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No Contagion, Only Interdependence: Measuring Stock Market Co-movements
Citations
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As found by EconAcademics.org, the blog aggregator for Economics research:- International business cycle synchronization: what is the role of financial linkages?
by bankunderground in Bank Underground on 2016-04-06 11:30:09
Citations
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Cited by:
- Colin Ellis, 2020. "Are Corporate Bond Defaults Contagious across Sectors?," IJFS, MDPI, vol. 8(1), pages 1-17, January.
- Manish Kumar, 2011. "Return and volatility spillovers: evidence from Indian exchange rates," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 3(4), pages 371-387.
- Mora, Ricardo & Siotis, Georges, 2005.
"External factors in emerging market recoveries: An empirical investigation,"
European Economic Review, Elsevier, vol. 49(3), pages 683-702, April.
- Ricardo Mora & Georges Siotis, 2000. "External Factors in Emerging Market Recoveries: An Empirical Investigation," Econometric Society World Congress 2000 Contributed Papers 1415, Econometric Society.
- Joanna Olbrys, 2013. "Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S2), pages 145-157, March.
- Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013.
"Stock Return Co-movement and Systemic Risk in the Turkish Banking System,"
Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(Special I), pages 41-63.
- Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
- Mahir Binici & Bulent Koksal & Cuneyt Orman, 2013. "Stock Return Comovement and Systemic Risk in the Turkish Banking System," Working Papers 1302, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Zhang, Xingwei & Zheng, Xiaolong & Zeng, Daniel Dajun, 2017. "The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 32-42.
- Tola, Albi & Wälti, Sébastien, 2015.
"Deciphering financial contagion in the euro area during the crisis,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 108-123.
- Tola, Albi & Wälti, Sébastien, 2012. "Deciphering financial contagion in the euro area during the crisis," MPRA Paper 49251, University Library of Munich, Germany.
- Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2004.
"Firm-Specific Variation and Openness in Emerging Markets,"
The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 658-669, August.
- Kan Li & Randall Morck & Fan Yang & Bernard Yeung, 2003. "Firm-Specific Variation and Openness in Emerging Markets," William Davidson Institute Working Papers Series 2003-623, William Davidson Institute at the University of Michigan.
- 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.
- Elyasiani, Elyas & Mansur, Iqbal & Pagano, Michael S., 2007. "Convergence and risk-return linkages across financial service firms," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1167-1190, April.
- Bagliano, Fabio C. & Morana, Claudio, 2009.
"International macroeconomic dynamics: A factor vector autoregressive approach,"
Economic Modelling, Elsevier, vol. 26(2), pages 432-444, March.
- Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach," Carlo Alberto Notebooks 32, Collegio Carlo Alberto.
- Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999.
"The Distribution of Exchange Rate Volatility,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-059, New York University, Leonard N. Stern School of Business-.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," NBER Working Papers 6961, National Bureau of Economic Research, Inc.
- Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011.
"Stocks, bonds, money markets and exchange rates: measuring international financial transmission,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
- Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series 452, European Central Bank.
- Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
- De Bandt, Olivier & Hartmann, Philipp, 2000.
"Systemic risk: A survey,"
Working Paper Series
35, European Central Bank.
- de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
- Gallegati, Marco, 2012. "A wavelet-based approach to test for financial market contagion," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3491-3497.
- Baur, Dirk G. & McDermott, Thomas K., 2010.
"Is gold a safe haven? International evidence,"
Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
- Dirk G. Baur & Thomas K. McDermott, "undated". "Is gold a safe haven? International evidence," The Institute for International Integration Studies Discussion Paper Series iiisdp310, IIIS.
- Mattiussi, V. & Iori, G., 2006. "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis," Working Papers 06/09, Department of Economics, City University London.
- Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
- De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank.
- Naifar, Nader, 2016. "Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 29-39.
- Levy Yeyati, Eduardo & Williams, Tomas, 2012.
"Emerging economies in the 2000s: Real decoupling and financial recoupling,"
Journal of International Money and Finance, Elsevier, vol. 31(8), pages 2102-2126.
- Eduardo Levy Yeyati & Tomas Williams, 2011. "Emerging economies in the 2000s:Real decoupling and financial recoupling," Business School Working Papers 2011-06_correccion, Universidad Torcuato Di Tella.
- Yeyati, Eduardo Levy & Williams, Tomas, 2012. "Emerging economies in the 2000s : real decoupling and financial recoupling," Policy Research Working Paper Series 5961, The World Bank.
- Koulakiotis, Athanasios & Kartalis, Nikos & Lyroudi, Katerina & Papasyriopoulos, Nicholas, 2013. "The impact of corporate governance, regulatory differences and futures contracts on movements among portfolios of cross-listed equities: The case of Germany," Journal of Multinational Financial Management, Elsevier, vol. 23(1), pages 34-53.
- Mandilaras, Alex & Bird, Graham, 2007.
"Foreign exchange markets in South-East Asia 1990-2004: An empirical analysis of spillovers during crisis and non-crisis periods,"
The North American Journal of Economics and Finance, Elsevier, vol. 18(1), pages 41-57, February.
- Alex Mandilaras & Graham Bird, 2007. "Foreign exchange markets in south-east Asia 1990-2004: An empirical analysis of spillovers during crisis and non-crisis periods," Money Macro and Finance (MMF) Research Group Conference 2006 40, Money Macro and Finance Research Group.
- Anna Pavlova & Roberto Rigobon, 2008.
"The Role of Portfolio Constraints in the International Propagation of Shocks,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
- Rigobon, Roberto & Pavlova, Anna, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, C.E.P.R. Discussion Papers.
- Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2017. "The Credit Default Swap market contagion during recent crises: International evidence," Working Papers hal-01572510, HAL.
- Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018.
"Macro Aspects of Housing,"
GRU Working Paper Series
GRU_2018_016, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," Globalization Institute Working Papers 340, Federal Reserve Bank of Dallas.
- Leung, Charles Ka Yui & Ng, Joe Cho Yiu, 2018. "Macro Aspects of Housing," MPRA Paper 93512, University Library of Munich, Germany.
- Charles Ka Yui LEUNG & Joe Cho Yiu NG, 2018. "Macro Aspects of Housing," ISER Discussion Paper 1030, Institute of Social and Economic Research, Osaka University.
- Trenca Ioan & Petria Nicolae & Dezsi Eva, 2013. "An Inquiry Into Contagion Transmission And Spillover Effects In Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 472-482, December.
- Mahfuzul Haque & Hannarong Shamsub, 2015. "Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets," IJFS, MDPI, vol. 3(4), pages 1-30, December.
- el Alaoui, AbdelKader O. & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2017.
"Leverage versus volatility: Evidence from the capital structure of European firms,"
Economic Modelling, Elsevier, vol. 62(C), pages 145-160.
- el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage versus volatility: Evidence from the Capital Structure of European Firms," MPRA Paper 57682, University Library of Munich, Germany.
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019.
"Return spillovers around the globe: A network approach,"
Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
- Stefan Lyocsa & Tomas Vyrost & Eduard Baumohl, 2015. "Return spillovers around the globe: A network approach," Papers 1507.06242, arXiv.org, revised Nov 2015.
- Boubakri, Salem & Guillaumin, Cyriac, 2015.
"Regional integration of the East Asian stock markets: An empirical assessment,"
Journal of International Money and Finance, Elsevier, vol. 57(C), pages 136-160.
- Salem Boubakri & Cyriac Guillaumin, 2015. "Regional integration of the East Asian stock markets : an empirical assessment," Post-Print halshs-01195916, HAL.
- Dimitriou, Dimitrios & Kenourgios, Dimitris, 2013. "Financial crises and dynamic linkages among international currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 319-332.
- Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2008.
"Testing the Hypothesis of Contagion Using Multivariate Volatility Models,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 28(2), November.
- Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testing the Hypothesis of Contagion using Multivariate Volatility Models," MPRA Paper 15623, University Library of Munich, Germany.
- Pereira, Pedro L. Valls, 2009. "Testing the hypothesis of contagion using multivariate volatility models," Textos para discussão 174, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Evrim Imer-Ertunga, 2011. "Global financing conditions and sovereign debt yields of emerging market countries," Applied Financial Economics, Taylor & Francis Journals, vol. 21(4), pages 207-215.
- Sensoy, Ahmet & Sobaci, Cihat, 2014. "Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey," Economic Modelling, Elsevier, vol. 43(C), pages 448-457.
- Pedro Bação & João Maia Domingues & António Portugal Duarte, 2012.
"Financial Crisis and Domino Effect,"
Book Chapters, in: João Sousa Andrade & Marta C. N. Simões & Ivan Stosic & Dejan Eric & Hasan Hanic (ed.), Managing Structural Changes - Trends and Requirements, edition 1, volume 1, chapter 11, pages 199-213,
Institute of Economic Sciences.
- Pedro Bação & João Maia Domingues & António Portugal Duarte, 2012. "Financial Crisis and Domino Effect," GEMF Working Papers 2012-10, GEMF, Faculty of Economics, University of Coimbra.
- Radosław Kurach, 2013. "Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
- Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008.
"On the stability of domestic financial market linkages in the presence of time-varying volatility,"
Emerging Markets Review, Elsevier, vol. 9(4), pages 280-301, December.
- Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Economics Department Working Paper Series n1981108.pdf, Department of Economics, National University of Ireland - Maynooth.
- Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Marçal, Emerson Fernandes & Cunha, Ronan & Merlin, Giovanni Tondin & Simões, Oscar, 2017. "The aftermath of 2008 turmoil on Brazilian economy: Tsunami or “Marolinha”?," Textos para discussão 459, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Claeys, Peter & Vašíček, Bořek, 2014.
"Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe,"
Journal of Banking & Finance, Elsevier, vol. 46(C), pages 151-165.
- Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
- Khaled GUESMI & Salma FATTOUM, 2014. "The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach," Economics Bulletin, AccessEcon, vol. 34(1), pages 510-519.
- Mokni, Khaled & Youssef, Manel, 2019. "Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 14-33.
- Roberto Rigobón & Kristin Forbes, 2001.
"Contagion in Latin America: Definitions, Measurement, and Policy Implications,"
Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 1-46, January.
- Kristin Forbes & Roberto Rigobon, 2000. "Contagion in Latin America: Definitions, Measurement, and Policy Implications," NBER Working Papers 7885, National Bureau of Economic Research, Inc.
- Forbes, Kristin J. & Rigobon, Roberto, 2001. "Contagion in Latin America: definitions, measurement, and policy implications," LSE Research Online Documents on Economics 123085, London School of Economics and Political Science, LSE Library.
- Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
- el Alaoui, Abdelkader O. & Dewandaru, Ginanjar & Azhar Rosly, Saiful & Masih, Mansur, 2015. "Linkages and co-movement between international stock market returns: Case of Dow Jones Islamic Dubai Financial Market index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 53-70.
- Kuchin I.I., 2016. "Exchange rate risk exposure in asset pricing theory," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(3), pages 31-41.
- Bunda, Irina & Hamann, A. Javier & Lall, Subir, 2009.
"Correlations in emerging market bonds: The role of local and global factors,"
Emerging Markets Review, Elsevier, vol. 10(2), pages 67-96, June.
- Mr. A. J Hamann & Irina Bunda & Mr. Subir Lall, 2010. "Correlations in Emerging Market Bonds: The Role of Local and Global Factors," IMF Working Papers 2010/006, International Monetary Fund.
- Beirne, John & Fratzscher, Marcel, 2013.
"The pricing of sovereign risk and contagion during the European sovereign debt crisis,"
Journal of International Money and Finance, Elsevier, vol. 34(C), pages 60-82.
- Fratzscher, Marcel & Beirne, John, 2012. "The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis," CEPR Discussion Papers 9249, C.E.P.R. Discussion Papers.
- Fratzscher, Marcel & Beirne, John, 2013. "The pricing of sovereign risk and contagion during the European sovereign debt crisis," Working Paper Series 1625, European Central Bank.
- Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2016.
"Continuous wavelet transform and rolling correlation of European stock markets,"
International Review of Economics & Finance, Elsevier, vol. 42(C), pages 237-256.
- Aviral Kumar Tiwari & Mihai Ioan Mutascu & Claudiu Tiberiu Albulescu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," Post-Print hal-03528475, HAL.
- Bernard Yeung & Randall Morck & Daniel Wolfenzon, 2004.
"Corporate Governance, Economic Entrenchment and Growth,"
Working Papers
04-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- Randall Morck & Daniel Wolfenzon & Bernard Yeung, 2004. "Corporate Governance, Economic Entrenchment and Growth," NBER Working Papers 10692, National Bureau of Economic Research, Inc.
- Kim Hiang Liow & Qing Ye, 2018. "Regime dependent volatilities and correlation in international securitized real estate markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(3), pages 457-487, August.
- Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009.
"Central bank FOREX interventions assessed using realized moments,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 112-127, February.
- Beine, M. & Laurent, S. & Palm, F.C., 2003. "Central bank FOREX interventions assessed using realized moments," Research Memorandum 043, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- BEINE, Michel & LAURENT, Sébastien & PALM, Franz, 2004. "Central Bank forex interventions assessed using realized moments," LIDAM Discussion Papers CORE 2004001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BEINE, Michel & LAURENT, Sébastien & PALM, Franz C., 2009. "Central bank FOREX interventions assessed using realized moments," LIDAM Reprints CORE 2135, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Yip, Pick Schen & Lau, Wee-Yeap & Brooks, Robert, 2024. "Portfolio balance effect of the U.S. QE between commodities and financial assets in commodity-exporting countries," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
- Małgorzata Doman & Ryszard Doman, 2013. "Dynamic linkages between stock markets: the effects of crises and globalization," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(2), pages 87-112, August.
- Michel Beine & Bertrand Candelon, 2011.
"Liberalisation and stock market co-movement between emerging economies,"
Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 299-312.
- Michel Beine & Bertrand Candelon, 2007. "Liberalization and Stock Market Co-Movement between Emerging Economies," CESifo Working Paper Series 2131, CESifo.
- Michel Beine & Bertrand Candelon, 2011. "Liberalisation and stock market co-movement between emerging economies," ULB Institutional Repository 2013/169589, ULB -- Universite Libre de Bruxelles.
- Saiful Izzuan Hussain & Steven Li, 2018. "The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 207-233, May.
- Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2013. "Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 46-56.
- Shin-ichi Fukuda & Mariko Tanaka, 2017.
"The Impacts of Emerging Asia on Global Financial Markets,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(12), pages 2725-2743, December.
- Shin-ichi Fukuda & Mariko Tanaka, 2017. "The Impacts of Emerging Asia on Global Financial Markets," CIRJE F-Series CIRJE-F-1050, CIRJE, Faculty of Economics, University of Tokyo.
- Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
- He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
- Gus, Garita & Chen, Zhou, 2011. "Averting Currency Crises: The Pros and Cons of Financial Openness," MPRA Paper 30218, University Library of Munich, Germany.
- Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2018.
"Modeling extreme risks in commodities and commodity currencies,"
Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 108-120.
- Fernanda Fuentes & Rodrigo Herrera & Adam Clements, 2016. "Modelling Extreme Risks in Commodities and Commodity Currencies," NCER Working Paper Series 115, National Centre for Econometric Research.
- Edwards, Sebastian & Biscarri, Javier Gomez & Perez de Gracia, Fernando, 2003.
"Stock market cycles, financial liberalization and volatility,"
Journal of International Money and Finance, Elsevier, vol. 22(7), pages 925-955, December.
- Sebastian Edwards & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," Faculty Working Papers 08/03, School of Economics and Business Administration, University of Navarra.
- Sebastian Edwards & Javier Gomez Biscarri & Fernando Perez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," NBER Working Papers 9817, National Bureau of Economic Research, Inc.
- Schaeck, K. & Silva Buston, C.F. & Wagner, W.B., 2013.
"The Two Faces of Interbank Correlation,"
Discussion Paper
2013-077, Tilburg University, Center for Economic Research.
- Wagner, Wolf & Schaeck, Klaus & Silva Buston, Consuelo, 2017. "The two faces of interbank correlation," CEPR Discussion Papers 12363, C.E.P.R. Discussion Papers.
- Roman Horvath & Petr Poldauf, 2012.
"International Stock Market Comovements: What Happened during the Financial Crisis?,"
Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 12(1), pages 1-21, March.
- Horvath Roman & Poldauf Petr, 2012. "International Stock Market Comovements: What Happened during the Financial Crisis?," Global Economy Journal, De Gruyter, vol. 12(1), pages 1-21, March.
- Horvath, Roman & Poldauf, Petr, 2011. "International stock market comovements: what happened during the financial crisis?," MPRA Paper 35317, University Library of Munich, Germany.
- Stanislaus Maier-Paape & Andreas Platen, 2016. "Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process," Risks, MDPI, vol. 4(3), pages 1-20, July.
- Heathcote, Jonathan & Perri, Fabrizio, 2004.
"Financial globalization and real regionalization,"
Journal of Economic Theory, Elsevier, vol. 119(1), pages 207-243, November.
- Heathcote, Jonathan & Perri, Fabrizio, 2001. "Financial Globalization and Real Regionalization," Working Papers 01-05, Duke University, Department of Economics.
- Jonathan Heathcote, 2003. "Financial Globalization and Real Regionalization," Working Papers gueconwpa~03-03-20, Georgetown University, Department of Economics.
- Jonathan Heathcote & Fabrizio Perri, 2002. "Financial Globalization and Real Regionalization," NBER Working Papers 9292, National Bureau of Economic Research, Inc.
- Heathcote, Jonathan & Perri, Fabrizio, 2002. "Financial Globalization and Real Regionalization," CEPR Discussion Papers 3268, C.E.P.R. Discussion Papers.
- Jonathan Heathcote & Fabrizio Perri, 2001. "Financial Globalization and Real Regionalization," Working Papers 01-11, New York University, Leonard N. Stern School of Business, Department of Economics.
- Heathcote, J. & Perri, F., 2001. "Financial Globalization and Real Regionalization," New York University, Leonard N. Stern School Finance Department Working Paper Seires 01-11, New York University, Leonard N. Stern School of Business-.
- Jayech, Selma, 2016. "The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 631-646.
- Muñoz, Mª Pilar & Márquez, María Dolores & Sánchez, Josep A., 2011. "Contagion between United States and european markets during the recent crises," MPRA Paper 35993, University Library of Munich, Germany.
- Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.
- Kuo-Jung Lee & Su-Lien Lu & You Shih, 2018. "Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-25, March.
- Syed jawad hussain Shahzad & Saba Ameer & Muhammad Shahbaz, 2016.
"Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach,"
Economics Bulletin, AccessEcon, vol. 36(4), pages 2465-2473.
- Syed Jawad Hussain Shahzad & Saba Ameer & Muhammad Shahbaz, 2016. "Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach," Post-Print hal-02013740, HAL.
- 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.
- gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, University Library of Munich, Germany.
- Urbina, Jilber, 2013. "Financial Spillovers Across Countries: Measuring shock transmissions," MPRA Paper 75756, University Library of Munich, Germany.
- Jinjarak, Yothin, 2014. "Equity prices and financial globalization," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 49-57.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015.
"“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”,"
IREA Working Papers
201508, University of Barcelona, Research Institute of Applied Economics, revised Jan 2015.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis," Working Papers del Instituto Complutense de Estudios Internacionales 1501, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”," IREA Working Papers 201510, University of Barcelona, Research Institute of Applied Economics, revised Feb 2015.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis," Working Papers 15-02, Asociación Española de Economía y Finanzas Internacionales.
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