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Volatility spillover shifts in global financial markets

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  1. Li, Hailing & Pei, Xiaoyun & Yang, Yimin & Zhang, Hua, 2024. "Assessing the impact of energy-related uncertainty on G20 stock market returns: A decomposed contemporaneous and lagged R2 connectedness approach," Energy Economics, Elsevier, vol. 132(C).
  2. Syed Jawad Hussain Shahzad & Elie Bouri & Sang Hoon Kang & Tareq Saeed, 2021. "Regime specific spillover across cryptocurrencies and the role of COVID-19," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
  3. Sarwar, Ghulam, 2020. "Interrelations in market fears of U.S. and European equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  4. Xu, Weiju & Ma, Feng & Chen, Wang & Zhang, Bing, 2019. "Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States," Energy Economics, Elsevier, vol. 80(C), pages 310-320.
  5. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
  6. Kang, Sang Hoon & Maitra, Debasish & Dash, Saumya Ranjan & Brooks, Robert, 2019. "Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  7. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Fed’s unconventional monetary policy and risk spillover in the US financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 42-52.
  8. 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).
  9. BenMim, Imen & BenSaïda, Ahmed, 2019. "Financial contagion across major stock markets: A study during crisis episodes," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 187-201.
  10. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
  11. Kim, Young Min & Lee, Seojin, 2023. "Spillover shifts in the FX market: Implication for the behavior of a safe haven currency," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
  12. Wilms, Ines & Rombouts, Jeroen & Croux, Christophe, 2021. "Multivariate volatility forecasts for stock market indices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 484-499.
  13. Vladimir Balash & Alexey Faizliev & Sergei Sidorov & Elena Chistopolskaya, 2021. "Conditional Time-Varying General Dynamic Factor Models and Its Application to the Measurement of Volatility Spillovers across Russian Assets," Mathematics, MDPI, vol. 9(19), pages 1-31, October.
  14. Jiang, Shangwei & Jin, Xiu, 2021. "Effects of investor sentiment on stock return volatility: A spatio-temporal dynamic panel model," Economic Modelling, Elsevier, vol. 97(C), pages 298-306.
  15. Apostolou, Apostolos & Beirne, John, 2019. "Volatility spillovers of unconventional monetary policy to emerging market economies," Economic Modelling, Elsevier, vol. 79(C), pages 118-129.
  16. Muhammad Abubakr Naeem & Mudassar Hasan & Abraham Agyemang & Md Iftekhar Hasan Chowdhury & Faruk Balli, 2023. "Time‐frequency dynamics between fear connectedness of stocks and alternative assets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2188-2201, April.
  17. Hleil Alrweili & Ousama Ben-Salha, 2024. "Dynamic Asymmetric Volatility Spillover and Connectedness Network Analysis among Sectoral Renewable Energy Stocks," Mathematics, MDPI, vol. 12(12), pages 1-20, June.
  18. Lastrapes, William D. & Wiesen, Thomas F.P., 2021. "The joint spillover index," Economic Modelling, Elsevier, vol. 94(C), pages 681-691.
  19. Sheng, Lin Wen & Uddin, Gazi Salah & Sen, Ding & Hao, Zhu Shi, 2024. "The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference," International Review of Financial Analysis, Elsevier, vol. 91(C).
  20. Al-Nassar, Nassar S. & Assaf, Rima & Chaibi, Anis & Makram, Beljid, 2024. "The nexus between mineral, renewable commodities, and regional stock sectors during health and military crises," Resources Policy, Elsevier, vol. 96(C).
  21. Liow, Kim Hiang & Song, Jeongseop, 2020. "Dynamic interdependence of ASEAN5 with G5 stock markets," Emerging Markets Review, Elsevier, vol. 45(C).
  22. Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea & Vo, Xuan Vinh, 2022. "Switching connectedness between real estate investment trusts, oil, and gold markets," Finance Research Letters, Elsevier, vol. 49(C).
  23. 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).
  24. Luciano Campos & Jesús Ruiz Andújar, 2022. "Common and idiosyncratic components of Latin American business cycles connectedness," Journal of Applied Economics, Taylor & Francis Journals, vol. 25(1), pages 691-722, December.
  25. Nupur Moni Das & Bhabani Sankar Rout & Yashmin Khatun, 2023. "Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 795-816, December.
  26. Wenhua Hu & Jing Pang & Wei Li, 2024. "The Risk Spillover Effects and Network Connectedness Between Real Estate and Other Sectors in China," SAGE Open, , vol. 14(2), pages 21582440241, April.
  27. Leonardo Badea & Daniel Ştefan Armeanu & Iulian Panait & Ştefan Cristian Gherghina, 2019. "A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings," Sustainability, MDPI, vol. 11(5), pages 1-24, March.
  28. Hernandez, Jose Arreola & Shahzad, Syed Jawad Hussain & Sadorsky, Perry & Uddin, Gazi Salah & Bouri, Elie & Kang, Sang Hoon, 2022. "Regime specific spillovers across US sectors and the role of oil price volatility," Energy Economics, Elsevier, vol. 107(C).
  29. Jian, Zhihong & Lu, Haisong & Zhu, Zhican & Xu, Huiling, 2023. "Frequency heterogeneity of tail connectedness: Evidence from global stock markets," Economic Modelling, Elsevier, vol. 125(C).
  30. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
  31. Carlos Pinho & Isabel Maldonado, 2022. "Commodity and Equity Markets: Volatility and Return Spillovers," Commodities, MDPI, vol. 1(1), pages 1-16, July.
  32. Yahyaei, Hamid & Singh, Abhay & De Mello, Lurion, 2024. "The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia," International Review of Economics & Finance, Elsevier, vol. 94(C).
  33. Mariya Paskaleva & Ani Stoykova, 2021. "The Influence of Uncertainty on Market Efficiency: Evidence from Selected European Financial Markets," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 175-198.
  34. Mudassar Hasan & Muhammad Abubakr Naeem & Muhammad Arif & Syed Jawad Hussain Shahzad & Safwan Mohd Nor, 2020. "Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities," Mathematics, MDPI, vol. 8(11), pages 1-17, October.
  35. Pineda, Julián & Cortés, Lina M. & Perote, Javier, 2022. "Financial contagion drivers during recent global crises," Economic Modelling, Elsevier, vol. 117(C).
  36. Aslanidis, Nektarios & Martinez, Oscar, 2021. "Correlation regimes in international equity and bond returns," Economic Modelling, Elsevier, vol. 97(C), pages 397-410.
  37. Liu, Xiaoxing & Shehzad, Khurram & Kocak, Emrah & Zaman, Umer, 2022. "Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold," Resources Policy, Elsevier, vol. 79(C).
  38. Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
  39. Khurram Shehzad & Xiaoxing Liu & Aviral Tiwari & Muhammad Arif & Abdul Rauf, 2021. "Analysing time difference and volatility linkages between China and the United States during financial crises and stable period using VARX‐DCC‐MEGARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 814-833, January.
  40. Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
  41. Muhammad Niaz Khan & Suzanne G. M. Fifield & Nongnuch Tantisantiwong & David M. Power, 2022. "Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 87-117, March.
  42. 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.
  43. Sheng Cheng & Wei Liu & Qisheng Jiang & Yan Cao, 2023. "Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1593-1616, April.
  44. Kang, Sang Hoon & Uddin, Gazi Salah & Troster, Victor & Yoon, Seong-Min, 2019. "Directional spillover effects between ASEAN and world stock markets," Journal of Multinational Financial Management, Elsevier, vol. 52.
  45. Tsang, Andrew & Yiu, Matthew S. & Nguyen, Huy Toan, 2021. "Spillover across sovereign bond markets between the US and ASEAN4 economies," Journal of Asian Economics, Elsevier, vol. 76(C).
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