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Sven Wagner

Personal Details

First Name:Sven
Middle Name:
Last Name:Wagner
Suffix:
RePEc Short-ID:pwa562
http://www.oekonometrie.uni-saarland.de/

Affiliation

Fachrichtung Wirtschaftswissenschaft
Universität des Saarlandes

Saarbrücken, Germany
https://www.uni-saarland.de/fachrichtung/wiwi.html
RePEc:edi:fwsaade (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Stefan Klößner & Sven Wagner, 2014. "Exploring All Var Orderings For Calculating Spillovers? Yes, We Can!—A Note On Diebold And Yilmaz (2009)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 172-179, January.

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.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Stefan Klößner & Sven Wagner, 2014. "Exploring All Var Orderings For Calculating Spillovers? Yes, We Can!—A Note On Diebold And Yilmaz (2009)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 172-179, January.

    Mentioned in:

    1. Exploring All VAR Orderings for Calculating Spillovers? Yes, We Can! A Note on Diebold and Yilmaz (2009) (Journal of Applied Econometrics 2014) in ReplicationWiki ()

Articles

  1. Stefan Klößner & Sven Wagner, 2014. "Exploring All Var Orderings For Calculating Spillovers? Yes, We Can!—A Note On Diebold And Yilmaz (2009)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 172-179, January.

    Cited by:

    1. Candelon, Bertrand & Ferrara, Laurent & Joëts, Marc, 2021. "Global financial interconnectedness: a non-linear assessment of the uncertainty channel," LIDAM Reprints LFIN 2021003, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Singh, Vipul Kumar & Kumar, Pawan & Nishant, Shreyank, 2019. "Global connectedness of MSCI energy equity indices: A system-wide network approach," Energy Economics, Elsevier, vol. 84(C).
    3. Stefan Klößner & Rodrigo Sekkel, 2014. "International Spillovers of Policy Uncertainty," Staff Working Papers 14-57, Bank of Canada.
    4. Julien Chevallier & Duc Khuong Nguyen & Jonathan Siverskog & Gazi Salah Uddin, 2017. "Market Integration and Financial Linkages among Stock Markets in Pacific Basin Countries," Working Papers 2017-005, Department of Research, Ipag Business School.
    5. David Gabauer, 2020. "Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 788-796, August.
    6. Jozef Baruni & Evzen Kocenda & Lukas Vacha, 2015. "Volatility spillovers across petroleum markets," William Davidson Institute Working Papers Series wp1093, William Davidson Institute at the University of Michigan.
    7. Wiesen, Thomas F.P. & Beaumont, Paul M. & Norrbin, Stefan C. & Srivastava, Anuj, 2018. "Are generalized spillover indices overstating connectedness?," Economics Letters, Elsevier, vol. 173(C), pages 131-134.
    8. Awartani, Basel & Aktham, Maghyereh & Cherif, Guermat, 2016. "The connectedness between crude oil and financial markets: Evidence from implied volatility indices," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 56-69.
    9. Sachapon Tungsong & Fabio Caccioli & Tomaso Aste, 2017. "Relation between regional uncertainty spillovers in the global banking system," Papers 1702.05944, arXiv.org.
    10. Gopal K. Basak & Arnab Bhattacharjee & Samarjit Das, 2018. "Causal ordering and inference on acyclic networks," Empirical Economics, Springer, vol. 55(1), pages 213-232, August.
    11. Dobromił Serwa & Piotr Wdowiński, 2017. "Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(4), pages 323-357, December.
    12. Jonathan Rice, 2020. "Policy Uncertainty Shocks and Small Open Economies in Monetary Union: a Case Study of Ireland," Trinity Economics Papers tep1020, Trinity College Dublin, Department of Economics.
    13. Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo.
    14. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
    15. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017. "Volatility spillover and multivariate volatility impulse response analysis of GFC news events," Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
    16. Timo Bettendorf & Reinhold Heinlein, 2023. "Connectedness between G10 currencies: Searching for the causal structure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3938-3959, October.
    17. 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).
    18. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    19. Tiantian Liu & Tadahiro Nakajima & Shigeyuki Hamori, 2022. "The impact of economic uncertainty caused by COVID-19 on renewable energy stocks," Empirical Economics, Springer, vol. 62(4), pages 1495-1515, April.
    20. Rodolfo C. Moura & Márcio P. Laurini, 2021. "Spillovers and jumps in global markets: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5997-6013, October.
    21. Jozef Barunk & Evzen KoÄ enda & Lukáš Váchaa, 2015. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, , vol. 36(3), pages 309-330, July.
    22. Qinkai Chen & Christian-Yann Robert, 2021. "Graph-Based Learning for Stock Movement Prediction with Textual and Relational Data," Papers 2107.10941, arXiv.org, revised Dec 2021.
    23. Umut Akovali, 2020. "Beyond Connectedness: A Covariance Decomposition based Network Risk Model," Koç University-TUSIAD Economic Research Forum Working Papers 2003, Koc University-TUSIAD Economic Research Forum.
    24. Li, Qiang & Nong, Huifu, 2022. "A closer look at Chinese housing market: Measuring intra-city submarket connectedness in Shanghai and Guangzhou," China Economic Review, Elsevier, vol. 74(C).
    25. Andrew Castro & Neville Francis, 2018. "What Economic Factors Underlie Connectedness in Corporate Credit Default Swaps: News vs. Macroeconomic Factors?," 2018 Meeting Papers 586, Society for Economic Dynamics.
    26. Bettendorf, Timo & Heinlein, Reinhold, 2019. "Connectedness between G10 currencies: Searching for the causal structure," Discussion Papers 06/2019, Deutsche Bundesbank.
    27. Herwartz, Helmut & Roestel, Jan, 2018. "A structural approach to identify financial transmission in distinguished scenarios of crises," Economics Working Papers 2018-08, Christian-Albrechts-University of Kiel, Department of Economics.
    28. 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).
    29. Marcello Pericoli & Marco Taboga, 2015. "Decomposing euro area sovereign spreads: credit, liquidity and convenience," Temi di discussione (Economic working papers) 1021, Bank of Italy, Economic Research and International Relations Area.
    30. Barbara Rossi & Tatevik Sekhposyan, 2017. "Macroeconomic uncertainty indices for the Euro Area and its individual member countries," Empirical Economics, Springer, vol. 53(1), pages 41-62, August.
    31. Francesco Caloia & Andrea Cipollini & Silvia Muzzioli, 2018. "On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study," Department of Economics 0131, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    32. Tsang, Kwok Ping & Yang, Zichao, 2020. "Price dispersion in bitcoin exchanges," Economics Letters, Elsevier, vol. 194(C).
    33. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
    34. Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H., 2016. "Who are the net senders and recipients of volatility spillovers in China’s financial markets?," Finance Research Letters, Elsevier, vol. 18(C), pages 255-262.
    35. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.

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