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Nicola Spagnolo

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

  1. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2021. "The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20," CESifo Working Paper Series 9299, CESifo.

    Cited by:

    1. Al-Fayoumi, Nedal & Bouri, Elie & Abuzayed, Bana, 2023. "Decomposed oil price shocks and GCC stock market sector returns and volatility," Energy Economics, Elsevier, vol. 126(C).
    2. Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios & James Mitchell & Aristeidis Raftapostolos, 2023. "Deep Neural Network Estimation in Panel Data Models," Working Papers 23-15, Federal Reserve Bank of Cleveland.
    3. Yu, Xiaoling & Xiao, Kaitian, 2023. "COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective," Finance Research Letters, Elsevier, vol. 53(C).

  2. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.

    Cited by:

    1. McCully, Tuuli, 2023. "Drivers of portfolio flows into Chinese debt securities amidst China's bond market development," BOFIT Discussion Papers 8/2023, Bank of Finland Institute for Emerging Economies (BOFIT).
    2. Matteo Pazzona & Nicola Spagnolo, 2024. "Do not shut up and do dribble: social media and TV consumption," Journal of Population Economics, Springer;European Society for Population Economics, vol. 37(2), pages 1-25, June.

  3. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.

    Cited by:

    1. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Wanas Al-Jarrah, Idries Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 96-113.
    2. Cole, Benjamin M. & Dyhrberg, Anne H. & Foley, Sean & Svec, Jiri, 2022. "Can Bitcoin be Trusted? Quantifying the economic value of blockchain transactions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    3. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?," Research in International Business and Finance, Elsevier, vol. 64(C).
    4. Lee A. Smales, 2021. "Volatility Spillovers among Cryptocurrencies," JRFM, MDPI, vol. 14(10), pages 1-12, October.
    5. Będowska-Sójka, Barbara & Górka, Joanna & Hemmings, Danial & Zaremba, Adam, 2024. "Uncertainty and cryptocurrency returns: A lesson from turbulent times," International Review of Financial Analysis, Elsevier, vol. 94(C).
    6. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
    7. Gimenes, André Dias & Colombo, Jéfferson A. & Yousaf, Imran, 2023. "Store of value or speculative investment? market reaction to corporate announcements of cryptocurrency acquisition," Textos para discussão 563, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    8. Tian, Shu & Zhao, Bo & Olivares, Resi Ong, 2023. "Cybersecurity risks and central banks’ sentiment on central bank digital currency: Evidence from global cyberattacks," Finance Research Letters, Elsevier, vol. 53(C).
    9. Chowdhury, Md Iftekhar Hasan & Hasan, Mudassar & Bouri, Elie & Tang, Yayan, 2024. "Emotional spillovers in the cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    10. Ziyao Wang & Yufei Xia & Yating Fu & Ying Liu, 2023. "Volatility Spillover Dynamics and Determinants between FinTech and Traditional Financial Industry: Evidence from China," Mathematics, MDPI, vol. 11(19), pages 1-23, September.
    11. Chu, Meifen, 2021. "Bitcoin and traditional currencies during the Covid-19 pandemic period," MPRA Paper 110117, University Library of Munich, Germany.
    12. Conlon, Thomas & Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2024. "Bitcoin forks: What drives the branches?," Research in International Business and Finance, Elsevier, vol. 69(C).
    13. Mensi, Walid & Gubareva, Mariya & Kang, Sang Hoon, 2024. "Frequency connectedness between DeFi and cryptocurrency markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 12-27.
    14. Carol Alexander & Daniel Heck & Andreas Kaeck, 2021. "The Role of Binance in Bitcoin Volatility Transmission," Papers 2107.00298, arXiv.org, revised Aug 2021.
    15. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara & Vigne, Samuel A., 2023. "Return and volatility spillovers among global assets: Comparing health crisis with geopolitical crisis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 557-575.
    16. Yousaf, Imran & Goodell, John W., 2023. "Reputational contagion and the fall of FTX: Examining the response of tokens to the delegitimization of FTT," Finance Research Letters, Elsevier, vol. 54(C).
    17. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 449-479.
    18. Mudassar Hasan & Muhammad Abubakr Naeem & Muhammad Arif & Syed Jawad Hussain Shahzad & Xuan Vinh Vo, 2022. "Liquidity connectedness in cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    19. BRIK, Hatem & El OUAKDI, Jihene & FTITI, Zied, 2022. "Roles of stable versus nonstable cryptocurrencies in Bitcoin market dynamics," Research in International Business and Finance, Elsevier, vol. 62(C).
    20. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Karikari, Nana Kwasi & Gil-Alana, Luis Alberiko, 2022. "The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    21. Yousaf, Imran & Pham, Linh & Goodell, John W., 2024. "Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach," International Review of Financial Analysis, Elsevier, vol. 94(C).
    22. Yousaf, Imran & Goodell, John W., 2023. "Linkages between CBDC and cryptocurrency uncertainties, and digital payment stocks," Finance Research Letters, Elsevier, vol. 54(C).
    23. Milunovich, George & Lee, Seung Ah, 2022. "Measuring the impact of digital exchange cyberattacks on Bitcoin Returns," Economics Letters, Elsevier, vol. 221(C).
    24. Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    25. Ye, Wuyi & Li, Mingge & Wu, Yuehua, 2022. "A novel estimation of time-varying quantile correlation for financial contagion detection," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    26. Bazán-Palomino, Walter, 2022. "Interdependence, contagion and speculative bubbles in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 49(C).
    27. Chen, Bin-xia & Sun, Yan-lin, 2024. "Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).

  4. Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2019. "Financial integration in the GCC region: market size versus national effects," CESifo Working Paper Series 7686, CESifo.

    Cited by:

    1. Manu K. S. & Surekha Nayak & Rameesha Kalra, 2022. "Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets," Vision, , vol. 26(2), pages 181-192, June.
    2. Kapar, Burcu & Billah, Syed Mabruk & Rana, Faisal & Balli, Faruk, 2024. "An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1442-1467.
    3. Khamdan Rifa'i, 2023. "The Economic Impact of the US Unconventional Monetary Policy, Global Commodity Shocks, and Oil Price Shocks on ASEAN 3," International Journal of Energy Economics and Policy, Econjournals, vol. 13(5), pages 616-624, September.
    4. Ngo Thai Hung, 2021. "Financial connectedness of GCC emerging stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(4), pages 753-773, December.

  5. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2019. "Non-Linearities, Cyber Attacks and Cryptocurrencies," CESifo Working Paper Series 7692, CESifo.

    Cited by:

    1. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    2. Raza, Syed Ali & Shah, Nida & Guesmi, Khaled & Msolli, Badreddine, 2022. "How does COVID-19 influence dynamic spillover connectedness between cryptocurrencies? Evidence from non-parametric causality-in-quantiles techniques," Finance Research Letters, Elsevier, vol. 47(PA).
    3. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
    4. Martin Eling & Kwangmin Jung, 2022. "Heterogeneity in cyber loss severity and its impact on cyber risk measurement," Risk Management, Palgrave Macmillan, vol. 24(4), pages 273-297, December.
    5. Kazeem Abimbola Sanusi & Zandri Dickason-Koekemoer, 2022. "Cryptocurrency Returns, Cybercrime and Stock Market Volatility: GAS and Regime Switching Approaches," International Journal of Economics and Financial Issues, Econjournals, vol. 12(6), pages 52-64, November.
    6. Lars Hornuf & Paul P. Momtaz & Rachel J. Nam & Ye Yuan, 2023. "Cybercrime on the Ethereum Blockchain," CESifo Working Paper Series 10598, CESifo.
    7. Tian, Shu & Zhao, Bo & Olivares, Resi Ong, 2023. "Cybersecurity risks and central banks’ sentiment on central bank digital currency: Evidence from global cyberattacks," Finance Research Letters, Elsevier, vol. 53(C).
    8. Imran Yousaf & Shoaib Ali & Elie Bouri & Anupam Dutta, 2021. "Herding on Fundamental/Nonfundamental Information During the COVID-19 Outbreak and Cyber-Attacks: Evidence From the Cryptocurrency Market," SAGE Open, , vol. 11(3), pages 21582440211, July.
    9. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    10. Mircea Constantin Șcheau & Simona Liliana Crăciunescu & Iulia Brici & Monica Violeta Achim, 2020. "A Cryptocurrency Spectrum Short Analysis," JRFM, MDPI, vol. 13(8), pages 1-16, August.
    11. Conlon, Thomas & Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2024. "Bitcoin forks: What drives the branches?," Research in International Business and Finance, Elsevier, vol. 69(C).
    12. Corbet, Shaen & Larkin, Charles & Lucey, Brian, 2020. "The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies," Finance Research Letters, Elsevier, vol. 35(C).
    13. Atef Ghalwesh & Shimaa Ouf & Amr Sayed, 2020. "A Proposed System for Securing Cryptocurrency Via the Integration of Internet of Things with Blockchain," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 166-173.
    14. Goodell, John W., 2020. "COVID-19 and finance: Agendas for future research," Finance Research Letters, Elsevier, vol. 35(C).
    15. Yousaf, Imran & Goodell, John W., 2023. "Reputational contagion and the fall of FTX: Examining the response of tokens to the delegitimization of FTT," Finance Research Letters, Elsevier, vol. 54(C).
    16. Yousaf, Imran & Pham, Linh & Goodell, John W., 2024. "Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach," International Review of Financial Analysis, Elsevier, vol. 94(C).
    17. Figà-Talamanca, Gianna & Focardi, Sergio & Patacca, Marco, 2021. "Regime switches and commonalities of the cryptocurrencies asset class," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    18. Ozili, Peterson K, 2021. "Central bank digital currency can lead to the collapse of cryptocurrency," MPRA Paper 111218, University Library of Munich, Germany.
    19. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber-Attacks, Cryptocurrencies, and Cyber Security," CESifo Working Paper Series 8124, CESifo.
    20. Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).

  6. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "The Impact of Business and Political News on the GCC Stock Markets," CESifo Working Paper Series 7353, CESifo.

    Cited by:

    1. Abdollahi, Hooman & Junttila, Juha-Pekka & Lehkonen, Heikki, 2024. "Clustering asset markets based on volatility connectedness to political news," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    2. Al-Maadid, Alanoud & Alhazbi, Saleh & Al-Thelaya, Khaled, 2022. "Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries," Research in International Business and Finance, Elsevier, vol. 61(C).
    3. Stephens, John & Mehdian, Seyed & Gherghina, Ștefan Cristian & Stoica, Ovidiu, 2023. "The reaction of the financial market to the January 6 United States Capitol attack: An intraday study," Finance Research Letters, Elsevier, vol. 56(C).
    4. Fedorova, E. & Pyltsin, I. & Kovalchuk, Yu. & Drogovoz, P., 2022. "News and social networks of Russian companies: Degree of influence on the securities market," Journal of the New Economic Association, New Economic Association, vol. 53(1), pages 32-52.
    5. Aqila Rafiuddin & Jennifer Daffodils & Jesus Cuauhtemoc Tellez Gaytan & Gyanendra Singh Sisodia, 2021. "Trend of Oil Prices, Gold, GCC Stocks Market during Covid-19 Pandemic: A Wavelet Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 560-572.
    6. Du, Hanyu & Hao, Jing & He, Feng & Xi, Wenze, 2022. "Media sentiment and cross-sectional stock returns in the Chinese stock market," Research in International Business and Finance, Elsevier, vol. 60(C).
    7. Muhammad Ateeq ur REHMAN & Syed Ghulam Meran SHAH & Lucian-Ionel CIOCA & Alin ARTENE, 2021. "Accentuating the Impacts of Political News on the Stock Price, Working Capital and Performance: An Empirical Review of Emerging Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 55-73, June.
    8. Hayet Soltani & Mouna Boujelbène Abbes, 2023. "The Predictive Power of Financial Stress on the Financial Markets Dynamics: Hidden Markov Model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 94-115, March.

  7. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "Political Tension and Stock Markets in the Arabian Peninsula," CESifo Working Paper Series 7341, CESifo.

    Cited by:

    1. Jassem Alokla & Arief Daynes & Paraskevas Pagas & Panagiotis Tzouvanas, 2023. "Solvency determinants: evidence from the Takaful insurance industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 847-871, October.
    2. Chandan Kumar Jha & Fatih Kırşanlı, 2024. "Arab Spring, democratization of corruption, and income inequality," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3678-3691, July.
    3. Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2020. "Financial Integration in the GCC Region: Market Size Versus National Effects," Open Economies Review, Springer, vol. 31(2), pages 309-316, April.
    4. Guglielmo Maria Caporale & Abdurrahman Nazif Çatık & Mohamad Husam Helmi & Coşkun Akdeniz & Ali İlhan, 2024. "Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(2), pages 529-558, May.
    5. Ahmed H. Elsayed & Mohamad Husam Helmi, 2021. "Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk," Annals of Operations Research, Springer, vol. 305(1), pages 1-22, October.

  8. Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2016. "Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis," CESifo Working Paper Series 5932, CESifo.

    Cited by:

    1. Vidal-Llana, Xenxo & Guillén, Montserrat, 2022. "Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    2. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    3. Keith Fitzgerald & Jacopo Bedogni, 2019. "Examining the Volatility of Ireland’s Tax Base in the Paradigm of Modern Portfolio Theory," The Economic and Social Review, Economic and Social Studies, vol. 50(3), pages 429-458.

  9. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2016. "Macro News and Exchange Rates in the BRICS," CESifo Working Paper Series 5748, CESifo.

    Cited by:

    1. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
    2. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    3. Evzen Kocenda & Michala Moravcova, 2016. "Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis," Working Papers IES 2016/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2016.
    4. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Cross-border portfolio flows and news media coverage," Journal of International Money and Finance, Elsevier, vol. 126(C).
    5. Svatopluk Kapounek & Zuzana Kučerová & Evžen Kočenda, 2022. "Selective Attention in Exchange Rate Forecasting," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(2), pages 210-229, May.
    6. Demir, Ender & Ersan, Oguz, 2017. "Economic policy uncertainty and cash holdings: Evidence from BRIC countries," Emerging Markets Review, Elsevier, vol. 33(C), pages 189-200.
    7. Ekinci, Cumhur & Akyildirim, Erdinc & Corbet, Shaen, 2019. "Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets," Finance Research Letters, Elsevier, vol. 31(C), pages 155-164.
    8. Rognone, Lavinia & Hyde, Stuart & Zhang, S. Sarah, 2020. "News sentiment in the cryptocurrency market: An empirical comparison with Forex," International Review of Financial Analysis, Elsevier, vol. 69(C).
    9. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    10. Yin, Libo, 2020. "Can the intermediary capital risk predict foreign exchange rates?," Finance Research Letters, Elsevier, vol. 37(C).
    11. Jolanta Pasionek, 2020. "Countries of BRICS group on Forex market," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 19(1), pages 99-117, March.
    12. Gkillas, Konstantinos & Konstantatos, Christoforos & Tsagkanos, Athanasios & Siriopoulos, Costas, 2021. "Do economic news releases affect tail risk? Evidence from an emerging market," Finance Research Letters, Elsevier, vol. 40(C).

  10. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2016. "Exchange Rates and Macro News in Emerging Markets," CESifo Working Paper Series 5816, CESifo.

    Cited by:

    1. Teona Shugliashvili, 2023. "The words have power: the impact of news on exchange rates," FFA Working Papers 5.006, Prague University of Economics and Business, revised 31 Jul 2023.
    2. Tamgac, Unay, 2021. "Emerging market exchange rates during quantitative tapering: The effect of US and domestic news," Research in International Business and Finance, Elsevier, vol. 57(C).
    3. Jolanta Pasionek, 2021. "Response of the USD/MXN Exchange Rate to Macroeconomic Data," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 3), pages 914-927.
    4. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "The impact of business and political news on the GCC stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    5. Deniz Erer, 2023. "The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 105-126, June.
    6. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Cross-border portfolio flows and news media coverage," Journal of International Money and Finance, Elsevier, vol. 126(C).
    7. Frankel, Jeffrey & Saiki, Ayako, 2016. "Does It Matter If Statistical Agencies Frame the Month's CPI Report on a 1-Month or 12-Month Basis?," Working Paper Series 16-011, Harvard University, John F. Kennedy School of Government.
    8. Corbet, Shaen & Dunne, John James & Larkin, Charles, 2019. "Quantitative easing announcements and high-frequency stock market volatility: Evidence from the United States," Research in International Business and Finance, Elsevier, vol. 48(C), pages 321-334.
    9. Ngo Thai Hung, 2021. "Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model," Global Business Review, International Management Institute, vol. 22(1), pages 36-56, February.
    10. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    11. Munazza Jabeen & Abdul Rashid & Hajra Ihsan, 2022. "The news effects on exchange rate returns and volatility: Evidence from Pakistan," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 745-769, January.

  11. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2015. "Macro News and Commodity Returns," CESifo Working Paper Series 5551, CESifo.

    Cited by:

    1. Smales, L.A., 2017. "Commodity market volatility in the presence of U.S. and Chinese macroeconomic news," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 15-27.
    2. Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
    3. Diandian Ma & Benfu Lv & Xuerong Li & Xiuting Li & Shuqin Liu, 2023. "Heterogeneous Impacts of Policy Sentiment with Different Themes on Real Estate Market: Evidence from China," Sustainability, MDPI, vol. 15(2), pages 1-21, January.
    4. Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018. "High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach," Working Papers 201817, University of Pretoria, Department of Economics.
    5. Hua, Renhai & Liu, Qingfu & Tse, Yiuman & Yu, Qin, 2023. "The impact of natural disaster risk on the return of agricultural futures," Journal of Asian Economics, Elsevier, vol. 87(C).
    6. Wen, Shaobo & An, Haizhong & Huang, Shupei & Liu, Xueyong, 2019. "Dynamic impact of China's stock market on the international commodity market," Resources Policy, Elsevier, vol. 61(C), pages 564-571.
    7. Salisu, Afees A. & Vo, Xuan Vinh & Lucey, Brian, 2021. "Gold and US sectoral stocks during COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 57(C).
    8. Tarek Chebbi, 2021. "The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1897-1916, April.
    9. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Cross-border portfolio flows and news media coverage," Journal of International Money and Finance, Elsevier, vol. 126(C).
    10. Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018. "High Frequency Impact Of Monetary Policy And Macroeconomic Surprises On Us Msas, Aggregate Us Housing Returns And Asymmetric Volatility," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 204-229, December.
    11. Pham, Linh & Kamal, Javed Bin, 2024. "Blessings or curse: How do media climate change concerns affect commodity tail risk spillovers?," Journal of Commodity Markets, Elsevier, vol. 34(C).
    12. Zhou, Siwen, 2018. "Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach," MPRA Paper 89445, University Library of Munich, Germany.
    13. Walid Bahloul & Rangan Gupta, 2017. "The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures," Working Papers 201715, University of Pretoria, Department of Economics.
    14. Mukherjee, Abhiroop & Panayotov, George & Shon, Janghoon, 2021. "Eye in the sky: Private satellites and government macro data," Journal of Financial Economics, Elsevier, vol. 141(1), pages 234-254.
    15. Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2021. "The realized volatility of commodity futures: Interconnectedness and determinants#," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 139-151.
    16. Akyildirim, Erdinc & Cepni, Oguzhan & Pham, Linh & Uddin, Gazi Salah, 2022. "How connected is the agricultural commodity market to the news-based investor sentiment?," Energy Economics, Elsevier, vol. 113(C).
    17. Jianhua Ding & Turen Guo & Bin Guo, 2018. "Fat Tails, Value at Risk, and the Palladium Returns," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(2), pages 95-103, May.
    18. Siwen Zhou, 2021. "Exploring the driving forces of the Bitcoin currency exchange rate dynamics: an EGARCH approach," Empirical Economics, Springer, vol. 60(2), pages 557-606, February.
    19. Tanin, Tauhidul Islam & Sarker, Ashutosh & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2021. "Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 214-235.
    20. Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
    21. Osamah Al-Khazali & Elie Bouri & David Roubaud, 2018. "The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin," Economics Bulletin, AccessEcon, vol. 38(1), pages 373-382.
    22. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).

  12. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," CESifo Working Paper Series 5615, CESifo.

    Cited by:

    1. Chikashi Tsuji, 2017. "How Can We Interpret the Estimates of the Full BEKK Model with Asymmetry? The Case of French and German Stock Returns," Business and Economic Research, Macrothink Institute, vol. 7(2), pages 342-351, December.
    2. Suxiao Li & Jakob de Haan & Bert Scholtens, 2018. "Are International Fund Flows Related to Exchange Rate Dynamics?," Open Economies Review, Springer, vol. 29(1), pages 31-48, February.

  13. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2015. "Spillovers between Food and Energy Prices and Structural Breaks," CESifo Working Paper Series 5282, CESifo.

    Cited by:

    1. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2021. "El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach," Working Papers 202179, University of Pretoria, Department of Economics.
    2. Yoon, Seong-Min, 2022. "On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests," Renewable Energy, Elsevier, vol. 199(C), pages 536-545.
    3. Gilbert, Christopher L., 2018. "A Model of Grains Prices with Application to the Impact of Biofuels," 92nd Annual Conference, April 16-18, 2018, Warwick University, Coventry, UK 273492, Agricultural Economics Society.
    4. Monika Roman & Aleksandra Górecka & Joanna Domagała, 2020. "The Linkages between Crude Oil and Food Prices," Energies, MDPI, vol. 13(24), pages 1-18, December.
    5. Aloui, Riadh & Ben Jabeur, Sami & Rezgui, Hichem & Ben Arfi, Wissal, 2023. "Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach," Resources Policy, Elsevier, vol. 85(PB).
    6. Restrepo, Natalia & Uribe, Jorge M. & Manotas, Diego, 2018. "Financial risk network architecture of energy firms," Applied Energy, Elsevier, vol. 215(C), pages 630-642.
    7. Salisu, Afees A. & Vo, Xuan Vinh & Lawal, Adedoyin, 2021. "Hedging oil price risk with gold during COVID-19 pandemic," Resources Policy, Elsevier, vol. 70(C).
    8. Sun, Yunpeng & Gao, Pengpeng & Raza, Syed Ali & Shah, Nida & Sharif, Arshian, 2023. "The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach," Energy, Elsevier, vol. 270(C).
    9. Tiwari, Aviral Kumar & Nasreen, Samia & Shahbaz, Muhammad & Hammoudeh, Shawkat, 2020. "Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals," Energy Economics, Elsevier, vol. 85(C).
    10. Iglesias-Casal, Ana & López-Penabad, María-Celia & López-Andión, Carmen & Maside-Sanfiz, José Manuel, 2020. "Diversification and optimal hedges for socially responsible investment in Brazil," Economic Modelling, Elsevier, vol. 85(C), pages 106-118.
    11. Janda, Karel & Kravec, Peter, 2022. "VECM Modelling of the Price Dynamics for Fuels, Agricultural Commodities and Biofuels," EconStor Preprints 259404, ZBW - Leibniz Information Centre for Economics.
    12. Shahid, Muhammad Naeem & Azmi, Wajahat & Ali, Mohsin & Islam, Muhammad Umar & Rizvi, Syed Aun R., 2023. "Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities," Energy Economics, Elsevier, vol. 120(C).
    13. Cao, Yan & Cheng, Sheng, 2021. "Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices," Resources Policy, Elsevier, vol. 74(C).
    14. Afees A. Salisu & Kingsley Obiora, 2021. "COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
    15. Sonal Devesh & Abdullah M. Asrul Affendi, 2021. "Modelling the Impact of Oil Price on Food Imports: Case of Oman," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 113-120.
    16. Aviral Kumar Tiwari & Rabeh Khalfaoui & Sakiru Adebola Solarin & Muhammad Shahbaz, 2018. "Analyzing the time-frequency lead–lag relationship between oil and agricultural commodities," Post-Print hal-03797590, HAL.
    17. Zhang, Dayong & Broadstock, David C., 2020. "Global financial crisis and rising connectedness in the international commodity markets," International Review of Financial Analysis, Elsevier, vol. 68(C).
    18. Raza, Syed Ali & Guesmi, Khaled & Belaid, Fateh & Shah, Nida, 2022. "Time-frequency causality and connectedness between oil price shocks and the world food prices," Research in International Business and Finance, Elsevier, vol. 62(C).
    19. Stewart, Shamar L. & Isengildina Massa, Olga, 2024. "Food & Oil Price Volatility Dynamics: Insights from a TVP-SVAR-DCC-MIDAS Model," 2024 Annual Meeting, July 28-30, New Orleans, LA 343936, Agricultural and Applied Economics Association.
    20. Taghizadeh-Hesary, Farhad & Rasoulinezhad, Ehsan & Yoshino, Naoyuki, 2018. "Volatility Linkages between Energy and Food Prices: Case of Selected Asian Countries," ADBI Working Papers 829, Asian Development Bank Institute.
    21. Sergio Adriani David & Claudio M. C. Inácio & José A. Tenreiro Machado, 2019. "Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship," Mathematics, MDPI, vol. 7(9), pages 1-25, August.
    22. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    23. Cheng, Natalie Fang Ling & Hasanov, Akram Shavkatovich & Poon, Wai Ching & Bouri, Elie, 2023. "The US-China trade war and the volatility linkages between energy and agricultural commodities," Energy Economics, Elsevier, vol. 120(C).
    24. Cheng, Sheng & Cao, Yan, 2019. "On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework," Energy Economics, Elsevier, vol. 81(C), pages 422-432.
    25. Taghizadeh-Hesary, Farhad & Rasoulinezhad, Ehsan & Yoshino, Naoyuki, 2019. "Energy and Food Security: Linkages through Price Volatility," Energy Policy, Elsevier, vol. 128(C), pages 796-806.
    26. Amrouk, El Mamoun & Grosche, Stephanie-Carolin & Heckelei, Thomas, 2017. "An analysis of the interdependence between cash crop and staple food futures prices," Discussion Papers 265665, University of Bonn, Institute for Food and Resource Economics.
    27. Christopher L. Gilbert & Harriet Kasidi Mugera, 2020. "Competitive Storage, Biofuels and the Corn Price," Journal of Agricultural Economics, Wiley Blackwell, vol. 71(2), pages 384-411, June.
    28. Polat, Onur & Ertuğrul, Hasan Murat & Sakarya, Burçhan & Akgül, Ali, 2024. "TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes," Applied Energy, Elsevier, vol. 357(C).
    29. Algieri, Bernardina & Leccadito, Arturo, 2019. "Ask CARL: Forecasting tail probabilities for energy commodities," Energy Economics, Elsevier, vol. 84(C).
    30. Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
    31. Azeez, Rasheed Oluwaseyi, 2018. "Oil price volatility spillover effects on food prices in Nigeria," MPRA Paper 93188, University Library of Munich, Germany.
    32. 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).
    33. Vo, Long Hai & Le, Thai-Ha, 2021. "Eatery, energy, environment and economic system, 1970–2017: Understanding volatility spillover patterns in a global sample," Energy Economics, Elsevier, vol. 100(C).
    34. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
    35. Navid Kargar Dehbidi & Mansour Zibaei & Mohammad Hassan Tarazkar, 2022. "The effect of climate change and energy shocks on food security in Iran's provinces," Regional Science Policy & Practice, Wiley Blackwell, vol. 14(2), pages 417-437, April.
    36. de Araujo, Fernando Henrique Antunes & Bejan, Lucian & Stosic, Borko & Stosic, Tatijana, 2020. "An analysis of Brazilian agricultural commodities using permutation – information theory quantifiers: The influence of food crisis," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    37. Wu, Fei & Zhang, Dayong & Zhang, Zhiwei, 2019. "Connectedness and risk spillovers in China’s stock market: A sectoral analysis," Economic Systems, Elsevier, vol. 43(3).
    38. Kamaruddin Kamaruddin & Yusri Hazmi & Raja Masbar & Sofyan Syahnur & M. Shabri Abd. Majid, 2021. "Asymmetric Impact of World Oil Prices on Marketing Margins: Application of NARDL Model for the Indonesian Coffee," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 212-220.
    39. Wang, Kai-Hua & Kan, Jia-Min & Qiu, Lianhong & Xu, Shulin, 2023. "Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 256-272.
    40. Shahzad, Farrukh & Bouri, Elie & Mokni, Khaled & Ajmi, Ahdi Noomen, 2021. "Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility," Resources Policy, Elsevier, vol. 74(C).
    41. Ji, Qiang & Bouri, Elie & Roubaud, David & Shahzad, Syed Jawad Hussain, 2018. "Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model," Energy Economics, Elsevier, vol. 75(C), pages 14-27.
    42. 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).
    43. Sima Siami-Namini, 2019. "Volatility Transmission Among Oil Price, Exchange Rate and Agricultural Commodities Prices," Applied Economics and Finance, Redfame publishing, vol. 6(4), pages 41-61, July.
    44. Afees A. Salisu & Raymond Swaray, 2017. "Forecasting the return volatility of energy prices: A GARCH MIDAS approach," Working Papers 029, Centre for Econometric and Allied Research, University of Ibadan.
    45. Dervis Kirikkaleli & Ibrahim Darbaz, 2021. "The Causal Linkage between Energy Price and Food Price," Energies, MDPI, vol. 14(14), pages 1-13, July.
    46. Naeem, Muhammad Abubakr & Karim, Sitara & Hasan, Mudassar & Lucey, Brian M. & Kang, Sang Hoon, 2022. "Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain," Energy Economics, Elsevier, vol. 112(C).
    47. Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
    48. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    49. Maitra, Debasish & Guhathakurta, Kousik & Kang, Sang Hoon, 2021. "The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications," Energy Economics, Elsevier, vol. 94(C).
    50. Candelise, Chiara & Saccone, Donatella & Vallino, Elena, 2021. "An empirical assessment of the effects of electricity access on food security," World Development, Elsevier, vol. 141(C).
    51. Miroslava Ivanova & Lilko Dospatliev, 2023. "Effects of Diesel Price on Changes in Agricultural Commodity Prices in Bulgaria," Mathematics, MDPI, vol. 11(3), pages 1-22, January.
    52. Siami-Namini, Sima & Hudson, Darren, 2017. "Volatility Spillover Between Oil Prices, Us Dollar Exchange Rates And International Agricultural Commodities Prices," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252845, Southern Agricultural Economics Association.
    53. Shokoohi, Zeinab & Saghaian, Sayed, 2022. "Nexus of energy and food nutrition prices in oil importing and exporting countries: A panel VAR model," Energy, Elsevier, vol. 255(C).
    54. Ahmad, Wasim & Hernandez, Jose Arreola & Saini, Seema & Mishra, Ritesh Kumar, 2021. "The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?," Resources Policy, Elsevier, vol. 72(C).
    55. Hanif, Waqas & Areola Hernandez, Jose & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2021. "Tail dependence risk and spillovers between oil and food prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 195-209.
    56. Karel Janda & Ladislav Kristoufek, 2019. "The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management," CAMA Working Papers 2019-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    57. Agus Widarjono & Indah Susantun & Sarastri M. Ruchba & Ari Rudatin, 2020. "Oil and Food Prices for a Net Oil Importing-country: How Are Related in Indonesia?," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 255-263.
    58. Pal, Debdatta & Mitra, Subrata K., 2019. "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, vol. 82(C), pages 453-466.
    59. 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.

  14. Guglielmo Maria Caporale & Faek Menla Ali & Nicola Spagnolo, 2014. "Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach," CESifo Working Paper Series 4881, CESifo.

    Cited by:

    1. Singhal, Shelly & Ghosh, Sajal, 2016. "Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models," Resources Policy, Elsevier, vol. 50(C), pages 276-288.
    2. 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.
    3. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
    4. He, Zhifang, 2020. "Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 131-153.
    5. Xuedi Li & Jie Ma & Zhu Chen & Haitao Zheng, 2018. "Linkage Analysis among China’s Seven Emissions Trading Scheme Pilots," Sustainability, MDPI, vol. 10(10), pages 1-13, September.
    6. Oloko, Tirimisiyu F., 2018. "Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria," Research in International Business and Finance, Elsevier, vol. 45(C), pages 219-232.
    7. Rida Waheed & Chen Wei & Suleman Sarwar & Yulan Lv, 2018. "Impact of oil prices on firm stock return: industry-wise analysis," Empirical Economics, Springer, vol. 55(2), pages 765-780, September.
    8. Guru, Biplab Kumar & Pradhan, Ashis Kumar & Bandaru, Ramakrishna, 2023. "Volatility contagion between oil and the stock markets of G7 countries plus India and China," Resources Policy, Elsevier, vol. 81(C).
    9. Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
    10. Cui xiaozhong, & Yen-Ku, Kuo & Maneengam, Apichit & Cong, Phan The & Quynh, Nguyen Ngoc & Ageli, Mohammed Moosa & Wisetsri, Worakamol, 2022. "Covid-19 and oil and gold price volatilities: Evidence from China market," Resources Policy, Elsevier, vol. 79(C).
    11. You, Wanhai & Guo, Yawei & Zhu, Huiming & Tang, Yong, 2017. "Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression," Energy Economics, Elsevier, vol. 68(C), pages 1-18.
    12. Syeda Beena Zaidi & Abidullah Khan & Shabeer Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abul Ala Noman, 2023. "Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model," Mathematics, MDPI, vol. 11(19), pages 1-17, October.
    13. Alsalman, Zeina, 2016. "Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model," Energy Economics, Elsevier, vol. 59(C), pages 251-260.
    14. Dan Sun, 2024. "RETRACTED ARTICLE: The role of green technology and green utility performance in advancing energy utilities' commitment to sustainability," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-24, April.
    15. Diaz, Elena Maria & Molero, Juan Carlos & Perez de Gracia, Fernando, 2016. "Oil price volatility and stock returns in the G7 economies," Energy Economics, Elsevier, vol. 54(C), pages 417-430.
    16. Śmiech, Sławomir & Papież, Monika & Rubaszek, Michał & Snarska, Małgorzata, 2021. "The role of oil price uncertainty shocks on oil-exporting countries," Energy Economics, Elsevier, vol. 93(C).
    17. Dutta, Anupam & Bouri, Elie & Noor, Md Hasib, 2018. "Return and volatility linkages between CO2 emission and clean energy stock prices," Energy, Elsevier, vol. 164(C), pages 803-810.
    18. Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).
    19. Silvapulle, Param & Smyth, Russell & Zhang, Xibin & Fenech, Jean-Pierre, 2017. "Nonparametric panel data model for crude oil and stock market prices in net oil importing countries," Energy Economics, Elsevier, vol. 67(C), pages 255-267.
    20. Suleman Sarwar & Rida Waheed & Mehnoor Amir & Muqaddas Khalid, 2018. "Role of Energy on Economy The Case of Micro to Macro Level Analysis," Economics Bulletin, AccessEcon, vol. 38(4), pages 1905-1926.
    21. Melike E. Bildirici & Memet Salman & Özgür Ömer Ersin, 2022. "Nonlinear Contagion and Causality Nexus between Oil, Gold, VIX Investor Sentiment, Exchange Rate and Stock Market Returns: The MS-GARCH Copula Causality Method," Mathematics, MDPI, vol. 10(21), pages 1-16, October.
    22. Yufeng Chen & Wenqi Li & Xi Jin, 2018. "Volatility Spillovers between Crude Oil Prices and New Energy Stock Price in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 43-62, December.
    23. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Zhu, Bo, 2021. "Oil shocks and stock market volatility: New evidence," Energy Economics, Elsevier, vol. 103(C).
    24. Umar, Zaghum & Mokni, Khaled & Manel, Youssef & Gubareva, Mariya, 2024. "Dynamic spillover between oil price shocks and technology stock indices: A country level analysis," Research in International Business and Finance, Elsevier, vol. 69(C).
    25. Ren, Xiaohang & Qin, Jianing & Jin, Chenglu & Yan, Cheng, 2022. "Global oil price uncertainty and excessive corporate debt in China," Energy Economics, Elsevier, vol. 115(C).
    26. Khaled Guesmi & Zied Fiti & Ilyes Abid & Gazi Salah Uddin, 2016. "On the Time Varying Relationship between Oil Price and G7 Equity index: a Multivariate Approach," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 13(1), pages 67-79, June.
    27. Li, Jingpeng & Umar, Muhammad & Huo, Jiale, 2023. "The spillover effect between Chinese crude oil futures market and Chinese green energy stock market," Energy Economics, Elsevier, vol. 119(C).
    28. Zhang, Jin & Xie, Mingjia, 2016. "China's oil product pricing mechanism: What role does it play in China's macroeconomy?," China Economic Review, Elsevier, vol. 38(C), pages 209-221.
    29. Zhifang He & Jiaqi Chen & Fangzhao Zhou & Guoqing Zhang & Fenghua Wen, 2022. "Oil price uncertainty and the risk‐return relation in stock markets: Evidence from oil‐importing and oil‐exporting countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1154-1172, January.
    30. Evangelos Kyritsis and Apostolos Serletis, 2019. "Oil Prices and the Renewable Energy Sector," The Energy Journal, International Association for Energy Economics, vol. 0(The New E).
    31. Dutta, Anupam, 2018. "A note on the implied volatility spillovers between gold and silver markets," Resources Policy, Elsevier, vol. 55(C), pages 192-195.
    32. Coskun, Merve & Taspinar, Nigar, 2022. "Volatility spillovers between Turkish energy stocks and fossil fuel energy commodities based on time and frequency domain approaches," Resources Policy, Elsevier, vol. 79(C).
    33. Xi, Zenglei & Yu, Jinxiu & Sun, Qingru & Zhao, Wenqi & Wang, He & Zhang, Shuo, 2023. "Measuring the multi-scale price transmission effects from crude oil to energy stocks: A cascaded view," International Review of Financial Analysis, Elsevier, vol. 90(C).
    34. Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017. "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 34-48.
    35. Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
    36. Jinghua Wang & Geoffrey Ngene, 2018. "Symmetric and asymmetric nonlinear causalities between oil prices and the U.S. economic sectors," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 199-218, July.
    37. Zhang, Xiaoyu & Zhou, Jinlan & Du, Xiaodong, 2022. "Impact of oil price uncertainty shocks on China’s macro-economy," Resources Policy, Elsevier, vol. 79(C).
    38. Christopher Thiem, 2018. "Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3735-3751, July.
    39. Kirkulak-Uludag, Berna & Safarzadeh, Omid, 2018. "The interactions between OPEC oil price and sectoral stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 631-641.
    40. Zhang, Chuanguo & Mou, Xinjie & Ye, Shuping, 2022. "How do dynamic jumps in global crude oil prices impact China's industrial sector?," Energy, Elsevier, vol. 249(C).
    41. Xinheng Liu & Shuxian Li & Chengbo Fu & Xu Gong & Chen Fan, 2024. "The oil price plummeted in 2014–2015: Is there an effect on Chinese firms' labour investment?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 943-960, January.
    42. Adekunle, Wasiu & Bagudo, Abubakar M. & Odumosu, Monsuru & Inuolaji, Suraj B., 2020. "Predicting stock returns using crude oil prices: A firm level analysis of Nigeria's oil and gas sector," Resources Policy, Elsevier, vol. 68(C).
    43. Xiaojuan He & Dervis Kirikkaleli & Melike Torun & Zecheng Li, 2021. "Modeling Economic Risk in the QISMUT Countries: Evidence From Nonlinear Cointegration Tests," SAGE Open, , vol. 11(4), pages 21582440211, October.
    44. Xiao, Jihong & Chen, Xian & Li, Yang & Wen, Fenghua, 2022. "Oil price uncertainty and stock price crash risk: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
    45. Song, Xinyu & Yang, Baochen, 2022. "Oil price uncertainty, corporate governance and firm performance," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 469-487.
    46. Narjess Bouslama, 2023. "Interdependence between the BRICS Stock Markets and the Oil Price since the Onset of Financial and Economic Crises," JRFM, MDPI, vol. 16(7), pages 1-22, June.
    47. Luo, Xingguo & Qin, Shihua, 2017. "Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index," Finance Research Letters, Elsevier, vol. 20(C), pages 29-34.
    48. Zhao, Jing & Cui, Luansong & Liu, Weiguo & Zhang, Qiwen, 2023. "Extreme risk spillover effects of international oil prices on the Chinese stock market: A GARCH-EVT-Copula-CoVaR approach," Resources Policy, Elsevier, vol. 86(PB).
    49. Fan, Zhenjun & Zhang, Zongyi & Zhao, Yanfei, 2021. "Does oil price uncertainty affect corporate leverage? Evidence from China," Energy Economics, Elsevier, vol. 98(C).
    50. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2020. "Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets," Energy, Elsevier, vol. 207(C).
    51. Sarwar, Suleman & Tiwari, Aviral Kumar & Tingqiu, Cao, 2020. "Analyzing volatility spillovers between oil market and Asian stock markets," Resources Policy, Elsevier, vol. 66(C).
    52. Liu, Feng & Shao, Shuai & Zhang, Chuanguo, 2020. "How do China's petrochemical markets react to oil price jumps? A comparative analysis of stocks and commodities," Energy Economics, Elsevier, vol. 92(C).
    53. Abhibasu Sen & Karabi Dutta Chaudhury, 2019. "On the Co-movement of Crude, Gold Prices and Stock Index in Indian Market," Papers 1904.05317, arXiv.org.
    54. Tumala, Mohammed M. & Salisu, Afees A. & Gambo, Ali I., 2023. "Disentangled oil shocks and stock market volatility in Nigeria and South Africa: A GARCH-MIDAS approach," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 707-717.
    55. Hamdi, Besma & Aloui, Mouna & Alqahtani, Faisal & Tiwari, Aviral, 2019. "Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis," Energy Economics, Elsevier, vol. 80(C), pages 536-552.
    56. Li, Li & Chen, Hongyi & Xiang, Jingjie, 2023. "Oil price uncertainty, financial distress and real economic activities: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
    57. T.-H. Le & Sabri Boubaker & M.T. Bui & D. Park, 2023. "On the Volatility of WTI Crude Oil Prices: A Time-Varying Approach with Stochastic Volatility," Post-Print hal-04433059, HAL.
    58. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
    59. Vesarach Aumeboonsuke, 2021. "Commodity Prices and the Stock Market in Thailand," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 34-40.
    60. Kirkulak-Uludag, Berna & Safarzadeh, Omid, 2021. "Exploring shock and volatility transmission between oil and Chinese industrial raw materials," Resources Policy, Elsevier, vol. 70(C).
    61. Zhang, Xiang & Zhang, Zongyi & Zhou, Han, 2020. "Oil price uncertainty and cash holdings: Evidence from China," Energy Economics, Elsevier, vol. 87(C).
    62. Thomas C. Chiang & Yuanqing Zhang, 2018. "An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data," IJFS, MDPI, vol. 6(2), pages 1-22, March.
    63. Saif Siddiqui & Preeti Roy, 2019. "Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(6), pages 1597-1611.
    64. Wei, Yanfeng & Guo, Xiaoying, 2017. "Oil price shocks and China's stock market," Energy, Elsevier, vol. 140(P1), pages 185-197.
    65. Ekhlas Al-hajj & Usama Al-Mulali & Sakiru Adebola Solarin, 2021. "Exploring the nexus between oil price shocks and sectoral stock returns: a new evidence from stock exchange in Malaysia," Economic Change and Restructuring, Springer, vol. 54(1), pages 199-217, February.
    66. Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi, 2020. "The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?," Energies, MDPI, vol. 13(15), pages 1-22, July.
    67. Sarwar, Suleman & Shahbaz, Muhammad & Anwar, Awais & Tiwari, Aviral Kumar, 2019. "The importance of oil assets for portfolio optimization: The analysis of firm level stocks," Energy Economics, Elsevier, vol. 78(C), pages 217-234.
    68. Chen, Qian & Lv, Xin, 2015. "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 121-132.
    69. Woo, Chiew Eng & Kun, Sek Siok, 2019. "Examining Asymmetric Oil Price Exposure to Assets Return in Malaysia: A Nonlinear ARDL Approach," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(3), pages 23-41.
    70. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
    71. Xiao, Jihong & Zhou, Min & Wen, Fengming & Wen, Fenghua, 2018. "Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index," Energy Economics, Elsevier, vol. 74(C), pages 777-786.
    72. Khalid M. Kisswani & Mohammad I. Elian, 2017. "Do Oil Prices Affect Kuwait Sectoral Stock Prices? Non-Linear Cointegration Evidence," Working Papers 1141, Economic Research Forum, revised 09 2003.
    73. Babak Fazelabdolabadi, 2019. "Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-20, December.
    74. Huiming Zhu & Xianfang Su & Yawei Guo & Yinghua Ren, 2016. "The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective," Sustainability, MDPI, vol. 8(8), pages 1-19, August.
    75. Seval Mutlu Camoglu, 2021. "The Impacts of Oil Prices, Exchange Rate and COVID-19 Pandemic on BIST Petrochemical Market," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 7(1), pages 17-33, June.
    76. Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
    77. Felix Chukwubuzo Alio & Victor O. Okolo & Obiamaka P. Egbo & Hillary Chijindu Ezeaku, 2019. "Energy Prices and the Nigerian Stock Market," International Journal of Energy Economics and Policy, Econjournals, vol. 9(6), pages 33-37.
    78. Alexey Mikhaylov & Ishaq M. Bhatti & Hasan Dinçer & Serhat Yüksel, 2024. "Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 305-338, January.
    79. Chowdhury, Kushal Banik & Garg, Bhavesh, 2023. "Fresh evidence on the oil-stock interactions under heterogeneous market conditions," Finance Research Letters, Elsevier, vol. 54(C).
    80. Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
    81. Wang, Xunxiao & Wang, Yudong, 2019. "Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective," Energy Economics, Elsevier, vol. 80(C), pages 995-1009.
    82. Faiza Siddiqui & Yusheng Kong & Hyder Ali & Salma Naz, 2024. "Energy-Related Uncertainty and Idiosyncratic Return Volatility: Implications for Sustainable Investment Strategies in Chinese Firms," Sustainability, MDPI, vol. 16(17), pages 1-39, August.
    83. Zeinedini, Sh & Karimi, M. Sh & Khanzadi, A., 2022. "Impact of global oil and gold prices on the Iran stock market returns during the Covid-19 pandemic using the quantile regression approach," Resources Policy, Elsevier, vol. 76(C).
    84. Parminder KAUR & Ravi SINGLA, 2023. "Asymmetric Effects of Commodity Prices on Stock Returns of BRICS Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 145-164, March.
    85. Khalid M. Kisswani & Mohammad I. Elian, 2017. "Exploring the nexus between oil prices and sectoral stock prices: Nonlinear evidence from Kuwait stock exchange," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1286061-128, January.
    86. Sema Bayraktar & Thomas C. Chiang, 2017. "Comovements of Stock Markets between Turkey and Global Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 250-275, June.
    87. Basit Ali & Dilawar Khan & Muhammad Shafiq & Róbert Magda & Judit Oláh, 2022. "The Asymmetric Impact of Oil Price Shocks on Sectoral Returns in Pakistan: Evidence from the Non-Linear ARDL Approach," Economies, MDPI, vol. 10(2), pages 1-15, February.
    88. Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi & Lain-Tze Tee & Noor Azlan Ghazali, 2023. "Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks," SAGE Open, , vol. 13(3), pages 21582440231, July.
    89. Yang, Baochen & Song, Xinyu, 2023. "Does oil price uncertainty matter in firm innovation? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 88(C).
    90. Mensi, Walid & Hanif, Waqas & Vo, Xuan Vinh & Choi, Ki-Hong & Yoon, Seong-Min, 2023. "Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    91. Nikolaos Sariannidis & Grigoris Giannarakis & Eleni Zafeiriou & Ioannis Billias, 2016. "The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone," International Journal of Energy Economics and Policy, Econjournals, vol. 6(2), pages 356-363.

  15. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Bond Yield Spreads in the Euro Area," CESifo Working Paper Series 5008, CESifo.

    Cited by:

    1. Conterius, Simeon & Akimov, Alexandr & Su, Jen-Je & Roca, Eduardo, 2023. "Do foreign investors have a positive impact on the domestic government bonds market? A panel pooled mean group approach," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 863-875.
    2. González, Luis Otero & Razia, Alaa & Búa, Milagros Vivel & Sestayo, Rubén Lado, 2019. "Market structure, performance, and efficiency: Evidence from the MENA banking sector," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 84-101.
    3. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Macro News and Commodity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 68-80, January.
    4. Chi-Wei Su & Xu-Yu Cai & Ran Tao, 2020. "Can Stock Investor Sentiment Be Contagious in China?," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
    5. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "The impact of business and political news on the GCC stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    6. Graham Bird & Wenti Du & Thomas Willett, 2017. "Behavioral Finance and Efficient Markets: What does the Euro Crisis Tell us?," Open Economies Review, Springer, vol. 28(2), pages 273-295, April.
    7. Boonman, Tjeerd & Litsios, Ioannis & Pilbeam, Keith & Pouliot, William, 2022. "Modelling the trade balance between the northern and southern eurozone using an intertemporal approach," Journal of International Money and Finance, Elsevier, vol. 121(C).
    8. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Cross-border portfolio flows and news media coverage," Journal of International Money and Finance, Elsevier, vol. 126(C).
    9. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    10. Graham Bird & Wenti Du & Eric Pentecost & Thomas Willett, 2017. "Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15," The World Economy, Wiley Blackwell, vol. 40(12), pages 2530-2542, December.
    11. da Silva, Tarciso Gouveia & de Carvalho Guillén, Osmani Teixeira & Morcerf, George Augusto Noronha & de Melo Modenesi, Andre, 2022. "Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17)," Emerging Markets Review, Elsevier, vol. 52(C).
    12. Tarciso Gouveia da Silva & Osmani Teixeira de Carvalho Guillén & George Augusto Noronha Morcerf & Andre de Melo Modenesi, 2020. "Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17)," Working Papers Series 536, Central Bank of Brazil, Research Department.
    13. Wildmer Daniel Gregori & Wildmer Agnese Sacchi, 2016. "Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions," Mo.Fi.R. Working Papers 134, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    14. Philipp Mohl & Gilles Mourre & Sven Langedijk & Martijn Hoogeland, 2021. "Does Media Visibility Make EU Fiscal Rules More Effective?," European Economy - Discussion Papers 155, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    15. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
    16. Bruce Burton & Satish Kumar & Nitesh Pandey, 2020. "Twenty-five years of The European Journal of Finance (EJF): a retrospective analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 26(18), pages 1817-1841, December.
    17. Gregori, Wildmer Daniel & Sacchi, Agnese, 2019. "Has the Grexit news affected euro area financial markets?," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 71-84.
    18. Mohsin Waheed & Zulfiqar Hyder, 2023. "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," SBP Working Paper Series 112, State Bank of Pakistan, Research Department.

  16. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis," CESifo Working Paper Series 4912, CESifo.

    Cited by:

    1. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Bond Yield Spreads in the Euro Area," Discussion Papers of DIW Berlin 1413, DIW Berlin, German Institute for Economic Research.
    2. Zana Grigaliuniene & Dmitrij Celov & Christopher A. Hartwell, 2018. "The More the Merrier? The Reaction of Euro Area Stock Markets to New Members," BAFES Working Papers BAFES20, Department of Accounting, Finance & Economic, Bournemouth University.
    3. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Macro News and Commodity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 68-80, January.
    4. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "The impact of business and political news on the GCC stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    5. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Cross-border portfolio flows and news media coverage," Journal of International Money and Finance, Elsevier, vol. 126(C).
    6. da Silva, Tarciso Gouveia & de Carvalho Guillén, Osmani Teixeira & Morcerf, George Augusto Noronha & de Melo Modenesi, Andre, 2022. "Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17)," Emerging Markets Review, Elsevier, vol. 52(C).
    7. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    8. Salisu, Afees A. & Akanni, Lateef O. & Vo, Xuan Vinh, 2021. "Volatility spillovers and hedging effectiveness between health and tourism stocks: Empirical evidence from the US," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 150-159.
    9. Teplova, T. & Sokolova, T. & Tomtosov, A. & Buchko, D. & Nikulin, D., 2022. "The sentiment of private investors in explaining the differences in the trade characteristics of the Russian market stocks," Journal of the New Economic Association, New Economic Association, vol. 53(1), pages 53-84.
    10. Tarciso Gouveia da Silva & Osmani Teixeira de Carvalho Guillén & George Augusto Noronha Morcerf & Andre de Melo Modenesi, 2020. "Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17)," Working Papers Series 536, Central Bank of Brazil, Research Department.
    11. Cagliesi, Gabriella & Guidi, Francesco, 2021. "A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    12. Konstantinos Gkillas & Paraskevi Katsiampa & Dimitrios I. Vortelinos & Mark E. Wohar, 2023. "Greek government‐debt crisis events and European financial markets: News surprises on Greek bond yields and inter‐relations of European financial markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4037-4054, October.
    13. Gregori, Wildmer & Sacchi, Agnese, 2017. "Has the Grexit news affected euro area financial markets?," JRC Working Papers in Economics and Finance 2017-13, Joint Research Centre, European Commission.
    14. Foroutan, Parisa & Lahmiri, Salim, 2022. "The effect of COVID-19 pandemic on return-volume and return-volatility relationships in cryptocurrency markets," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
    15. Vellachami, Sanggetha & Hasanov, Akram Shavkatovich & Brooks, Robert, 2023. "Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
    16. Christos Ioannidis & Kook Ka, 2021. "Economic Policy Uncertainty and Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1479-1522, September.
    17. Cao, Zhen & Han, Liyan & Zhang, Qunzi, 2022. "Stock return predictability in China: Power of oil price trend," Finance Research Letters, Elsevier, vol. 47(PA).

  17. Faik Koray & K. Peren Arin & Nicola Spagnolo, 2013. "Fiscal Multipliers in Good Times and Bad Times," Departmental Working Papers 2013-08, Department of Economics, Louisiana State University.

    Cited by:

    1. Jair N. Ojeda-Joya & Oscar E. Guzman, 2017. "The Size of Fiscal Multipliers and the Stance of Monetary Policy in Developing Economies," Borradores de Economia 1010, Banco de la Republica de Colombia.
    2. Chibi Abderrahim & Chekouri Sidi Mohamed & Benbouziane Mohamed, 2019. "The Impact of Fiscal Policy on Economic Activity over the Business Cycle: An Empirical Investigation in the Case of Algeria," Review of Middle East Economics and Finance, De Gruyter, vol. 15(3), pages 1-23, December.
    3. Alexandra Fotiou & Ms. Wenyi Shen & Susan Yang Shu-Chun, 2020. "The Fiscal State-Dependent Effects of Capital Income Tax Cuts," IMF Working Papers 2020/071, International Monetary Fund.
    4. Simon Naitram & Justin Carter & Shane Lowe, 2015. "Three states of fiscal multipliers in a small open economy," Economics Bulletin, AccessEcon, vol. 35(1), pages 720-728.
    5. Susana Párraga Rodríguez, 2016. "The dynamic effect of public expenditure shocks in the United States," Working Papers 1628, Banco de España.
    6. K. Peren Arin & Kevin Devereux & Mieszko Mazur, 2021. "Taxes and Firm Investment," Working Papers 202102, School of Economics, University College Dublin.
    7. Cem Cebi & K. Azim Ozdemir, 2016. "Cyclical Variation of Fiscal Multiplier in Turkey," Working Papers 1619, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    8. Fleischhacker, Jan, 2024. "Fiscal policy and the business cycle: An argument for non-linear policy rules," MPRA Paper 122497, University Library of Munich, Germany.
    9. Wifag Adnan & Kerim Peren Arin & Aysegul Corakci & Nicola Spagnolo, 2022. "On the heterogeneous effects of tax policy on labor market outcomes," Southern Economic Journal, John Wiley & Sons, vol. 88(3), pages 991-1036, January.
    10. Sangyup Choi & Junhyeok Shin, 2022. "Household Indebtedness and the Macroeconomic Effects of Tax Changes," CAMA Working Papers 2022-56, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Mark Setterfield, 2015. "Time variation in the size of the multiplier: a Kalecki-Harrod approach," Working Papers 1522, New School for Social Research, Department of Economics, revised Jan 2017.
    12. Dennis Bonam & Paul Konietschke, 2020. "Tax multipliers across the business cycle," Working Papers 699, DNB.
    13. D. J. Penzin & E. T. Adamgbe, 2019. "Estimation of Fiscal Multipliers and Its Macroeconomic Impact: The Case of Nigeria," Economic and Financial Review, Central Bank of Nigeria, vol. 57(2), June.
    14. Amaral Haddad, Eduardo & Cotarelli, Natalia & Vale, Vinicius, 2018. "On the Numerical Structure of Local and Nationwide Government Spending Multipliers: What Can We Learn from the Greek Crisis?," TD NEREUS 2-2018, Núcleo de Economia Regional e Urbana da Universidade de São Paulo (NEREUS).
    15. Romano, Simone, 2018. "Fiscal foresight: Do expectations have cross-border effects?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 71-82.
    16. Djuric, Uros & Neugart, Michael, 2017. "Helicopter money: survey evidence on expectation formation and consumption behavior," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168062, Verein für Socialpolitik / German Economic Association.
    17. Gilles Dufrénot & Aurélia Jambois & Laurine Jambois & Guillaume Khayat, 2016. "Regime-Dependent Fiscal Multipliers in the United States," Post-Print hal-01447865, HAL.
    18. Koiti Yano, 2020. "Government spending and multi-category treatment effects:The modified conditional independence assumption," Papers 2007.08396, arXiv.org, revised Aug 2020.
    19. Sims, Eric & Wolff, Jonathan, 2018. "The state-dependent effects of tax shocks," European Economic Review, Elsevier, vol. 107(C), pages 57-85.
    20. Herrera, Ana María & Rangaraju, Sandeep Kumar, 2019. "The quantitative effects of tax foresight: Not all states are equal," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    21. Dimitrios DIMITRIOU & Anastasios PAPPAS, 2018. "The fiscal policy impact to the Greek economy: Asymmetric evidence from a switching regime approach," Journal of Economics and Political Economy, KSP Journals, vol. 5(1), pages 121-131, March.
    22. Saccone, Donatella & Posta, Pompeo Della & Marelli, Enrico & Signorelli, Marcello, 2022. "Public investment multipliers by functions of government: An empirical analysis for European countries," Structural Change and Economic Dynamics, Elsevier, vol. 60(C), pages 531-545.
    23. Ziegenbein, Alexander, 2024. "When are tax multipliers large?," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    24. Demirel, Ufuk Devrim, 2021. "The short-term effects of tax changes: The role of state dependence," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 918-934.
    25. Stamegna, Marco & Bonaiuti, Chiara & Maranzano, Paolo & Pianta, Mario, 2024. "The economic impact of arms spending in Germany, Italy, and Spain," MPRA Paper 120608, University Library of Munich, Germany.
    26. El Mostafa Bentour, 2022. "The effects of public debt accumulation and business cycle on government spending multipliers," Applied Economics, Taylor & Francis Journals, vol. 54(19), pages 2231-2256, April.
    27. Rangaraju, Sandeep Kumar & Herrera, Ana María, 2021. "Tax news in good and bad times," Economics Letters, Elsevier, vol. 207(C).
    28. Pragidis, I.C. & Tsintzos, P. & Plakandaras, B., 2018. "Asymmetric effects of government spending shocks during the financial cycle," Economic Modelling, Elsevier, vol. 68(C), pages 372-387.
    29. Lucian Croitoru, 2018. "How Countries’ Different Attitudes towards Inflation can thwart the European Dream," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 21(70), pages 2-41, December.

  18. Guglielmo Maria Caporale & Faek Menla Ali & Nicola Spagnolo, 2013. "Exchange Rate Uncertainty and International Portfolio Flows," CESifo Working Paper Series 4234, CESifo.

    Cited by:

    1. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    2. Tan, A.C. & McAleer, M.J., 2017. "Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management," Econometric Institute Research Papers 17-069/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Reaz, Md & Mahat, Fauziah & Dahir, Ahmed Mohamed & Sahabuddin, Mohammad & Al Mahi, Abu Saad Md Masnun, 2017. "Exchange rate volatility and financial performance of agriculture firms in Malaysia: An empirical analysis using GARCH, wavelet and system GMM," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(3).
    4. Odili Okwuchukwu, 2015. "Exchange Rate Volatility, Stock Market Performance and Foreign Direct Investment in Nigeria," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 5(2), pages 172-184, April.
    5. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," CESifo Working Paper Series 5615, CESifo.
    6. Shuping Li & Xinghua Liu & Chongren Wang, 2020. "The Influence of Internet Finance on the Sustainable Development of the Financial Ecosystem in China," Sustainability, MDPI, vol. 12(6), pages 1-15, March.

  19. Martín Solá & Zacharias Psaradakis & Fabio Spagnolo & Nicola Spagnolo, 2010. "Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities," Department of Economics Working Papers 2010-12, Universidad Torcuato Di Tella.

    Cited by:

    1. Marie Bessec, 2019. "Revisiting the transitional dynamics of business-cycle phases with mixed-frequency data," Post-Print hal-02181552, HAL.
    2. Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.
    3. Khayat, Guillaume A., 2018. "The impact of setting negative policy rates on banking flows and exchange rates," Economic Modelling, Elsevier, vol. 68(C), pages 1-10.
    4. Zacharias Psaradakis & Martin Sola, 2017. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Birkbeck Working Papers in Economics and Finance 1702, Birkbeck, Department of Economics, Mathematics & Statistics.
    5. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2022. "Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities," Econometrica, Econometric Society, vol. 90(4), pages 1681-1710, July.
    6. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2016. "Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes," Department of Economics Working Papers 2016_04, Universidad Torcuato Di Tella.

  20. John Beirne & Guglielmo Maria Caporale & Nicola Spagnolo, 2010. "Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach," CESifo Working Paper Series 3115, CESifo.

    Cited by:

    1. Michael Funke & Yu-Fu Chen, 2010. "Global warming and extreme events: Rethinking the timing and intensity of environment policy," Quantitative Macroeconomics Working Papers 21007b, Hamburg University, Department of Economics.
    2. Cécile Bastidon & Nicolas Huchet & Yusuf Kocoðlu, 2013. "A Second Dip in the Euro Area Money Market in 2011? Interbank Risk Premia and the ECB Bonds and Money Markets Policy," The Journal of European Theoretical and Applied Studies, The Center for European Studies at Kirklareli University - Turkey, vol. 1(1), pages 11-52.
    3. Piotr Fiszeder & Ilona Pietryka, 2018. "Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland: a comparative analysis," Empirical Economics, Springer, vol. 55(2), pages 445-470, September.

  21. Guglielmo Maria Caporale & Nicola Spagnolo, 2010. "Stock Market Integration between three CEECs, Russia and the UK," CESifo Working Paper Series 2978, CESifo.

    Cited by:

    1. A., Rjumohan, 2019. "Stock Markets: An Overview and A Literature Review," MPRA Paper 101855, University Library of Munich, Germany.
    2. Fowowe, Babajide & Shuaibu, Mohammed, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, vol. 148(C), pages 59-80.
    3. Houda Rharrabti, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," Working Papers hal-04141380, HAL.
    4. Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris Nanterre, EconomiX.
    5. Muhammad Hanif & Ariba Sabah, 2020. "Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 43-71.
    6. Vlasova, E. & Luo, D., 2022. "Volatility spillover between the Russia-India-China triad and the United States: A multivariate generalized autoregressive conditional heteroscedasticity analysis," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 111-128.
    7. Tam, Pui Sun & Tam, Pui I., 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers 2012-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Billio, Monica & Donadelli, Michael & Paradiso, Antonio & Riedel, Max, 2016. "Which market integration measure?," SAFE Working Paper Series 159, Leibniz Institute for Financial Research SAFE.
    9. RNuket Kirci Cevik & Sel Dibooglu & Ali M. Kutan, 2016. "Real and Financial Sector Studies in Central and Eastern Europe: A Review," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(1), pages 2-31, February.
    10. Izunna Anyikwa & Micheal Brookes & Pierre Le Roux, 2018. "African stock markets integration: an analysis of the relationship between major stock markets in Africa," Working Papers 1812, Department of Economics, Nelson Mandela University, revised Mar 2018.
    11. Adriana AnaMaria Davidescu & Eduard Mihai Manta & Razvan Gabriel Hapau & Mihaela Gruiescu & Oana Mihaela Vacaru (Boita), 2023. "Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets," Mathematics, MDPI, vol. 11(3), pages 1-50, January.
    12. Karatetskaya Efrosiniya & Lakshina Valeriya, 2018. "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers WP BRP 72/FE/2018, National Research University Higher School of Economics.
    13. Fedorova, Elena, 2011. "Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective," BOFIT Discussion Papers 24/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
    14. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
    15. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2017. "Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration," Data, MDPI, vol. 2(4), pages 1-28, December.
    16. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".
    17. 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.
    18. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2012. "The cross-country importance of global sentiments—evidence for smaller EU countries," International Economics and Economic Policy, Springer, vol. 9(3), pages 245-264, September.
    19. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2014. "Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 118-127.
    20. 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.
    21. Urazbaeva, A. R. & Voytenkov, V. A. & Groznykh, R. I., 2020. "The analysis of COVID-19 impact on the internet and telecommunications service sector through modelling the dependence of shares of Russian companies on the American stock market," R-Economy, Ural Federal University, Graduate School of Economics and Management, vol. 6(3), pages 162-170.
    22. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
    23. Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.
    24. Marinela Adriana Finta & Bart Frijns & Alireza Tourani-Rad, 2019. "Time-varying contemporaneous spillovers during the European Debt Crisis," Empirical Economics, Springer, vol. 57(2), pages 423-448, August.
    25. Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    26. Malgorzata Doman & Ryszard Doman, 2013. "The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 5-32.
    27. Beylunioglu Fuat C. & Stengos Thanasis & Yazgan M. Ege, 2017. "Detecting capital market convergence clubs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-14, June.

  22. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series 2794, CESifo.

    Cited by:

    1. Roni Bhowmik & Abbas Ghulam & Wang Shouyang, 2018. "Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 97-119, April.
    2. Kearney, Colm, 2012. "Emerging markets research: Trends, issues and future directions," Emerging Markets Review, Elsevier, vol. 13(2), pages 159-183.
    3. Jung-Bin Su, 2022. "The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives," Mathematics, MDPI, vol. 10(8), pages 1-38, April.
    4. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
    5. Guglielmo Maria Caporale & Nicola Spagnolo, 2024. "US municipal green bonds and financial integration," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 8, pages 192-205, Edward Elgar Publishing.
    6. Fowowe, Babajide & Shuaibu, Mohammed, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, vol. 148(C), pages 59-80.
    7. Azimova, Tarana, 2022. "Modelling volatility transmission in regional Asian stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    8. Jan F. Kiviet & Zhenxi Chen, 2016. "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series 1606, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    9. Shawkat Hammoudeh & Sang Hoon Kang & Walid Mensi & Duc Khuong Nguyen, 2016. "Dynamic Global Linkages of the BRICS Stock Markets with the United States and Europe Under External Crisis Shocks: Implications for Portfolio Risk Forecasting," The World Economy, Wiley Blackwell, vol. 39(11), pages 1703-1727, November.
    10. Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
    11. Palomba, Giulio & Tedeschi, Marco, 2024. "Contagion among European financial indices, evidence from a quantile VAR approach," Economic Systems, Elsevier, vol. 48(2).
    12. Debalke, Negash Mulatu, 2023. "Investigating Volatility Transmissions among Sovereign Bonds in African and Emerging Markets Using Multivariate GARCH Models," MPRA Paper 118447, University Library of Munich, Germany.
    13. Mahmud, Nurrul Iiyana & Masih, Mansur, 2016. "Are shariah (islamic) stock market returns stable ? evidence from the select islamic stock indices of emerging markets, USA, UK and Japan," MPRA Paper 101879, University Library of Munich, Germany.
    14. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    15. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
    16. Guidi, Francesco & Ugur, Mehmet, 2012. "Are South East Europe stock markets integrated with regional and global stock markets?," MPRA Paper 44133, University Library of Munich, Germany, revised Dec 2012.
    17. Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
    18. Long, Wen & Guo, Ying & Wang, Ying, 2021. "Information spillover features in global financial markets: A systematic analysis," Research in International Business and Finance, Elsevier, vol. 57(C).
    19. Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris Nanterre, EconomiX.
    20. Miralles-Quirós, José Luis & Miralles-Quirós, María del Mar, 2017. "The Copula ADCC-GARCH model can help PIIGS to fly," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 1-12.
    21. Usman M. Umer, Metin Coskun, Kasim Kiraci, 2018. "Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(1), pages 23-42, March.
    22. Shen, Yifan, 2018. "International risk transmission of stock market movements," Economic Modelling, Elsevier, vol. 69(C), pages 220-236.
    23. Kiviet Jan F., 2017. "Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-9, January.
    24. Wang, Jie & Xue, Weina & Song, Jiashan, 2022. "Economic policy uncertainty and industry risk on China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    25. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    26. Dimitrios Kartsonakis-Mademlis & Nikolaos Dritsakis, 2020. "Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 164-182.
    27. Sun, Qingru & Gao, Xiangyun & An, Haizhong & Guo, Sui & Liu, Xueyong & Wang, Ze, 2021. "Which time-frequency domain dominates spillover in the Chinese energy stock market?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    28. Dufrénot, Gilles & Keddad, Benjamin, 2014. "Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 17-32.
    29. 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.
    30. Massaporn Cheuathonghua & Chaiyuth Padungsaksawasdi & Pattana Boonchoo & Jittima Tongurai, 2019. "Extreme spillovers of VIX fear index to international equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 1-38, March.
    31. Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
    32. Saurabh Ghosh, 2014. "Volatility spillover in the foreign exchange market: the Indian experience," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(1), pages 175-194, March.
    33. Khamis Hamed Al‐Yahyaee & Syed Jawad Hussain Shahzad & Walid Mensi & Seong‐Min Yoon, 2021. "Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2904-2926, April.
    34. Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Does foreign portfolio investment strengthen stock-commodity markets connection?," Resources Policy, Elsevier, vol. 65(C).
    35. Gilles de Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Post-Print hal-01549713, HAL.
    36. 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).
    37. Marfatia, Hardik A., 2020. "Investors’ risk perceptions in the US and global stock market integration," Research in International Business and Finance, Elsevier, vol. 52(C).
    38. 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.
    39. Bhuyan, Rafiqul & Robbani, Mohammad G. & Talukdar, Bakhtear & Jain, Ajeet, 2016. "Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 180-195.
    40. Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024. "Time-varying multivariate causal processes," Journal of Econometrics, Elsevier, vol. 240(1).
    41. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2015. "Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 241-259.
    42. He, Xiaojuan & Mishra, Shekhar & Aman, Ameenullah & Shahbaz, Muhammad & Razzaq, Asif & Sharif, Arshian, 2021. "The linkage between clean energy stocks and the fluctuations in oil price and financial stress in the US and Europe? Evidence from QARDL approach," Resources Policy, Elsevier, vol. 72(C).
    43. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
    44. Györfy Lehel & Madaras Szilárd, 2019. "The Influence of Self-Employment on Early-Stage Entrepreneurship in Romania. A Global Entrepreneurship Monitor-Based Analysis," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 7(1), pages 23-35, December.
    45. Habibi, Hamidreza & Mohammadi, Hassan, 2022. "Return and volatility spillovers across the Western and MENA countries," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    46. Oikonomikou, Leoni Eleni, 2018. "Modeling financial market volatility in transition markets: a multivariate case," Research in International Business and Finance, Elsevier, vol. 45(C), pages 307-322.
    47. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.
    48. Sameen Fatima & Christopher Gan & Baiding Hu, 2022. "Volatility Spillovers between Stock Market and Hedge Funds: Evidence from Asia Pacific Region," JRFM, MDPI, vol. 15(9), pages 1-39, September.
    49. Shuangqi Li & Qi‐an Chen, 2021. "Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2871-2890, April.
    50. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
    51. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
    52. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis," Emerging Markets Review, Elsevier, vol. 31(C), pages 32-46.
    53. Frankovic, Jozo & Liu, Bin & Suardi, Sandy, 2022. "On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia," Global Finance Journal, Elsevier, vol. 54(C).
    54. Qiang Ji & Bing-Yue Liu & Juncal Cunado & Rangan Gupta, 2017. "Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data," Working Papers 201759, University of Pretoria, Department of Economics.
    55. Zankawah, Mutawakil M. & Stewart, Chris, 2019. "Measuring volatility spill-over effects of crude oil prices on Ghana’s exchange rate and stock market between 1991 and 2015," Economics Discussion Papers 2019-1, School of Economics, Kingston University London.
    56. Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
    57. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2020. "Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies," MPRA Paper 99597, University Library of Munich, Germany.
    58. Miklesh Prasad Yadav & Sudhi Sharma & Indira Bhardwaj, 2023. "Volatility Spillover Between Chinese Stock Market and Selected Emerging Economies: A Dynamic Conditional Correlation and Portfolio Optimization Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 427-444, June.
    59. Alotaibi, Abdullah R. & Mishra, Anil V., 2015. "Global and regional volatility spillovers to GCC stock markets," Economic Modelling, Elsevier, vol. 45(C), pages 38-49.
    60. Fernanda G Barba & Paulo S Ceretta, 2011. "Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1025-1037.
    61. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
    62. Dilip Kumar & Srinivasan Maheswaran, 2015. "Return and volatility spillover among the PIIGS economies and India," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(1), pages 28-49.
    63. Jorge M. Andraz & Nélia M. Norte & Hugo S. Gonçalves, 2016. "Do tourism spillovers matter in regional economic analysis? An application to Portugal," Tourism Economics, , vol. 22(5), pages 939-963, October.
    64. Gilles de Truchis & Benjamin Keddad, 2013. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers halshs-00862256, HAL.
    65. Hanousek, Jan & Novotný, Jan, 2012. "Price jumps in Visegrad-country stock markets: An empirical analysis," Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
    66. Delcoure, Natalya (Natasha) & Singh, Harmeet, 2016. "BRIC or CBRI: It just doesn’t sound as sexy, does it?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 230-239.
    67. Martin Ademmer & Wolfram Horn & Josefine Quast, 2022. "Stock market dynamics and the relative importance of domestic, foreign, and common shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3911-3923, October.
    68. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2017. "Sovereign default risk linkage: Implication for portfolio diversification," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 1-16.
    69. Dewandaru, Ginanjar & Masih, Rumi & Masih, Mansur, 2017. "Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis," Economic Modelling, Elsevier, vol. 65(C), pages 30-40.
    70. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
    71. Zheng, Yingfei & Shen, Anran & Li, Ruihai & Yang, Yuhong & Wang, Shengjin & Cheng, Lee-Young, 2023. "Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    72. Guidi, Francesco & Ugur, Mehmet, 2014. "An analysis of South-Eastern European stock markets: evidence on cointegration and portfolio diversification benefits," Greenwich Papers in Political Economy 11323, University of Greenwich, Greenwich Political Economy Research Centre.
    73. Galip Gençyürk, 2024. "Volatility Modeling and Spillover: The Turkish and Russian Stock Markets," Istanbul Business Research, Istanbul University Business School, vol. 53(1), pages 81-101, April.
    74. Beirne, John & Renzhi, Nuobu & Volz, Ulrich, 2021. "When the United States and the People’s Republic of China Sneeze: International Real and Financial Spillovers in Asia," ADBI Working Papers 1288, Asian Development Bank Institute.
    75. Hammoudeh, Shawkat & Kang, Sang Hoon & Mensi, Walid & Nguyen, Duc Khuong, 2014. "Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting," MPRA Paper 73400, University Library of Munich, Germany, revised Mar 2016.
    76. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    77. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
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  23. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," CESifo Working Paper Series 2545, CESifo.

    Cited by:

    1. da Gama Silva, Paulo Vitor Jordão & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gomes, Leonardo Lima, 2019. "Herding behavior and contagion in the cryptocurrency market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 41-50.
    2. Ahmed, Abdullahi D. & Huo, Rui, 2021. "Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China," Energy Economics, Elsevier, vol. 93(C).
    3. Fengler, Matthias R. & Gisler, Katja I.M., 2015. "A variance spillover analysis without covariances: What do we miss?," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 174-195.
    4. Guglielmo Maria Caporale & Nicola Spagnolo, 2024. "US municipal green bonds and financial integration," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 8, pages 192-205, Edward Elgar Publishing.
    5. Fowowe, Babajide & Shuaibu, Mohammed, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, vol. 148(C), pages 59-80.
    6. Meegan, Andrew & Corbet, Shaen & Larkin, Charles, 2018. "Financial market spillovers during the quantitative easing programmes of the global financial crisis (2007–2009) and the European debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 128-148.
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  24. Alexandros Kontonikas & Alberto Montagnoli & Nicola Spagnolo, 2006. "Stock Returns and Inflation: The Impact of Inflation Targeting," Working Papers 2005_11, Business School - Economics, University of Glasgow.

    Cited by:

    1. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    2. Shehu Usman Rano Aliyu, 2012. "Does inflation have an impact on stock returns and volatility? Evidence from Nigeria and Ghana," Applied Financial Economics, Taylor & Francis Journals, vol. 22(6), pages 427-435, March.

  25. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing For Financial Contagion Between Developed And Emerging Markets During The 1997 East Asian Crisis," Economics and Finance Discussion Papers 05-08, Economics and Finance Section, School of Social Sciences, Brunel University.

    Cited by:

    1. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.
    2. Matesanz, David & Ortega, Guillermo J., 2008. "Network analysis of exchange data: Interdependence drives crisis contagion," MPRA Paper 7720, University Library of Munich, Germany.
    3. Oluwatosin Mary Aderajo & Oladotun Daniel Olaniran, 2021. "Analysis of financial contagion in influential African stock markets," Future Business Journal, Springer, vol. 7(1), pages 1-9, December.
    4. Cristina Froes De Borja Reis & Carlos Aguiar De Medeiro, 2014. "From Export Specialization In Natural Resources To Diversification In Manufacturing: The Development Strategies Of Indonesia, Malaysia And Thailand Since 1980," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 156, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    5. Jose Arreola Hernandez & Mazin A.M. Al Janabi, 2020. "Forecasting of dependence, market, and investment risks of a global index portfolio," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 512-532, April.
    6. Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.

  26. Kostas Mouratidis & Nicola Spagnolo, 2004. "Evaluating currency crises: the case of the European Monetary System," Money Macro and Finance (MMF) Research Group Conference 2003 69, Money Macro and Finance Research Group.

    Cited by:

    1. 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.
    2. Feng, Shu & Fu, Liang & Ho, Chun-Yu & Alex Ho, Wai-Yip, 2023. "Political stability and credibility of currency board," Journal of International Money and Finance, Elsevier, vol. 137(C).
    3. Wajih Khallouli & Mahmoud Sami Nabi, 2010. "Financial Crises’ Prevention and Recovery," Working Papers 529, Economic Research Forum, revised 06 Jan 2010.
    4. Ourania Dimakou, 2010. "Central Bank Independence, Bureaucratic Corruption and Fiscal Responses - Empirical Evidence," Birkbeck Working Papers in Economics and Finance 1012, Birkbeck, Department of Economics, Mathematics & Statistics.
    5. WAJIH KHALLOULI & MOHAMED Ayadi & RENE SANDRETTO, 2013. "Fondamentaux, Contagion Et Dynamique Des Anticipations :Une Evaluation A Partir De La Crise Financiere Coreenne," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(2), pages 175-189.
    6. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010. "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers 2010018, The University of Sheffield, Department of Economics, revised Oct 2010.
    7. Ghazi Al-Assaf, 2017. "An Early Warning System for Currency Crisis: A Comparative Study for the Case of Jordan and Egypt," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 43-50.
    8. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1688-1711, December.

  27. gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, University Library of Munich, Germany.

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    1. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
    2. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
    3. Faruk, Balli & Syed Abul, Basher & Hassan, Ghassan & Hassan, Hajhoj, 2015. "An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries," MPRA Paper 63847, University Library of Munich, Germany.
    4. Kalbaska, A. & Gątkowski, M., 2012. "Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 657-673.
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    1. 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.
    2. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," KIER Working Papers 717, Kyoto University, Institute of Economic Research.
    3. Ahmed Shamiri & Abu Hassan, 2005. "Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities," Econometrics 0509015, University Library of Munich, Germany.
    4. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series CIRJE-F-641, CIRJE, Faculty of Economics, University of Tokyo.
    5. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Analyzing and Forecasting Volatility Spillovers, Asymmetries and Hedging in Major Oil Markets," Working Papers in Economics 10/19, University of Canterbury, Department of Economics and Finance.
    6. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    7. María José Melendez & Marco Morales & Guillermo Yáñez, 2010. "Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural," Working Papers 11, Facultad de Economía y Empresa, Universidad Diego Portales.
    8. 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.
    9. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
    10. Nikos Nomikos & Enrique Salvador, 2014. "The role of volatility regimes on volatility transmission patterns," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 1-13, January.
    11. Jedrzej Białkowski & Dobromił Serwa, 2005. "Financial contagion, spillovers and causality in the Markov switching framework," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 123-131.
    12. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
    13. Andres Kuusk & Tiiu Paas, 2010. "Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 66, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    14. 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.
    15. Yoon Hong & Ji-chul Lee & Guoping Ding, 2017. "Volatility Clustering, New Heavy-Tailed Distribution and the Stock Market Returns in South Korea," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 6(3), pages 164-169, September.
    16. L. Scaffidi Domianello & G.M. Gallo & E. Otranto, 2022. "Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS," Working Paper CRENoS 202205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    17. Elena Fedorova & Kashif Saleem, 2010. "Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 519-533, December.
    18. Marcin Owczarczuk, 2009. "Maximum Score Type Estimators," Working Papers 30, Department of Applied Econometrics, Warsaw School of Economics.
    19. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010. "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers 2010018, The University of Sheffield, Department of Economics, revised Oct 2010.
    20. 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.
    21. Yu, Jung-Suk & Hassan, M. Kabir, 2008. "Global and regional integration of the Middle East and North African (MENA) stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 482-504, August.
    22. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2007. "Predicting Markov volatility switches using monetary policy variables," Economics Letters, Elsevier, vol. 95(1), pages 110-116, April.
    23. Kui Fan & Zudi Lu & Shouyang Wang, 2009. "Dynamic Linkages Between the China and International Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(3), pages 211-230, September.
    24. Laura Wallenius & Elena Fedorova & Sheraz Ahmed & Mikael Collan, 2017. "Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(1), pages 55-71.
    25. Gebka, Bartosz & Serwa, Dobromil, 2006. "Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 301-317, October.

  29. Zacharias Psaradakis & Nicola Spagnolo, 2002. "On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models," Computing in Economics and Finance 2002 83, Society for Computational Economics.

    Cited by:

    1. Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers.
    2. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
    3. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
    4. Vollmer, Teresa & von Cramon-Taubadel, Stephan, 2019. "The influence of Brazilian exports on price transmission processes in the coffee sector: A Markov-switching approach," DARE Discussion Papers 1904, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
    5. Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Ahmed Khalifa, 2013. "Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?," Working Papers 819, Economic Research Forum, revised Dec 2013.
    6. Laure Crusson & Muriel Barlet, 2009. "Quel impact des variations du prix du pétrole sur la croissance française ?," Économie et Prévision, Programme National Persée, vol. 188(2), pages 23-41.
    7. Aleksei NETSUNAJEV, 2012. "Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity," Economics Working Papers ECO2012/13, European University Institute.
    8. León-Ledesma, Miguel A. & McAdam, Peter, 2003. "Unemployment, hysteresis and transition," Working Paper Series 234, European Central Bank.
    9. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2014. "Level shifts in stock returns driven by large shocks," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 41-51.
    10. Giampiero M. Gallo & Edoardo Otranto, 2012. "Volatility Swings in the US Financial Markets," Econometrics Working Papers Archive 2012_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
    11. Bruno Giancarlo & Edoardo Otranto, 2004. "Dating the Italian BUsiness Cycle: A Comparison of Procedures," ISAE Working Papers 41, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    12. Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2014. "The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis," Working Papers 201470, University of Pretoria, Department of Economics.
    13. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
    14. Jaehee Kim & Sooyoung Cheon, 2010. "A Bayesian regime‐switching time‐series model," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 365-378, September.
    15. Chau Le & Dickinson David, 2014. "Asset price volatility and financial contagion: analysis using the MS-VAR framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 133-162, December.
    16. Jonathan Dark & Xin Gao & Thijs van der Heijden & Federico Nardari, 2022. "Forecasting variance swap payoffs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2135-2164, December.
    17. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    18. Çiğdem YILMAZ & Nilgün ÇİL, 2018. "Markov Switching Autoregressive Model for WTI Crude Oil Price," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 14(28), pages 45-56, December.
    19. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working Papers 201429, University of Pretoria, Department of Economics.
    20. Oreste Napolitano & Alberto Montagnoli, 2010. "The European Unemployment Gap and the Role of Monetary Policy," Economics Bulletin, AccessEcon, vol. 30(2), pages 1346-1358.
    21. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei.
    22. Giampiero M. Gallo & Edoardo Otranto, 2012. "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive 2012_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
    23. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Post-Print halshs-00658540, HAL.
    24. Chevallier, Julien, 2012. "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, vol. 29(3), pages 943-973.
    25. Gallo, Giampiero M. & Otranto, Edoardo, 2015. "Forecasting realized volatility with changing average levels," International Journal of Forecasting, Elsevier, vol. 31(3), pages 620-634.
    26. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
    27. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Wohar, Mark E., 2017. "Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 245-257.
    28. Brigida, Matthew, 2014. "The switching relationship between natural gas and crude oil prices," Energy Economics, Elsevier, vol. 43(C), pages 48-55.
    29. Maddalena Cavicchioli, 2014. "Autocovariance and Linear Transformations of Markov Switching VARMA Processes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 275-289, December.
    30. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
    31. fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Economics and Finance Discussion Papers 03-15, Economics and Finance Section, School of Social Sciences, Brunel University.
    32. Lütkepohl, Helmut & Velinov, Anton, 2016. "Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 30, pages 377-392.
    33. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    34. Mariangela Bonasia & Oreste Napolitano, 2007. "Do Fundamentals and Credibility Matter in a Funded Pension System ?A Markov Switching Analysis for Australia and Iceland," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(2), pages 221-248.
    35. Eric Girardin & Fatemeh Salimi Namin, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Post-Print hal-02314156, HAL.
    36. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
    37. Martin Gonzalez-Rozada & Martin sola & Constantino Hevia & Fabio Spagnolo, 2012. "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model," Department of Economics Working Papers 2012-07, Universidad Torcuato Di Tella.
    38. Mustafa Caglayan & Ozge Kandemir & Kostas Mouratidis, 2011. "Real effects of inflation uncertainty in the US," Working Papers 2011002, The University of Sheffield, Department of Economics, revised Feb 2015.
    39. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
    40. Ashouri, Mohammad Javad & Rafei, Meysam, 2021. "How do energy productivity and water resources affect air pollution in Iran? New evidence from a Markov Switching perspective," Resources Policy, Elsevier, vol. 71(C).
    41. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2013. "Investor herds and regime-switching: Evidence from Gulf Arab stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 295-321.
    42. Helmut Herwartz & Helmut Luetkepohl, 2011. "Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks," Economics Working Papers ECO2011/11, European University Institute.
    43. Netésunajev, Aleksei & Winkelmann, Lars, 2016. "International dynamics of inflation expectations," SFB 649 Discussion Papers 2016-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    44. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2016. "Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(2), pages 135-155, May.
    45. Chew Lian Chua & Sandy Suardi, 2007. "Markov‐Switching Mean Reversion in Short‐Term Interest Rates: Evidence from East Asian Economies," The Economic Record, The Economic Society of Australia, vol. 83(263), pages 383-397, December.
    46. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
    47. Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006. "Markov-switching model selection using Kullback-Leibler divergence," Journal of Econometrics, Elsevier, vol. 134(2), pages 553-577, October.
    48. Wasim, Ahmad & Bandi, Kamaiah, 2011. "Identifying regime shifts in Indian stock market: A Markov switching approach," MPRA Paper 37174, University Library of Munich, Germany, revised 08 Mar 2012.
    49. Manera, Matteo & Cologni, Alessandro, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis," International Energy Markets Working Papers 12121, Fondazione Eni Enrico Mattei (FEEM).
    50. Maddalena Cavicchioli, 2013. "�Determining the Number of Regimes in Markov-Switching VAR and VMA Models�," Working Papers 2013:03, Department of Economics, University of Venice "Ca' Foscari".
    51. Richard D. F. Harris & Murat Mazibas, 2022. "A component Markov regime‐switching autoregressive conditional range model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 650-683, April.
    52. Psaradakis Zacharias & Spagnolo Nicola, 2002. "Power Properties of Nonlinearity Tests for Time Series with Markov Regimes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-16, November.
    53. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
    54. Narayan, Seema & Doytch, Nadia & Nguyen, Tri Tung & Kluegel, Karl, 2016. "Trade of goods and services and risk sharing ability in international equity markets: Are these substitutes or complements?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 485-503.
    55. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
    56. E. Otranto, 2011. "Classification of Volatility in Presence of Changes in Model Parameters," Working Paper CRENoS 201113, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    57. Winkelmann, Lars & Netsunajev, Aleksei, 2015. "International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112900, Verein für Socialpolitik / German Economic Association.
    58. Balcilar, Mehmet & Kutan, Ali M. & Yaya, Mehmet E., 2017. "Testing the dependency theory on small island economies: The case of Cyprus," Economic Modelling, Elsevier, vol. 61(C), pages 1-11.
    59. L. Scaffidi Domianello & E. Otranto, 2023. "On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence," Working Paper CRENoS 202304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    60. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
    61. M. Bigeco & E. Grosso & E. Otranto, 2008. "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models," Working Paper CRENoS 200803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    62. Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
    63. Nan Li & Simon S. Kwok, 2021. "Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 471-491, July.
    64. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
    65. Lacroix, R., 2008. "Assessing the shape of the distribution of interest rates: lessons from French individual data," Working papers 206, Banque de France.
    66. Guido Turnip, 2017. "Identification of Small Open Economy SVARs via Markov-Switching Heteroskedasticity," The Economic Record, The Economic Society of Australia, vol. 93(302), pages 465-483, September.
    67. Maddalena Cavicchioli, 2015. "Likelihood Ratio Test and Information Criteria for Markov Switching Var Models: An Application to the Italian Macroeconomy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(3), pages 315-332, November.
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  5. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2022. "The COVID-19 pandemic, policy responses and stock markets in the G20," International Economics, CEPII research center, issue 172, pages 77-90.
    See citations under working paper version above.
  6. Massimiliano Agovino & Maria Rosaria Carillo & Nicola Spagnolo, 2022. "Effect of Media News on Radicalization of Attitudes to Immigration," Journal of Economics, Race, and Policy, Springer, vol. 5(4), pages 318-340, December.

    Cited by:

    1. Lenka Dražanová & Jérôme Gonnot, 2023. "Public Opinion and Immigration in Europe: Can Regional Migration Flows Predict Public Attitudes to Immigration?," RSCAS Working Papers 2023/18, European University Institute.

  7. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2021. "Cyber-attacks, spillovers and contagion in the cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    See citations under working paper version above.
  8. Alanoud Al‐Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2021. "Political tension and stock markets in the Arabian Peninsula," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 679-683, January.
    See citations under working paper version above.
  9. Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2021. "Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis," Empirical Economics, Springer, vol. 60(2), pages 539-555, February.
    See citations under working paper version above.
  10. Canale, Rosaria Rita & De Simone, Elina & Spagnolo, Nicola, 2021. "Financial markets and fiscal discipline in the Eurozone," Structural Change and Economic Dynamics, Elsevier, vol. 58(C), pages 490-499.

    Cited by:

    1. Rosaria Rita Canale & G. Liotti, 2022. "Target2 imbalances and poverty in the eurozone," Journal of Evolutionary Economics, Springer, vol. 32(5), pages 1395-1417, November.

  11. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "The impact of business and political news on the GCC stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    See citations under working paper version above.
  12. Kerim Peren Arin & Guglielmo Maria Caporale & Kyriacos Kyriacou & Nicola Spagnolo, 2020. "Financial Integration in the GCC Region: Market Size Versus National Effects," Open Economies Review, Springer, vol. 31(2), pages 309-316, April.
    See citations under working paper version above.
  13. Sapio, Alessandro & Spagnolo, Nicola, 2020. "The effect of a new power cable on energy prices volatility spillovers," Energy Policy, Elsevier, vol. 144(C).

    Cited by:

    1. De Siano, Rita & Sapio, Alessandro, 2022. "Spatial merit order effects of renewables in the Italian power exchange," Energy Economics, Elsevier, vol. 108(C).
    2. Daniel Felix Ahelegbey & Emmanuel Senyo Fianu & Luigi Grossi, 2020. "Modeling Risk Contagion in the Italian Zonal Electricity Market," DEM Working Papers Series 182, University of Pavia, Department of Economics and Management.
    3. Simona Bigerna & Carlo Andrea Bollino & Maria Chiara D’Errico & Paolo Polinori, 2023. "A new design for market power monitoring in the electricity market. A simulation for Italy," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 40(1), pages 285-317, April.
    4. Tsai, I-Chun, 2024. "Fossil energy risk exposure of the UK electricity system: The moderating role of electricity generation mix and energy source," Energy Policy, Elsevier, vol. 188(C).
    5. Daniela Pereira Macedo & António Cardoso Marques & Olivier Damette, 2021. "The Merit-Order Effect on the Swedish bidding zone with the highest electricity flow in the Elspot market," Post-Print hal-03726391, HAL.

  14. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "Non-linearities, cyber attacks and cryptocurrencies," Finance Research Letters, Elsevier, vol. 32(C).
    See citations under working paper version above.
  15. Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2018. "Exchange rates and macro news in emerging markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 516-527.
    See citations under working paper version above.
  16. Marco R. Barassi & Nicola Spagnolo & Yuqian Zhao, 2018. "Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 71(4), pages 923-968, December.

    Cited by:

    1. Borowiec, Justyna & Papież, Monika, 2024. "Convergence of CO2 emissions in countries at different stages of development. Do globalisation and environmental policies matter?," Energy Policy, Elsevier, vol. 184(C).
    2. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2021. "Analysing the relationship between CO2 emissions and GDP in China: a fractional integration and cointegration approach," Journal of Innovation and Entrepreneurship, Springer, vol. 10(1), pages 1-16, December.
    3. LAWSON, Laté A. & MARTINO, Roberto & NGUYEN-VAN, Phu, 2020. "Environmental convergence and environmental Kuznets curve: A unified empirical framework," Ecological Modelling, Elsevier, vol. 437(C).
    4. Karakaya, Etem & Yılmaz, Burcu & Alataş, Sedat, 2018. "How Production Based and Consumption Based Emissions Accounting Systems Change Climate Policy Analysis: The Case of CO2 Convergence," MPRA Paper 88781, University Library of Munich, Germany.
    5. Nazlioglu, Saban & Payne, James E. & Lee, Junsoo & Rayos-Velazquez, Marco & Karul, Cagin, 2021. "Convergence in OPEC carbon dioxide emissions: Evidence from new panel stationarity tests with factors and breaks," Economic Modelling, Elsevier, vol. 100(C).
    6. Peter Sephton & Tolga Omay, 2023. "A note on CO2 emissions using two new tests," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(4), pages 933-941, November.
    7. Luis Alberiko Gil-Alana, 2024. "All Road User Casualties (Killed) in Great Britain from 1926. Linear and Nonlinear Trends with Persistent Data," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(3), pages 631-640, September.
    8. Diego Romero-Ávila & Tolga Omay, 2023. "Convergence of GHGs emissions in the long-run: aerosol precursors, reactive gases and aerosols—a nonlinear panel approach," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(11), pages 12303-12337, November.
    9. Peter S. Sephton, 2020. "Mean Reversion in CO2 Emissions: the Need for Structural Change," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 75(4), pages 953-975, April.
    10. Payne, James E. & Lee, Junsoo & Islam, Md. Towhidul & Nazlioglu, Saban, 2022. "Stochastic convergence of per capita greenhouse gas emissions: New unit root tests with breaks and a factor structure," Energy Economics, Elsevier, vol. 113(C).

  17. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "Macro news and bond yield spreads in the euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 24(2), pages 114-134, January.
    See citations under working paper version above.
  18. Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2017. "Macro news and exchange rates in the BRICS," Finance Research Letters, Elsevier, vol. 21(C), pages 140-143.
    See citations under working paper version above.
  19. Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Spillovers between food and energy prices and structural breaks," International Economics, CEPII research center, issue 150, pages 1-18.
    See citations under working paper version above.
  20. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2017. "International portfolio flows and exchange rate volatility in emerging Asian markets," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 1-15.

    Cited by:

    1. Yeonjeong Lee & Seong-Min Yoon, 2020. "Relationship between International Reserves and FX Rate Movements," Sustainability, MDPI, vol. 12(17), pages 1-24, August.
    2. Josh Stillwagon & Peter Sullivan, 2020. "Markov switching in exchange rate models: will more regimes help?," Empirical Economics, Springer, vol. 59(1), pages 413-436, July.
    3. Utku Altunoz, 2020. "Determining the Interaction of the International Portfolio Flows with Exchange Rate Volatility in Developing Countries," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 6(1), pages 41-54, June.
    4. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    5. O. P. C. Muhammed Rafi & M. Ramachandran, 2018. "Capital flows and exchange rate volatility: experience of emerging economies," Indian Economic Review, Springer, vol. 53(1), pages 183-205, December.
    6. Martha Flores‐Sosa & Ezequiel Avilés‐Ochoa & José M. Merigó, 2022. "Exchange rate and volatility: A bibliometric review," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1419-1442, January.
    7. Afees A. Salisu & Juncal Cunado & Rangan Gupta, 2020. "Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS," Working Papers 2020105, University of Pretoria, Department of Economics.
    8. Nguyen Ba Trung, 2024. "Exchange rate uncertainty and economic fluctuations in typical emerging economies," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 14(1), pages 88-103.
    9. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
    10. Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Hammoudeh, Shawkat M., 2017. "Main driving factors of the interest rate-stock market Granger causality," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 260-280.
    11. Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
    12. Cantú, Carlos, 2019. "Effects of capital controls on foreign exchange liquidity," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 201-222.
    13. Özcan KARAHAN & Olcay ÇOLAK, 2019. "The link between financial capital movements and the exchange rate in Turkey," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 263-281, December.
    14. Bhatia, Shipra & Tuteja, Divya, 2024. "Contagion and linkages across international currencies," International Review of Financial Analysis, Elsevier, vol. 94(C).
    15. Choi, Yoonho & Choi, E. Kwan, 2022. "Why exchange rate pass-through matters in forward exchange markets," Economic Modelling, Elsevier, vol. 110(C).
    16. Chen, Chun-Da & Su, Ching-Hui (Joan) & Chen, Ming-Hsiang, 2022. "Understanding how ESG-focused airlines reduce the impact of the COVID-19 pandemic on stock returns," Journal of Air Transport Management, Elsevier, vol. 102(C).
    17. Grebenkina, A. & Khandruev, A., 2021. "Difference in intensity of exchange rate factors in countries with targeting inflation regime," Journal of the New Economic Association, New Economic Association, vol. 51(3), pages 125-143.
    18. Saif Siddiqui & Preeti Roy, 2021. "Asymmetric Effects of Exchange Rate and Its Relationship with Foreign Investments: A Case of Indian Stock Market," Vision, , vol. 25(4), pages 415-427, December.
    19. Chiang, Shu-Mei & Chen, Chun-Da & Huang, Chien-Ming, 2019. "Analyzing the impacts of foreign exchange and oil price on biofuel commodity futures," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 37-48.
    20. Yahui Yang & Zhe Peng, 2024. "Openness and Real Exchange Rate Volatility: Evidence from China," Open Economies Review, Springer, vol. 35(1), pages 121-158, February.
    21. Thong Trung Nguyen & Muhammad Ali Nasir & Xuan Vinh Vo, 2024. "Exchange rate dynamics of emerging and developing economies: Not all capital flows are alike," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 1115-1124, January.
    22. Degong Ma & Chun Lei & Farid Ullah & Raza Ullah & Qadar Bakhsh Baloch, 2019. "China’s One Belt and One Road Initiative and Outward Chinese Foreign Direct Investment in Europe," Sustainability, MDPI, vol. 11(24), pages 1-13, December.

  21. Arin, K. Peren & Koyuncu, Murat & Spagnolo, Nicola, 2017. "A note on the macroeconomic consequences of ethnic/racial tension," Economics Letters, Elsevier, vol. 155(C), pages 100-103.

    Cited by:

    1. K. Kıvanç Aköz & K. Peren Arın & Christina Zenker, 2022. "On the labor market effects of salience of ethnic/racial disputes," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 24(2), pages 348-361, April.

  22. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Macro News and Commodity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 68-80, January.
    See citations under working paper version above.
  23. Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2016. "Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 180-188.
    See citations under working paper version above.
  24. Sapio, Alessandro & Spagnolo, Nicola, 2016. "Price regimes in an energy island: Tacit collusion vs. cost and network explanations," Energy Economics, Elsevier, vol. 55(C), pages 157-172.

    Cited by:

    1. Luigi Grossi & Fany Nan, 2017. "Forecasting electricity prices through robust nonlinear models," Working Papers 06/2017, University of Verona, Department of Economics.
    2. Lavrutich, Maria & Hagspiel, Verena & Siddiqui, Afzal S., 2023. "Transmission investment under uncertainty: Reconciling private and public incentives," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1167-1188.
    3. Grossi, Luigi & Nan, Fany, 2019. "Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources," Technological Forecasting and Social Change, Elsevier, vol. 141(C), pages 305-318.
    4. Sapio, Alessandro & Spagnolo, Nicola, 2020. "The effect of a new power cable on energy prices volatility spillovers," Energy Policy, Elsevier, vol. 144(C).
    5. Nagy, Roel L.G. & Hagspiel, Verena & Kort, Peter M., 2021. "Green capacity investment under subsidy withdrawal risk," Energy Economics, Elsevier, vol. 98(C).
    6. Daniel Felix Ahelegbey & Emmanuel Senyo Fianu & Luigi Grossi, 2020. "Modeling Risk Contagion in the Italian Zonal Electricity Market," DEM Working Papers Series 182, University of Pavia, Department of Economics and Management.
    7. Luigi Grossi & Fany Nan, 2018. "The influence of renewables on electricity price forecasting: a robust approach," Working Papers 2018/10, Institut d'Economia de Barcelona (IEB).
    8. Simona Bigerna & Carlo Andrea Bollino & Maria Chiara D’Errico & Paolo Polinori, 2023. "A new design for market power monitoring in the electricity market. A simulation for Italy," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 40(1), pages 285-317, April.
    9. Chai, Shanglei & Li, Qiang & Abedin, Mohammad Zoynul & Lucey, Brian M., 2024. "Forecasting electricity prices from the state-of-the-art modeling technology and the price determinant perspectives," Research in International Business and Finance, Elsevier, vol. 67(PA).
    10. Sapio, Alessandro, 2019. "Greener, more integrated, and less volatile? A quantile regression analysis of Italian wholesale electricity prices," Energy Policy, Elsevier, vol. 126(C), pages 452-469.
    11. Brown, David P. & Eckert, Andrew & Silveira, Douglas, 2023. "Screening for Collusion in Wholesale Electricity Markets: A Review of the Literature," Working Papers 2023-7, University of Alberta, Department of Economics.
    12. Estevão, João & Raposo, Clara, 2018. "The impact of the 2030 Climate and Energy Framework Agreement on electricity prices in MIBEL: A mixed-methods approach," Journal of Business Research, Elsevier, vol. 89(C), pages 411-417.
    13. Maria Chiara D?Errico, 2020. "Competition in the Italian electricity market: The unforeseen social welfare losses of reform," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2020(2), pages 75-91.
    14. Gianfreda, Angelica & Parisio, Lucia & Pelagatti, Matteo, 2018. "A review of balancing costs in Italy before and after RES introduction," Renewable and Sustainable Energy Reviews, Elsevier, vol. 91(C), pages 549-563.
    15. Bigerna, Simona & Wen, Xingang & Hagspiel, Verena & Kort, Peter M., 2019. "Green electricity investments: Environmental target and the optimal subsidy," European Journal of Operational Research, Elsevier, vol. 279(2), pages 635-644.
    16. Bigerna, Simona & Bollino, Carlo Andrea & Ciferri, Davide & Polinori, Paolo, 2017. "Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications," Renewable and Sustainable Energy Reviews, Elsevier, vol. 68(P1), pages 199-211.
    17. Brown, David P. & Eckert, Andrew & Silveira, Douglas, 2023. "Screening for collusion in wholesale electricity markets: A literature review," Utilities Policy, Elsevier, vol. 85(C).

  25. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Oil price uncertainty and sectoral stock returns in China: A time-varying approach," China Economic Review, Elsevier, vol. 34(C), pages 311-321.
    See citations under working paper version above.
  26. Albanese, Marina & Bonasia, Mariangela & Napolitano, Oreste & Spagnolo, Nicola, 2015. "Happiness, taxes and social provision: A note," Economics Letters, Elsevier, vol. 135(C), pages 100-103.

    Cited by:

    1. Bonasia, Mariangela & Napolitano, Oreste & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "The economic and welfare state determinants of well-being in Europe," International Economics, Elsevier, vol. 171(C), pages 49-57.

  27. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.

    Cited by:

    1. Valentyna Ozimkovska, 2018. "Real financial market exchange rate volatility and portfolio flows," International Economics and Economic Policy, Springer, vol. 15(2), pages 281-303, April.
    2. Joscha Beckmann & Robert L. Czudaj, 2020. "Net Foreign Asset Positions, Capital Flows and GDP Spillovers," Open Economies Review, Springer, vol. 31(2), pages 295-308, April.
    3. Kamal, Javed Bin & Wohar, Mark, 2023. "Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic," International Economics, Elsevier, vol. 173(C), pages 68-85.
    4. Schmidt, Torsten, 2018. "Inflation Expectation Uncertainty, Inflation and the Outputgap," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181575, Verein für Socialpolitik / German Economic Association.
    5. Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
    6. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    7. Carvalho, Daniel & Schmitz, Martin, 2022. "Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum," Working Paper Series 2734, European Central Bank.
    8. 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.
    9. Maela Giofré & Oleksandra Sokolenko, 2023. "Cross-border investment and the decline of exchange rate volatility: implications for Euro area bilateral investments," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 159(3), pages 595-627, August.
    10. Toh, Moau Yong & Zhang, Yongmin, 2022. "Bank capital and risk adjustment responses to economic uncertainty: Evidence from emerging Southeast Asian economies," Research in International Business and Finance, Elsevier, vol. 60(C).
    11. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Cross-border portfolio flows and news media coverage," Journal of International Money and Finance, Elsevier, vol. 126(C).
    12. Afees A. Salisu & Juncal Cunado & Rangan Gupta, 2020. "Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS," Working Papers 2020105, University of Pretoria, Department of Economics.
    13. Gadanecz, Blaise & Miyajima, Ken & Shu, Chang, 2018. "Emerging market local currency sovereign bond yields: The role of exchange rate risk," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 371-401.
    14. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019. "Return spillovers around the globe: A network approach," Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
    15. 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.
    16. Aaron D. Smallwood, 2022. "Inference in Misspecified GARCH‐M Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 334-355, April.
    17. Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2017. "Portfolio flows and the US dollar–yen exchange rate," Empirical Economics, Springer, vol. 52(1), pages 179-189, February.
    18. Abanikanda, Ezekiel Olamide & Akinbobola, Temidayo Oladiran, 2023. "Does Financial Deepening Matter in the Nexus between Exchange Rate Volatility and Foreign Investment? Insight from Nigeria," African Journal of Economic Review, African Journal of Economic Review, vol. 11(1), January.
    19. Peter Arhenful & Richard Fosu & Mathew Owusu-Mensah, 2022. "Exchange Rate and Stock Price Nexus: Evidence from Ghana," Journal of Social and Development Sciences, AMH International, vol. 12(4), pages 9-15.
    20. Chikashi Tsuji, 2017. "How Can We Interpret the Estimates of the Full BEKK Model with Asymmetry? The Case of French and German Stock Returns," Business and Economic Research, Macrothink Institute, vol. 7(2), pages 342-351, December.
    21. Elder, John, 2021. "Canadian industry level production and energy prices," Energy Economics, Elsevier, vol. 99(C).
    22. Bonga-Bonga, Lumengo & Gnagne, Pascal Xavier, 2017. "The impact of exchange rate volatility on capital flows in BRICS economies," MPRA Paper 84773, University Library of Munich, Germany.
    23. Ho, Edmund Ho Cheung, 2022. "Foreign participation in local currency government bond markets in emerging Asia: Benefits and pitfalls to market stability," Journal of International Money and Finance, Elsevier, vol. 128(C).
    24. Jibrin Daggash & Terfa W. Abraham, 2017. "Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(11), pages 35-47, November.
    25. Beck, Krzysztof & Yersh, Valeryia, 2024. "Economic integration and consumption risk sharing: A comparison of Eurozone and OECD countries," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 784-803.
    26. Tsuji, Chikashi, 2018. "Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses," Economic Modelling, Elsevier, vol. 74(C), pages 167-185.
    27. Reaz, Md & Mahat, Fauziah & Dahir, Ahmed Mohamed & Sahabuddin, Mohammad & Al Mahi, Abu Saad Md Masnun, 2017. "Exchange rate volatility and financial performance of agriculture firms in Malaysia: An empirical analysis using GARCH, wavelet and system GMM," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(3).
    28. Elder, John, 2020. "Employment and energy uncertainty," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    29. Jeon, Bang & Wu, Ji & Yao, Yao & Chen, Minghua, 2019. "Economic uncertainty and bank risk: Evidence from emerging economies," School of Economics Working Paper Series 2019-8, LeBow College of Business, Drexel University.
    30. Ding, Shusheng & Cui, Tianxiang & Zhang, Yongmin, 2020. "Incorporating the RMB internationalization effect into its exchange rate volatility forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    31. Guglielmo Maria Caporale & Faek Menla-Ali, 2024. "Geopolitical Risk and Cross-Border Portfolio Flows: Effects and Channels," CESifo Working Paper Series 11337, CESifo.
    32. Joscha Beckmann & Robert Czudaj, 2017. "Capital Flows and GDP in Emerging Economies and the Role of Global Spillovers," Chemnitz Economic Papers 009, Department of Economics, Chemnitz University of Technology, revised Jun 2017.
    33. Michael Effah Asamoah & Imhotep Paul Alagidede & Frank Adu, 2022. "Exchange rate uncertainty and foreign direct investment in Africa: Does financial development matter?," Review of Development Economics, Wiley Blackwell, vol. 26(2), pages 878-898, May.
    34. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," CESifo Working Paper Series 5615, CESifo.
    35. Ranajit Kumar Bairagi, 2022. "Dynamic Impacts of Economic Policy Uncertainty on Australian Stock Market: An Intercontinental Evidence," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(1), pages 64-91, March.
    36. Saif Siddiqui & Preeti Roy, 2021. "Asymmetric Effects of Exchange Rate and Its Relationship with Foreign Investments: A Case of Indian Stock Market," Vision, , vol. 25(4), pages 415-427, December.
    37. Shuping Li & Xinghua Liu & Chongren Wang, 2020. "The Influence of Internet Finance on the Sustainable Development of the Financial Ecosystem in China," Sustainability, MDPI, vol. 12(6), pages 1-15, March.
    38. Andrea Carolina Vargas-Páez & Carlos David Ardila-Dueñas, 2021. "Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia," Borradores de Economia 1165, Banco de la Republica de Colombia.
    39. Nguyen Ba Trung, 2022. "Output fluctuations and portfolio flows to emerging economies: The role of monetary uncertainty," International Finance, Wiley Blackwell, vol. 25(3), pages 285-295, December.

  28. Peren Arin, K. & Koray, Faik & Spagnolo, Nicola, 2015. "Fiscal multipliers in good times and bad times," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 303-311.
    See citations under working paper version above.
  29. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2013. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Review of International Economics, Wiley Blackwell, vol. 21(5), pages 1060-1075, November.
    See citations under working paper version above.
  30. John Beirne & Guglielmo Maria Caporale & Nicola Spagnolo, 2013. "Liquidity Risk, Credit Risk And The Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach," Manchester School, University of Manchester, vol. 81(6), pages 925-940, December.
    See citations under working paper version above.
  31. Guglielmo Maria Caporale & Nicola Spagnolo, 2012. "Stock market, economic growth and EU accession: evidence from three CEECs," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(2), pages 183-191.

    Cited by:

    1. Prats Albentosa, María Asuncíon & Sandoval, Beatriz, 2020. "Does stock market capitalization cause GDP? A causality study for Central and Eastern European countries?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-29.
    2. Svetlana G. Vokina & Yulia S. Zima & Nikolai G. Sinyavsky & Vadim Meshkov & Aleksandra V. Sultanova, 2016. "Unification of Economic Systems in the Global Economy: Barriers and Preconditions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(4), December.
    3. Natalia G. Vovchenko & Olga B. Ivanova & Elena D. Kostoglodova & Marina O. Otrishko & Olga S. Dzhu, 2016. "Innovations and Fighting Global Economic Problems," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(4), December.
    4. Irina A. Morozova & Elena G. Popkova & Tatiana N. Litvinova, 2019. "Sustainable development of global entrepreneurship: infrastructure and perspectives," International Entrepreneurship and Management Journal, Springer, vol. 15(2), pages 589-597, June.
    5. Ijaz Ur Rehman & Nurul Shahnaz Mahdzan & Rozaimah Zainudin, 2016. "Is the relationship between macroeconomy and stock market liquidity mutually reinforcing? Evidence from an emerging market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 294-316.

  32. Marco R. Barassi and Nicola Spagnolo, 2012. "Linear and Non-linear Causality between CO2 Emissions and Economic Growth," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).

    Cited by:

    1. Derese Kebede Teklie & Mete Han YaÄŸmur, 2024. "Effect of Economic Growth on CO2 Emission in Africa: Do Financial Development and Globalization Matter?," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 121-140, January.
    2. Duc Khuong Nguyen & Benoît Sévi & Bo Sjö & Gazi Salah Uddin, 2017. "The role of trade openness and investment in examining the energy-growth-pollution nexus: empirical evidence for China and India," Applied Economics, Taylor & Francis Journals, vol. 49(40), pages 4083-4098, August.
    3. Piaggio, Matías & Padilla, Emilio & Román, Carolina, 2017. "The long-term relationship between CO2 emissions and economic activity in a small open economy: Uruguay 1882–2010," Energy Economics, Elsevier, vol. 65(C), pages 271-282.
    4. Shahbaz, Muhammad & Shafiullah, Muhammad & Papavassiliou, Vassilios & Hammoudeh, Shawkat, 2017. "The CO2-Growth nexus revisited: A nonparametric analysis for G7 economies over nearly two centuries," MPRA Paper 79019, University Library of Munich, Germany, revised 07 May 2017.
    5. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2021. "Analysing the relationship between CO2 emissions and GDP in China: a fractional integration and cointegration approach," Journal of Innovation and Entrepreneurship, Springer, vol. 10(1), pages 1-16, December.
    6. Matias Piaggio & Emilio Padilla & Carolina Roman, 2015. "The long-run relationship between CO2 emissions and economic activity in a small open economy: Uruguay 1882 - 2010," Documentos de Trabajo (working papers) 15-11, Instituto de Economía - IECON.
    7. Kyriaki-Argyro Tsioptsia & Eleni Zafeiriou & Dimitrios Niklis & Nikolaos Sariannidis & Constantin Zopounidis, 2022. "The Corporate Economic Performance of Environmentally Eligible Firms Nexus Climate Change: An Empirical Research in a Bayesian VAR Framework," Energies, MDPI, vol. 15(19), pages 1-16, October.
    8. Marco R. Barassi & Nicola Spagnolo & Yuqian Zhao, 2018. "Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 71(4), pages 923-968, December.
    9. Md. Samsul Alam & Sajid Ali & Naceur Khraief & Syed Jawad Hussain Shahzad, 2021. "Time‐varying causal nexuses between economic growth and CO2 emissions in G‐7 countries: A bootstrap rolling window approach over 1820–2015," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6128-6148, October.
    10. Dorota Ciesielska-Maciągowska & Dawid Klimczak & Małgorzata Skrzek-Lubasińska, 2021. "Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies," Energies, MDPI, vol. 14(4), pages 1-14, February.
    11. Marco Baudino, 2020. "Environmental Engel curves in Italy: A spatial econometric investigation," Papers in Regional Science, Wiley Blackwell, vol. 99(4), pages 999-1018, August.
    12. Jeong Hwan Bae & Dmitriy D. Li & Meenakshi Rishi, 2017. "Determinants of CO emission for post-Soviet Union independent countries," Climate Policy, Taylor & Francis Journals, vol. 17(5), pages 591-615, July.
    13. Churchill, Sefa Awaworyi & Inekwe, John & Ivanovski, Kris & Smyth, Russell, 2018. "The Environmental Kuznets Curve in the OECD: 1870–2014," Energy Economics, Elsevier, vol. 75(C), pages 389-399.
    14. Olanubi, Sijuola Orioye & Osode, Oluwanbepelumi Esther, 2017. "The efficiency of government spending on health: A comparison of different administrations in Nigeria," Journal of Policy Modeling, Elsevier, vol. 39(1), pages 79-98.
    15. Ying Chen & Xiaoqian Shen & Li Wang, 2021. "The Heterogeneity Research of the Impact of EPU on Environmental Pollution: Empirical Evidence Based on 15 Countries," Sustainability, MDPI, vol. 13(8), pages 1-13, April.
    16. Atanu Ghoshray & Yurena Mendoza & Mercedes Monfort & Javier Ordoñez, 2018. "Re-assessing causality between energy consumption and economic growth," PLOS ONE, Public Library of Science, vol. 13(11), pages 1-15, November.
    17. Ma, Nan & Waegel, Alex & Hakkarainen, Max & Braham, William W. & Glass, Lior & Aviv, Dorit, 2023. "Blockchain + IoT sensor network to measure, evaluate and incentivize personal environmental accounting and efficient energy use in indoor spaces," Applied Energy, Elsevier, vol. 332(C).
    18. Jeong Hwan Bae, 2018. "Impacts of Income Inequality on CO2 Emission under Different Climate Change Mitigation Policies," Korean Economic Review, Korean Economic Association, vol. 34, pages 187-211.
    19. Espoir, Delphin Kamanda & Sunge, Regret & Bannor, Frank, 2021. "Economic growth and CO₂ emissions: Evidence from heterogeneous panel of African countries using bootstrap Granger causality," EconStor Preprints 235141, ZBW - Leibniz Information Centre for Economics.
    20. Sarah Goldman & Virginia Zhelyazkova, 2023. "CO2 Emissions and GDP: A Revisited Kuznets Curve Version via a Panel Threshold MIDAS-VAR Model in Europe for a Recent Period," Economic Research Guardian, Mutascu Publishing, vol. 13(2), pages 82-99, December.
    21. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2019. "CO2 Emissions and GDP: Evidence from China," CESifo Working Paper Series 7881, CESifo.
    22. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sato, João Ricardo, 2015. "On the relationships between CO2 emissions, energy consumption and income: The importance of time variation," Energy Economics, Elsevier, vol. 49(C), pages 629-638.

  33. Maria Caporale, Guglielmo & Spagnolo, Nicola, 2012. "Stock Market Integration Between Three CEECs," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 27, pages 115-122.

    Cited by:

    1. Sanjay Sehgal & Payal Jain, 2017. "Information linkages among emerging equity markets—an empirical study," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 44(1), pages 15-38, March.
    2. Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.
    3. Seema Wati Narayan & Mobeen Ur Rehman & Yi-Shuai Ren & Chaoqun Ma, 2023. "Is a correlation-based investment strategy beneficial for long-term international portfolio investors?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-26, December.
    4. Silvo Dajčman & Mejra Festić & Alenka Kavkler, 2013. "Multiscale test of CAPM for three Central and Eastern European stock markets," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 14(1), pages 54-76, February.
    5. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
    6. Rehman, Mobeen Ur & Ahmad, Nasir & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2022. "Dependence dynamics of stock markets during COVID-19," Emerging Markets Review, Elsevier, vol. 51(PB).
    7. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2012. "The cross-country importance of global sentiments—evidence for smaller EU countries," International Economics and Economic Policy, Springer, vol. 9(3), pages 245-264, September.
    8. Narayan, Seema & Rehman, Mobeen Ur, 2021. "Can home-biased investors diversify interregionally in the long run?," Economic Modelling, Elsevier, vol. 97(C), pages 167-181.
    9. S. S. Vinokurov & A.A. Medved & L. A. Mierin, 2018. "Economic News and Household Decisions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(1), March.
    10. Valdes, Rodrigo, 2017. "What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258265, Agricultural and Applied Economics Association.
    11. Malgorzata Doman & Ryszard Doman, 2013. "The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 5-32.

  34. Guglielmo Maria Caporale & Nicola Spagnolo, 2011. "Stock Market Integration between Three CEECs, Russia, and the UK," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 158-169, February.
    See citations under working paper version above.
  35. Arin, K. Peren & Spagnolo, Nicola, 2011. "Short-term growth effects of fiscal policy revisited: A Markov-switching approach," Economics Letters, Elsevier, vol. 110(3), pages 278-281, March.

    Cited by:

    1. Chibi Abderrahim & Chekouri Sidi Mohamed & Benbouziane Mohamed, 2019. "The Impact of Fiscal Policy on Economic Activity over the Business Cycle: An Empirical Investigation in the Case of Algeria," Review of Middle East Economics and Finance, De Gruyter, vol. 15(3), pages 1-23, December.
    2. Seuk Wai & Mohd Tahir Ismail & Siok Kun Sek, 2013. "A Study of Intercept Adjusted Markov Switching Vector Autoregressive Model in Economic Time Series Data," Information Management and Business Review, AMH International, vol. 5(8), pages 379-384.
    3. Topal, Pinar, 2015. "Fiscal stimulus and labor market flexibility," SAFE Working Paper Series 90, Leibniz Institute for Financial Research SAFE.
    4. Jha, Shikha & Mallick, Sushanta K. & Park, Donghyun & Quising, Pilipinas F., 2014. "Effectiveness of countercyclical fiscal policy: Evidence from developing Asia," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 82-98.

  36. Peren Arin, K. & Lorz, Oliver & Reich, Otto F.M. & Spagnolo, Nicola, 2011. "Exploring the dynamics between terrorism and anti-terror spending: Theory and UK-evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 189-202, February.

    Cited by:

    1. Krüger, Jens & Freytag, A. & Meierrieks, D. & Schneider, F., 2011. "The Origins of Terrorism: Cross-Country Estimates on Socio-Economic Determinants of Terrorism," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 63653, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    2. Friedrich Schneider & Tilman Brück & Daniel Meierrieks, 2015. "The Economics Of Counterterrorism: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 131-157, February.
    3. Jaspersen, Johannes G. & Montibeller, Gilberto, 2020. "On the learning patterns and adaptive behavior of terrorist organizations," European Journal of Operational Research, Elsevier, vol. 282(1), pages 221-234.
    4. McBride, Michael & Hewitt, David, 2013. "The enemy you can’t see: An investigation of the disruption of dark networks," Journal of Economic Behavior & Organization, Elsevier, vol. 93(C), pages 32-50.
    5. Edoardo Magnone, 2014. "The extreme case of terrorism: a scientometric analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 101(1), pages 179-201, October.
    6. Mohammad Ebrahim Nikoofal & Morteza Pourakbar & Mehmet Gumus, 2023. "Securing containerized supply chain through public and private partnership," Production and Operations Management, Production and Operations Management Society, vol. 32(7), pages 2341-2361, July.

  37. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2010. "Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis," Emerging Markets Review, Elsevier, vol. 11(3), pages 250-260, September.
    See citations under working paper version above.
  38. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2009. "Selecting nonlinear time series models using information criteria," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 369-394, July.

    Cited by:

    1. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2013. "State-Dependent Threshold Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(6), pages 835-854, December.
    2. Hee-Young Kim & Christian H. Weiß & Tobias A. Möller, 2020. "Models for autoregressive processes of bounded counts: How different are they?," Computational Statistics, Springer, vol. 35(4), pages 1715-1736, December.
    3. Rinke, Saskia & Sibbertsen, Philipp, 2015. "Information Criteria for Nonlinear Time Series Models," Hannover Economic Papers (HEP) dp-548, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    4. Ferrara, L. & Marcellino, M. & Mogliani, M., 2012. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," Working papers 383, Banque de France.
    5. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis.
    6. Francesco Giordano & Marcella Niglio & Cosimo Damiano Vitale, 2023. "Linear approximation of the Threshold AutoRegressive model: an application to order estimation," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(1), pages 27-56, March.
    7. Frömmel, Michael, 2006. "Volatility Regimes in Central and Eastern European Countries' Exchange Rates," Hannover Economic Papers (HEP) dp-333, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    8. Rickard Sandberg, 2018. "Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 942-952, November.
    9. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
    10. Diteboho Xaba & Ntebogang Dinah Moroke & Ishmael Rapoo, 2019. "Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 10-22.
    11. Vladimir Andric & Dusko Bodroza & Mihajlo Djukic, 2024. "A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment," Mathematics, MDPI, vol. 12(20), pages 1-33, October.
    12. Line Elvstrøm Ekner & Emil Nejstgaard, 2013. "Parameter Identification in the Logistic STAR Model," Discussion Papers 13-07, University of Copenhagen. Department of Economics.
    13. Diteboho Xaba & Ntebogang Dinah Moroke & Johnson Arkaah & Charlemagne Pooe, 2016. "Modeling South African Banks closing stock prices: a Markov-Switching Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 8(1), pages 36-40.
    14. Rinke, Saskia, 2016. "The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity," Hannover Economic Papers (HEP) dp-575, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    15. Greta Goracci, 2021. "An empirical study on the parsimony and descriptive power of TARMA models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 109-137, March.

  39. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
    See citations under working paper version above.
  40. Arin, K. Peren & Ciferri, Davide & Spagnolo, Nicola, 2008. "The price of terror: The effects of terrorism on stock market returns and volatility," Economics Letters, Elsevier, vol. 101(3), pages 164-167, December.

    Cited by:

    1. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar, 2016. "Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries," Working Papers 201608, University of Pretoria, Department of Economics.
    2. Nicholas Apergis & Matteo Bonato & Rangan Gupta & Clement Kyei, 2016. "Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach," Working Papers 201671, University of Pretoria, Department of Economics.
    3. Guo, Yawei & Li, Jianping & Li, Yehua & You, Wanhai, 2021. "The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US," Energy Economics, Elsevier, vol. 97(C).
    4. Zhang, Yaojie & He, Jiaxin & He, Mengxi & Li, Shaofang, 2023. "Geopolitical risk and stock market volatility: A global perspective," Finance Research Letters, Elsevier, vol. 53(C).
    5. Whelsy Boungou & Alhonita Yatie, 2022. "The impact of the Ukraine-Russia war on world stock market returns," Working Papers hal-03623580, HAL.
    6. Anastasios Zopiatis & Christos S. Savva & Neophytos Lambertides & Michael McAleer, 2017. "Tourism Stocks in Times of Crises: An Econometric Investigation of Unexpected Non-macroeconomic Factors," Tinbergen Institute Discussion Papers 17-052/III, Tinbergen Institute.
    7. Christos Kollias & Stephanos Papadamou, 2012. "Rogue State Behavior and Markets: The Financial Fallout of North Korean Nuclear Tests," Economics of Security Working Paper Series 67, DIW Berlin, German Institute for Economic Research.
    8. Kis-Katos, Krisztina & Liebert, Helge & Schulze, Günther G., 2014. "On the heterogeneity of terror," European Economic Review, Elsevier, vol. 68(C), pages 116-136.
    9. Corbet, Shaen & Larkin, Charles & McMullan, Caroline, 2018. "Chemical industry disasters and the sectoral transmission of financial market contagion," Research in International Business and Finance, Elsevier, vol. 46(C), pages 490-501.
    10. Venancio Tauringana & Ishmael Tingbani & Godwin Okafor & Widin B. Sha'ven, 2021. "Terrorism and global business performance," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5636-5658, October.
    11. Sulehri, Fiaz Ahmad & Ali, Amjad, 2020. "Impact of Political Uncertainty on Pakistan Stock Exchange (1990-1999): An Event Study Approach," MPRA Paper 104623, University Library of Munich, Germany.
    12. 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).
    13. Procasky, William J. & Ujah, Nacasius U., 2016. "Terrorism and its impact on the cost of debt," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 253-266.
    14. Jonas L. Juul & Laura Alessandretti & Jesper Dammeyer & Ingo Zettler & Sune Lehmann & Joachim Mathiesen, 2023. "Group-specific behavior change following terror attacks," Journal of Computational Social Science, Springer, vol. 6(1), pages 1-18, April.
    15. Wisniewski, Tomasz Piotr, 2016. "Is there a link between politics and stock returns? A literature survey," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 15-23.
    16. Shashitha Gimhani Jayakody, 2017. "The Impact of the Sri Lankan Civil War on the Stock Market Performances," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 394-402.
    17. Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
    18. Lo, Gaye-Del & Marcelin, Isaac & Bassène, Théophile & Sène, Babacar, 2022. "The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities," Finance Research Letters, Elsevier, vol. 50(C).
    19. Marwa Elnahass & Mohamed Marie & Mohammed Elgammal, 2022. "Terrorist attacks and bank financial stability: evidence from MENA economies," Review of Quantitative Finance and Accounting, Springer, vol. 59(1), pages 383-427, July.
    20. Konstantinos Drakos, 2011. "Behavioral Channels in the Cross‐Market Diffusion of Major Terrorism Shocks," Risk Analysis, John Wiley & Sons, vol. 31(1), pages 143-159, January.
    21. Wang, Albert Y. & Young, Michael, 2023. "Mood, attention, and household trading: Evidence from terrorist attacks," Journal of Financial Markets, Elsevier, vol. 66(C).
    22. Hira Irshad & Hasniza Mohd Taib, 2017. "A Comparative Analysis of Effects of Terrorism on World Equity Markets," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 3(6), pages 202-208.
    23. Ofir D. Rubin & Rico Ihle, 2017. "Measuring Temporal Dimensions of the Intensity of Violent Political Conflict," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 132(2), pages 621-642, June.
    24. Assad Ullah & Yang Qingxiang & Zahid Ali & Nadia Hidayat, 2016. "Exploring the Relationship between Country Risk and Foreign Private Investment Inflows in Pakistan," Review of Market Integration, India Development Foundation, vol. 8(3), pages 113-134, December.
    25. Faheem Aslam & Hyoung-Goo Kang, 2015. "How Different Terrorist Attacks Affect Stock Markets," Defence and Peace Economics, Taylor & Francis Journals, vol. 26(6), pages 634-648, December.
    26. Corbet, Shaen & Gurdgiev, Constantin & Meegan, Andrew, 2018. "Long-term stock market volatility and the influence of terrorist attacks in Europe," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 118-131.
    27. Tingting Lan & Liuguo Shao & Hua Zhang & Caijun Yuan, 2023. "The impact of pandemic on dynamic volatility spillover network of international stock markets," Empirical Economics, Springer, vol. 65(5), pages 2115-2144, November.
    28. Nadav Ben Itzhak, 2018. "The Effect of Terrorism on Housing Rental Prices: Evidence from Jerusalem," Bank of Israel Working Papers 2018.08, Bank of Israel.
    29. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
    30. Arfaoui, Nadia & Naoui, Kamel, 2022. "Terrorism, investor sentiment, and stock market reaction: Evidence from the British and the French markets," Finance Research Letters, Elsevier, vol. 46(PB).
    31. Gan Jin & Md Rafiul Karim & Günther G. Schulze, 2024. "The Stock Market Effects of Islamist versus Non-Islamist Terror," Discussion Paper Series 45 JEL Classification: D7, Department of International Economic Policy, University of Freiburg, revised Feb 2024.
    32. Zahoor Ul Haq & Zia Ullah & Javed Iqbal, 2018. "Terrorist Incidents and Trade," Global Social Sciences Review, Humanity Only, vol. 3(2), pages 55-70, June.
    33. Friedrich Schneider & Tilman Brück & Daniel Meierrieks, 2010. "The Economics of Terrorism and Counter-Terrorism: A Survey (Part II)," Discussion Papers of DIW Berlin 1050, DIW Berlin, German Institute for Economic Research.
    34. Goel, Sanjay & Cagle, Seth & Shawky, Hany, 2017. "How vulnerable are international financial markets to terrorism? An empirical study based on terrorist incidents worldwide," Journal of Financial Stability, Elsevier, vol. 33(C), pages 120-132.
    35. Cam Caldwell & Mayra Canuto-Carranco, 2010. "“Organizational Terrorism” and Moral Choices – Exercising Voice When the Leader is the Problem," Journal of Business Ethics, Springer, vol. 97(1), pages 159-171, November.
    36. Khraiche, Maroula & Boudreau, James W. & Chowdhury, Md Shahedur R., 2023. "Geopolitical risk and stock market development," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    37. J. W.B. Bos & M. Frömmel & M. Lamers, 2013. "FDI, Terrorism and the Availability Heuristic for U.S. Investors before and after 9/11," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/850, Ghent University, Faculty of Economics and Business Administration.
    38. Ibrahim N. Khatatbeh & Mohammad Bani Hani & Mohammed N. Abu-Alfoul, 2020. "The Impact of COVID-19 Pandemic on Global Stock Markets: An Event Study," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 505-514.
    39. Fich, Eliezer M. & Nguyen, Tung & Petmezas, Dimitris, 2023. "The effects of terrorist attacks on inventor productivity and mobility," Research Policy, Elsevier, vol. 52(1).
    40. Faheem Aslam & Amir Rafique & Aneel Salman & Hyoung-Goo Kang & Wahbeeah Mohti, 2018. "The Impact Of Terrorism On Financial Markets: Evidence From Asia," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 63(05), pages 1183-1204, December.
    41. Nicolás S. Magner & Cinthia K. Roa, 2019. "Terrorism and Latin-American Stocks Markets," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 583-599, Agosto 20.
    42. Emmanuel Apergis & Nicholas Apergis, 2017. "The impact of 11/13 Paris terrorist attacks on stock prices: evidence from the international defence industry," Applied Economics Letters, Taylor & Francis Journals, vol. 24(1), pages 45-48, January.
    43. Rubin, Ofir D. & Ihle, Rico & Kachel, Yael & Goodwin, Barry K., 2013. "The impact of violent political conflict on commodity prices: The Israeli food market," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150961, Agricultural and Applied Economics Association.
    44. Yu Song & Bo Chen & Xin-Yi Wang, 2023. "Cryptocurrency technology revolution: are Bitcoin prices and terrorist attacks related?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-20, December.
    45. Whelsy Boungou & Alhonita YATIE, 2022. "Climate change and global stock market returns," Economics Bulletin, AccessEcon, vol. 42(4), pages 1888-1900.
    46. Darko B. Vuković & Senanu Dekpo-Adza & Vladislav Khmelnitskiy & Mustafa Özer, 2023. "Spillovers across the Asian OPEC+ Financial Market," Mathematics, MDPI, vol. 11(18), pages 1-23, September.
    47. Wenjia Zhang, 2021. "China-U.S. Trade Frictions, Opinion Divergence, and Stock Volatilities," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(6), pages 1-19, June.
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    100. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi & Omed Rafiq Fatah & Awaz Mohamed Saleem, 2023. "Oil Exports, Political Issues, and Stock Market Nexus," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 362-373, January.
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  41. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2007. "Predicting Markov volatility switches using monetary policy variables," Economics Letters, Elsevier, vol. 95(1), pages 110-116, April.

    Cited by:

    1. 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.
    2. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2017. "Financial Depth and the Asymmetric Impact of Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(6), pages 1195-1218, December.
    3. Chauvet, Marcelle & Jiang, Cheng, 2023. "Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S," Global Finance Journal, Elsevier, vol. 55(C).
    4. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010. "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers 2010018, The University of Sheffield, Department of Economics, revised Oct 2010.
    5. Mustafa Caglayan & Ozge Kandemir Kocaaslan & Kostas Mouratidis, 2013. "The Role of Financial Depth on the Asymmetric Impact of Monetary Policy," Working Papers 2013007, The University of Sheffield, Department of Economics.

  42. Zacharias Psaradakis & Nicola Spagnolo, 2006. "Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 753-766, September.

    Cited by:

    1. Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers.
    2. Anton Velinov, 2014. "Assessing the Sustainability of Government Debt: On the Different States of the Debt/GDP Process," Discussion Papers of DIW Berlin 1359, DIW Berlin, German Institute for Economic Research.
    3. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
    4. Rianne Legerstee & Philip Hans Franses, 2010. "Does Disagreement amongst Forecasters have Predictive Value?," Tinbergen Institute Discussion Papers 10-088/4, Tinbergen Institute.
    5. Pierre-Julien Trombe & Pierre Pinson & Henrik Madsen, 2012. "A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations," Energies, MDPI, vol. 5(3), pages 1-37, March.
    6. Anton Velinov, 2013. "Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes," Discussion Papers of DIW Berlin 1350, DIW Berlin, German Institute for Economic Research.
    7. Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021. "The state-dependent trading behavior of banks in the oil futures market," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1011-1024.
    8. Josh Stillwagon & Peter Sullivan, 2020. "Markov switching in exchange rate models: will more regimes help?," Empirical Economics, Springer, vol. 59(1), pages 413-436, July.
    9. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
    10. Kuck, Konstantin & Schweikert, Karsten, 2023. "Price discovery in equity markets: A state-dependent analysis of spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 149(C).
    11. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis.
    12. Velinov, Anton & Chen, Wenjuan, 2015. "Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis," Journal of Economics and Business, Elsevier, vol. 80(C), pages 1-20.
    13. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    14. Thore Schlaak & Malte Rieth & Maximilian Podstawski, 2018. "Monetary Policy, External Instruments and Heteroskedasticity," Discussion Papers of DIW Berlin 1749, DIW Berlin, German Institute for Economic Research.
    15. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
    16. Fritsche, Jan Philipp & Klein, Mathias & Rieth, Malte, 2021. "Government spending multipliers in (un)certain times," Journal of Public Economics, Elsevier, vol. 203(C).
    17. Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
    18. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
    19. Kuck, Konstantin & Schweikert, Karsten, 2017. "A Markov regime-switching model of crude oil market integration," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 16-31.
    20. Lütkepohl, Helmut & Velinov, Anton, 2016. "Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 30, pages 377-392.
    21. Anton Velinov & Wenjuan Chen, 2014. "Are There Bubbles in Stock Prices?: Testing for Fundamental Shocks," Discussion Papers of DIW Berlin 1375, DIW Berlin, German Institute for Economic Research.
    22. Martin Gonzalez-Rozada & Martin sola & Constantino Hevia & Fabio Spagnolo, 2012. "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model," Department of Economics Working Papers 2012-07, Universidad Torcuato Di Tella.
    23. Helmut Herwartz & Helmut Luetkepohl, 2011. "Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks," Economics Working Papers ECO2011/11, European University Institute.
    24. Netésunajev, Aleksei & Winkelmann, Lars, 2016. "International dynamics of inflation expectations," SFB 649 Discussion Papers 2016-019, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    25. Driffill John & Kenc Turalay & Sola Martin & Spagnolo Fabio, 2009. "The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
    26. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
    27. Kuang-Liang Chang, 2012. "Stock return predictability and stationarity of dividend yield," Economics Bulletin, AccessEcon, vol. 32(1), pages 715-729.
    28. Velinov, Anton, 2016. "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," VfS Annual Conference 2016 (Augsburg): Demographic Change 145581, Verein für Socialpolitik / German Economic Association.
    29. Maddalena Cavicchioli, 2013. "�Determining the Number of Regimes in Markov-Switching VAR and VMA Models�," Working Papers 2013:03, Department of Economics, University of Venice "Ca' Foscari".
    30. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2015. "Theoretical Aspects of Modeling of the SVAR [Теоретические Аспекты Моделирования Svar]," Published Papers mak8, Russian Presidential Academy of National Economy and Public Administration.
    31. Abdelhakim Aknouche & Nadia Rabehi, 2010. "On an independent and identically distributed mixture bilinear time‐series model," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 113-131, March.
    32. Winkelmann, Lars & Netsunajev, Aleksei, 2015. "International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112900, Verein für Socialpolitik / German Economic Association.
    33. L. Scaffidi Domianello & E. Otranto, 2023. "On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence," Working Paper CRENoS 202304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    34. Gilbert Mbara, 2017. "Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method," Working Papers 2017-13, Faculty of Economic Sciences, University of Warsaw.
    35. Nan Li & Simon S. Kwok, 2021. "Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 471-491, July.
    36. Maddalena Cavicchioli, 2015. "Likelihood Ratio Test and Information Criteria for Markov Switching Var Models: An Application to the Italian Macroeconomy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(3), pages 315-332, November.
    37. Daniel Bierbaumer & Malte Rieth & Anton Velinov, 2018. "Nonlinear Intermediary Pricing in the Oil Futures Market," Discussion Papers of DIW Berlin 1722, DIW Berlin, German Institute for Economic Research.
    38. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
    39. Libo Xu & Apostolos Serletis, 2022. "The Demand for Assets: Evidence from the Markov Switching Normalized Quadratic Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 989-1025, June.
    40. Noel Gaston & Gulasekaran Rajaguru, 2015. "A Markov-switching structural vector autoregressive model of boom and bust in the Australian labour market," Empirical Economics, Springer, vol. 49(4), pages 1271-1299, December.

  43. Guglielmo Caporale & Nikitas Pittis & Nicola Spagnolo, 2006. "Volatility transmission and financial crises," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(3), pages 376-390, September.

    Cited by:

    1. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    2. Roni Bhowmik & Abbas Ghulam & Wang Shouyang, 2018. "Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 97-119, April.
    3. Faruk, Balli & Syed Abul, Basher & Hassan, Ghassan & Hassan, Hajhoj, 2015. "An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries," MPRA Paper 63847, University Library of Munich, Germany.
    4. Guglielmo Maria Caporale & Nicola Spagnolo, 2024. "US municipal green bonds and financial integration," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 8, pages 192-205, Edward Elgar Publishing.
    5. Ahmed Shamiri & Zaidi Isa, 2010. "Volatility transmission: what do Asia‐Pacific markets expect?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(4), pages 299-313, October.
    6. Mohamed Shikh Albaity & Hamdia Mudor, 2012. "Return performance, Cointegration and short run dynamics of Islamic and non-Islamic indices: evidence from the US and Malaysia during the subprime crisis," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 1, pages 1-1, June.
    7. Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
    8. Ki-Hong Choi & Ron P. McIver & Salvatore Ferraro & Lei Xu & Sang Hoon Kang, 2021. "Dynamic volatility spillover and network connectedness across ASX sector markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 677-691, October.
    9. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
    10. 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).
    11. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
    12. Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy & Vo, Tuan Kiet, 2015. "The transmission of market shocks and bilateral linkages: Evidence from emerging economies," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 349-357.
    13. Nishimura, Yusaku & Sun, Bianxia, 2018. "The intraday volatility spillover index approach and an application in the Brexit vote," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 241-253.
    14. Mahmod Qadan & Joseph Yagil, 2012. "Fear sentiments and gold price: testing causality in-mean and in-variance," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 363-366, March.
    15. Mobeen Ur Rehman, 2016. "Financial Contagion in EFA Markets in Crisis Periods: A Multivariate GARCH Dynamic Conditional Correlation Framework," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 21(2), pages 121-151, July-Dec.
    16. Petmezas, Dimitris & Santamaria, Daniel, 2014. "Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 401-424.
    17. Okur, Mustafa & Cevik, Emrah Ismail, 2013. "Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE," MPRA Paper 71477, University Library of Munich, Germany, revised 2013.
    18. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," CESifo Working Paper Series 2545, CESifo.
    19. Aladesanmi, Olalekan & Casalin, Fabrizio & Metcalf, Hugh, 2019. "Stock market integration between the UK and the US: Evidence over eight decades," Global Finance Journal, Elsevier, vol. 41(C), pages 32-43.
    20. Dimitriou, Dimitrios & Mpitsios, Petros & Simos, Theodore, 2011. "Dynamic linkages and interdependence between Mediterranean region EMU markets during 2007 financial crisis," MPRA Paper 37476, University Library of Munich, Germany.
    21. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2016. "Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators," Finance Research Letters, Elsevier, vol. 17(C), pages 158-166.
    22. Diego A. Agudelo & Marcela Gutiérrez & Laura Cardona, 2015. "Volatility transmission between US and Latin American Stock Markets: testing the decoupling hypothesis," Documentos de Trabajo de Valor Público 14252, Universidad EAFIT.
    23. Saleem, Kashif, 2009. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," Research in International Business and Finance, Elsevier, vol. 23(3), pages 243-256, September.
    24. Amir Saadaoui & Younes Boujelbene, 2016. "Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(2), pages 194-216, April.
    25. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers wp09-11, School of Economics, University of Wollongong, NSW, Australia.
    26. Andreou, Elena & Matsi, Maria & Savvides, Andreas, 2013. "Stock and foreign exchange market linkages in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 248-268.
    27. Wajih Khallouli & René Sandretto, 2010. "Testing for "contagion" of the subprime crisis on the Middle East and North African stock markets: A Markov Switching EGARCH approach," Post-Print halshs-00589830, HAL.
    28. Nathaniel Frank, 2009. "Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading," Economics Papers 2009-W04, Economics Group, Nuffield College, University of Oxford.
    29. El Ghini, Ahmed & Saidi, Youssef, 2014. "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis," MPRA Paper 53439, University Library of Munich, Germany.
    30. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2015. "Intraday return and volatility spillover mechanism from Chinese to Japanese stock market," Journal of the Japanese and International Economies, Elsevier, vol. 35(C), pages 23-42.
    31. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    32. Sisili Rahman & Biplab Das & Tazrina Farah, 2018. "Identifying Spillover Effect & Bubble in Bangladeshi Asset Markets: An Analysis of Stock Market and Real Estate," International Journal of Economics and Financial Issues, Econjournals, vol. 8(6), pages 76-83.
    33. Kakran, Shubham & Kumari, Vineeta & Bajaj, Parminder Kaur & Sidhu, Arpit, 2024. "Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    34. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
    35. Wajih Khallouli & Rene Sandretto, 2011. "Testing for “Contagion” of the Subprime Crisis on the Middle East And North African Stock Markets: A Markov Switching EGARCH Approach," Working Papers 609, Economic Research Forum, revised 08 Jan 2011.
    36. Galin Todorov & Prasad Bidarkota, 2013. "On international financial spillovers to frontier markets," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 5(4), pages 433-452.
    37. Jessica Dye & Aaron Gilbert & Gail Pacheco, 2017. "Does integration lead to lower costs of equity?," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 86-112, February.
    38. Ekaterini Panopoulou & Theologos Pantelidis, 2009. "Integration at a cost: evidence from volatility impulse response functions," Applied Financial Economics, Taylor & Francis Journals, vol. 19(11), pages 917-933.
    39. Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar, 2015. "Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach," Working Papers 201595, University of Pretoria, Department of Economics.
    40. Muzammil Khurshid & Muhammad Azeem & Nisar Ahmad, 2023. "Volatility Spillovers From The Japanese Stock Market To Emerging Stock Markets," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 12(2), pages 118-125.
    41. Bruce Q. Budd, 2018. "The transmission of international stock market volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 155-173, January.
    42. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2014. "Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 118-127.
    43. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis," Discussion Papers of DIW Berlin 942, DIW Berlin, German Institute for Economic Research.
    44. Marie Brière & Ombretta Signori, 2009. "Do Inflation‐Linked Bonds Still Diversify?," European Financial Management, European Financial Management Association, vol. 15(2), pages 279-297, March.
    45. Shih-Jui Yang & Ai-Chi Hsu & Show-Yen Lai & Chien-Chiang Lee, 2015. "Empirical Investigation of Herding Behavior in East Asian Stock Markets Toward the U.S. Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(1), pages 19-32.
    46. Chiang, Thomas C., 2019. "Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 264-278.
    47. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
    48. Bajo-Rubio, Oscar & Berke, Burcu & McMillan, David, 2017. "The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises," Research in International Business and Finance, Elsevier, vol. 41(C), pages 577-589.
    49. Daehwan Kim & Chi-Young Song, 2017. "Bankruptcy of Lehman Brothers: Determinants of Cross-country Impacts on Stock Market Volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 210-219.
    50. Alexandrou, George & Koulakiotis, Athanasios & Dasilas, Apostolos, 2011. "GARCH modelling of banking integration in the Eurozone," Research in International Business and Finance, Elsevier, vol. 25(1), pages 1-10, January.
    51. Amir Saadaoui & Younes Boujelbene, 2016. "Volatility Transmission between Dow Jones Stock Index and Emerging Bond Index," EuroEconomica, Danubius University of Galati, issue 2(12), pages 194-216, April.
    52. Lisewski, Andreas Martin & Lichtarge, Olivier, 2010. "Untangling complex networks: Risk minimization in financial markets through accessible spin glass ground states," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3250-3253.
    53. Gagari Chakrabarti, 2011. "Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 172-184, August.
    54. Sanjay Sehgal & Payal Jain & Florent Deisting, 2018. "Information Transmission between Mature and Emerging Equity Markets During Normal and Crisis Periods: An Empirical Examination," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 185-225, March.
    55. Morales, Lucía & Andreosso-O'Callaghan, Bernadette, 2014. "The global financial crisis: World market or regional contagion effects?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 108-131.

  44. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
    See citations under working paper version above.
  45. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 359-367.
    See citations under working paper version above.
  46. Virginie Boinet & Oreste Napolitano & Nicola Spagnolo, 2005. "Was the Currency Crisis in Argentina Self-Fulfilling?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(2), pages 357-368, July.

    Cited by:

    1. Feng, Shu & Fu, Liang & Ho, Chun-Yu & Alex Ho, Wai-Yip, 2023. "Political stability and credibility of currency board," Journal of International Money and Finance, Elsevier, vol. 137(C).
    2. Ryota Nakatani, 2017. "The Effects of Productivity Shocks, Financial Shocks, and Monetary Policy on Exchange Rates: An Application of the Currency Crisis Model and Implications for Emerging Market Crises," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(11), pages 2545-2561, November.
    3. Heinz Handler, 2013. "The Eurozone: Piecemeal Approach to an Optimum Currency Area," WIFO Working Papers 446, WIFO.
    4. Ghazi Al-Assaf, 2017. "An Early Warning System for Currency Crisis: A Comparative Study for the Case of Jordan and Egypt," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 43-50.
    5. Balaga Mohana Rao & Puja Padhi, 2019. "Identifying the Early Warnings of Currency Crisis in India," Foreign Trade Review, , vol. 54(4), pages 269-299, November.
    6. Mohana Rao BALAGA & Puja PADHI, 2017. "Evaluating Indian economy’s vulnerability to currency crisis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(612), A), pages 97-114, Autumn.

  47. Guglielmo Maria Caporale & Nicola Spagnolo, 2004. "Modelling East Asian exchange rates: a Markov-switching approach," Applied Financial Economics, Taylor & Francis Journals, vol. 14(4), pages 233-242.

    Cited by:

    1. Yucel, Eray, 2011. "A Review and Bibliography of Early Warning Models," MPRA Paper 32893, University Library of Munich, Germany.
    2. S. Anoop Kumar & B. Kamaiah, 2014. "On Chaotic Nature of the Emerging European Forex Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 17(53), pages 25-40, September.
    3. Claudio Bonilla & Rafael Romero-Meza & Melvin Hinich, 2006. "Episodic nonlinearity in Latin American stock market indices," Applied Economics Letters, Taylor & Francis Journals, vol. 13(3), pages 195-199.
    4. Christian Dunis & Jia Miao, 2007. "Trading foreign exchange portfolios with volatility filters: the carry model revisited," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 249-255.
    5. Chih-Nan Chen & Chien-Hsiu Lin, 2022. "Optimal carry trade portfolio choice under regime shifts," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 483-506, August.
    6. Firat Melih Yilmaz & Ozer Arabaci, 2021. "Should Deep Learning Models be in High Demand, or Should They Simply be a Very Hot Topic? A Comprehensive Study for Exchange Rate Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 217-245, January.
    7. Suman Das & Saikat Sinha Roy, 2021. "Predicting regime switching in BRICS currency volatility: a Markov switching autoregressive approach," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 48(2), pages 165-180, June.
    8. Oscar Claveria & Enric Monte & Petar Soric & Salvador Torra, 2022. "“An application of deep learning for exchange rate forecasting”," AQR Working Papers 202201, University of Barcelona, Regional Quantitative Analysis Group, revised Jan 2022.
    9. Diteboho Xaba & Ntebogang Dinah Moroke & Ishmael Rapoo, 2019. "Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 10-22.
    10. Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015. "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 755-789, May.
    11. Bellalah, Mondher & Masood, Omar & Thapa, Priya Darshini Pun & Levyne, Olivier & Triki, Rabeb, 2012. "Economic forces and stock exchange prices: pre and post impacts of global financial recession of 2008," MPRA Paper 50942, University Library of Munich, Germany.
    12. Chien-Chung Nieh & Jeng-Bau Lin & Yu-Shan Wang, 2008. "Regime-switching analysis for the impacts of exchange rate volatility on corporate values: a Taiwanese case," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 491-504.
    13. Wali, Muammer & Chan, Felix & Manzur, Meher, 2017. "Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?," Journal of Asian Economics, Elsevier, vol. 50(C), pages 62-72.
    14. Konstantinos N. Konstantakis & Ioannis G. Melissaropoulos & Theodoros Daglis & Panayotis G. Michaelides, 2023. "The euro to dollar exchange rate in the Covid‐19 era: Evidence from spectral causality and Markov‐switching estimation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2037-2055, April.
    15. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," CESifo Working Paper Series 5615, CESifo.
    16. Alexandros Pasiouras & Theodoros Daglis, 2020. "The Dollar Exchange Rates in the Covid-19 Era: Evidence from 5 Currencies," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 352-361.

  48. Caporale, Guglielmo Maria & Spagnolo, Nicola, 2003. "Asset prices and output growth volatility: the effects of financial crises," Economics Letters, Elsevier, vol. 79(1), pages 69-74, April.

    Cited by:

    1. Jin Guo, 2015. "Causal relationship between stock returns and real economic growth in the pre- and post-crisis period: evidence from China," Applied Economics, Taylor & Francis Journals, vol. 47(1), pages 12-31, January.
    2. Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2017. "Spillovers between food and energy prices and structural breaks," International Economics, Elsevier, vol. 150(C), pages 1-18.
    3. Eun Ahn & Jin Man Lee, 2006. "Volatility relationship between stock performance and real output," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 777-784.
    4. Karunanayake, Indika & Valadkhani, Abbas & O’Brien, Martin, 2012. "GDP Growth and the Interdependency of Volatility Spillovers," MPRA Paper 50398, University Library of Munich, Germany.
    5. Frömmel, Michael & Schmidt, Torsten, 2006. "Bank Lending and Asset Prices in the Euro Area," Hannover Economic Papers (HEP) dp-342, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    6. Habibullah, M.S. & Baharom, A.H. & Fong, Kin Hing, 2009. "Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries," MPRA Paper 14114, University Library of Munich, Germany.
    7. Nguyen, Trang & Chaiechi, Taha & Eagle, Lynne & Low, David, 2020. "Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 308-324.
    8. Grégory Levieuge, 2005. "Politique monétaire et prix d'actifs," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 317-355.
    9. Mr. Cyril Pouvelle, 2012. "Bank Credit, Asset Prices and Financial Stability: Evidence From French Banks," IMF Working Papers 2012/103, International Monetary Fund.
    10. Alexandros Kontonikas & Alberto Montagnoli & Nicola Spagnolo, 2006. "Stock Returns and Inflation: The Impact of Inflation Targeting," Working Papers 2005_11, Business School - Economics, University of Glasgow.
    11. Pasquale Foresti & Oreste Napolitano, 2016. "On the Stock Markets’ Reactions to Taxation and Public Expenditure," LEQS – LSE 'Europe in Question' Discussion Paper Series 115, European Institute, LSE.
    12. Ciccarone Giuseppe & Giuli Francesco & Marchetti Enrico, 2020. "Prospect Theory and sentiment-driven fluctuations," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-25, January.
    13. Talla M Aldeehani, 2019. "Have Stock Markets Become Less Volatile After the Great Recession?," Research in World Economy, Research in World Economy, Sciedu Press, vol. 10(3), pages 10-25, December.
    14. Abbas Valadkhani & George Chen, 2014. "An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries," International Review of Applied Economics, Taylor & Francis Journals, vol. 28(3), pages 323-335, May.
    15. Mercan Hatipoglu, 2020. "Revisiting Linkages between Stock Prices and Real Activity in OECD Countries: Does Finance Respond to Changing Situation of Economy?," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(1), pages 105-126.

  49. Guglielmo Maria Caporale & Nikitas Pittis & Nicola Spagnolo, 2003. "IGARCH models and structural breaks," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 765-768.

    Cited by:

    1. Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo.
    2. Tronzano, Marco, 2009. "Assessing the Volatility of the Euro on Foreign Exchange Markets: Further Empirical Evidence and Policy Implications," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 62(1), pages 103-131.
    3. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    4. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
    5. Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
    6. Dennis Koch & Vahidin Jeleskovic & Zahid I. Younas, 2024. "Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models," Papers 2401.03393, arXiv.org, revised Jan 2024.
    7. Frömmel, Michael, 2006. "Volatility Regimes in Central and Eastern European Countries' Exchange Rates," Hannover Economic Papers (HEP) dp-333, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    8. Nyoni, Thabani, 2018. "Modeling and Forecasting Inflation in Zimbabwe: a Generalized Autoregressive Conditionally Heteroskedastic (GARCH) approach," MPRA Paper 88132, University Library of Munich, Germany.
    9. Kuper, Gerard H. & Mulder, Machiel, 2016. "Cross-border constraints, institutional changes and integration of the Dutch–German gas market," Energy Economics, Elsevier, vol. 53(C), pages 182-192.
    10. Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," JRFM, MDPI, vol. 10(4), pages 1-15, October.
    11. Williams Ohemeng & Elvis Kwame Agyapong & Kenneth Ofori-Boateng, 2021. "Exchange rate and inflation dynamics: does the month or quarter of the year matter?," SN Business & Economics, Springer, vol. 1(6), pages 1-24, June.
    12. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
    13. Hu Liang & Shin Yongcheol, 2008. "Optimal Test for Markov Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-27, September.
    14. Heaney, Richard & Sriananthakumar, Sivagowry, 2012. "Time-varying correlation between stock market returns and real estate returns," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 583-594.
    15. Shiferaw, Y., 2018. "The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 275991, International Association of Agricultural Economists.

  50. Zacharias Psaradakis & Nicola Spagnolo, 2003. "On The Determination Of The Number Of Regimes In Markov‐Switching Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 237-252, March.
    See citations under working paper version above.
  51. Caporale, Guglielmo Maria & Pittis, Nikitas & Spagnolo, Nicola, 2002. "Testing for Causality-in-Variance: An Application to the East Asian Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 235-245, July.

    Cited by:

    1. Hafner, C.M. & Herwartz, H., 2004. "Testing for causality in variance using multivariate GARCH models," Econometric Institute Research Papers EI 2004-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008. "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2547-2560.
    3. Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
    4. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
    5. 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.
    6. Pablo Mendieta Ossio & Sergio Cerezo Aguirre & Javier Cossío Medinacelli, 2009. "¿La inflación está de vuelta en Sudamérica?. Choques exógenos, expectativas y credibilidad de la política monetaria," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 11(1), pages 111-146, December.
    7. Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
    8. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2016. "Intra-national and international spillovers between the real economy and the stock market: The case of China," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 78-92.
    9. Nàtalia Valls & Helena Chulià, 2014. "“Volatility Transmission between the stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis”," IREA Working Papers 201431, University of Barcelona, Research Institute of Applied Economics, revised Dec 2014.
    10. Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper series 21_13, Rimini Centre for Economic Analysis.
    11. Grydaki, Maria & Bezemer, Dirk J., 2012. "The Role of Credit in Great Moderation: a Multivariate GARCH Approach," MPRA Paper 39813, University Library of Munich, Germany.
    12. Nikos Nomikos & Enrique Salvador, 2014. "The role of volatility regimes on volatility transmission patterns," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 1-13, January.
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  52. Psaradakis Zacharias & Spagnolo Nicola, 2002. "Power Properties of Nonlinearity Tests for Time Series with Markov Regimes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-16, November.

    Cited by:

    1. Chen, Shyh-Wei, 2011. "Current account deficits and sustainability: Evidence from the OECD countries," Economic Modelling, Elsevier, vol. 28(4), pages 1455-1464, July.
    2. Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings 26, Econometric Society.
    3. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
    4. Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena, 2013. "Causes of nonlinearities in low-order models of the real exchange rate," Journal of International Economics, Elsevier, vol. 91(1), pages 128-141.
    5. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2017. "Are linear models really unuseful to describe business cycle data?," MPRA Paper 79413, University Library of Munich, Germany.
    6. Chen, Shyh-Wei & Shen, Chung-Hua, 2012. "Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach," Economic Modelling, Elsevier, vol. 29(2), pages 291-298.
    7. Shyh-Wei Chen, 2010. "Testing for the Sustainability of the Current Account Deficit in Four Industrial Countries: A Revisitation," Economics Bulletin, AccessEcon, vol. 30(2), pages 1474-1495.
    8. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.
    9. Joao Leitao & Joaquim Ferreira & Ernesto Santibanez‐Gonzalez, 2021. "Green bonds, sustainable development and environmental policy in the European Union carbon market," Business Strategy and the Environment, Wiley Blackwell, vol. 30(4), pages 2077-2090, May.
    10. Chen, Shyh-Wei, 2011. "Are current account deficits really sustainable in the G-7 countries?," Japan and the World Economy, Elsevier, vol. 23(3), pages 190-201.
    11. Chen, Shyh-Wei & Hsu, Chi-Sheng, 2016. "Threshold, smooth transition and mean reversion in inflation: New evidence from European countries," Economic Modelling, Elsevier, vol. 53(C), pages 23-36.
    12. Chen, Shyh-Wei & Xie, Zixiong, 2015. "Testing for current account sustainability under assumptions of smooth break and nonlinearity," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 142-156.
    13. Marian Vavra, 2012. "Robustness of Power Properties of Non-linearity Tests," Birkbeck Working Papers in Economics and Finance 1205, Birkbeck, Department of Economics, Mathematics & Statistics.
    14. Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).
    15. Chen, Shyh-Wei, 2014. "Smooth transition, non-linearity and current account sustainability: Evidence from the European countries," Economic Modelling, Elsevier, vol. 38(C), pages 541-554.
    16. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
    17. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88.
    18. O'Brien, Edward J., 2008. "A note on spurious nonlinear regression," Economics Letters, Elsevier, vol. 100(3), pages 366-368, September.

  53. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2002. "A test for volatility spillovers," Economics Letters, Elsevier, vol. 76(1), pages 77-84, June.
    See citations under working paper version above.

Chapters

  1. Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2014. "Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 117-132, Springer.

    Cited by:

    1. Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2017. "Portfolio flows and the US dollar–yen exchange rate," Empirical Economics, Springer, vol. 52(1), pages 179-189, February.
    2. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," CESifo Working Paper Series 5615, CESifo.

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