18(4), pages 341-348, December.
- Afees A. Salisu & Taofeek O. Ayinde, 2018. "Testing for spillovers in Naira exchange rates: The role of electioneering& global financial crisis," Working Papers 050, Centre for Econometric and Allied Research, University of Ibadan.
- Kinkyo, Takuji, 2020. "Volatility interdependence on foreign exchange markets: The contribution of cross-rates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Kai Shi, 2021. "Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic," JRFM, MDPI, vol. 14(3), pages 1-37, March.
- Grabowski, Wojciech & Janus, Jakub & Stawasz-Grabowska, Ewa, 2023. "The COVID-19 pandemic and financial markets in Central Europe: Macroeconomic measures and international policy spillovers," Emerging Markets Review, Elsevier, vol. 54(C).
- Chen, Hongyi & Funke, Michael & Tsang, Andrew, 2016.
"The diffusion and dynamics of producer prices, deflationary pressure across Asian countries, and the role of China,"
BOFIT Discussion Papers
11/2016, Bank of Finland Institute for Emerging Economies (BOFIT).
- Hongyi Chen & Michael Funke & Andrew Tsang, 2016. "The Diffusion and Dynamics of Producer Prices, Deflationary Pressure across Asian Countries, and the Role of China," Working Papers 152016, Hong Kong Institute for Monetary Research.
- Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2016. "Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?," Manchester School, University of Manchester, vol. 84(4), pages 437-481, July.
- Adam, Tomáš & Benecká, Soňa & Matějů, Jakub, 2018. "Financial stress and its non-linear impact on CEE exchange rates," Journal of Financial Stability, Elsevier, vol. 36(C), pages 346-360.
- Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
- Atenga, Eric Martial Etoundi & Mougoué, Mbodja, 2021. "Return and volatility spillovers to African currencies markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
- Jian, Zhihong & Deng, Pingjun & Zhu, Zhican, 2018. "High-dimensional covariance forecasting based on principal component analysis of high-frequency data," Economic Modelling, Elsevier, vol. 75(C), pages 422-431.
- Kausik Chaudhuri & Saumitra N. Bhaduri, 2019. "Inflation Forecast: Just use the Disaggregate or Combine it with the Aggregate," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 331-343, June.
- Stefan Lyocsa & Peter Molnar & Igor Fedorko, 2016. "Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 453-475, October.
- Souček, Michael & Todorova, Neda, 2013. "Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach," Energy Economics, Elsevier, vol. 40(C), pages 586-597.
- Leonardo Badea & Daniel Ştefan Armeanu & Iulian Panait & Ştefan Cristian Gherghina, 2019. "A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings," Sustainability, MDPI, vol. 11(5), pages 1-24, March.
- Tung-Yueh Pai & Yen-Hsien Lee, 2018. "Industry Herding, Spillover Index and Investment Strategy," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-6.
- Lyócsa, Štefan & Plíhal, Tomáš & Výrost, Tomáš, 2021. "FX market volatility modelling: Can we use low-frequency data?," Finance Research Letters, Elsevier, vol. 40(C).
- Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2015. "Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle," Energy Policy, Elsevier, vol. 87(C), pages 72-82.
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wp1020, William Davidson Institute at the University of Michigan.
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