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Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. (2016). Yarovaya, Larisa ; Lau, Chi Keung ; Brzeszczynski, Janusz ; Brzeszczyski, Janusz ; Marco, Chi Keung.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:43:y:2016:i:c:p:96-114.

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  2. Relation Between Digital Currencies and Other Financial Markets: A Non-Linear and Multivariate Analysis. (2025). Sah, Abhishek ; Patra, Biswajit.
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  3. Identifying Higher-Order Moment Risk Contagion Between the US Dollar Exchange Rate and China’s Major Asset Classes. (2025). Zou, Zongfeng ; Zhang, Chao ; Li, Judong.
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  5. Quantile time-frequency connectedness and spillovers among financial stress, cryptocurrencies and commodities. (2025). YAYA, OLAOLUWA ; Khan, Naveed ; Vo, Xuan Vinh ; Zada, Hassan.
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  8. Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries. (2024). Lau, Chi Keung ; Elsayed, Ahmed ; Sheng, Xin ; Downing, Gareth ; Marco, Chi Keung.
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  9. Impact of COVID-19 and lockdown stringency on foreign institutional investment in India: evidence from wavelet coherence and spectral causality approaches. (2024). Ullah, Assad ; Kamal, Muhammad Abdul ; Syed, Aamir Aijaz.
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  12. Metaverse and financial markets: A quantile-time-frequency connectedness analysis. (2024). Gözgör, Giray ; Nanaeva, Zhamal ; Khalfaoui, Rabeh ; Batten, Jonathan ; Gozgor, Giray ; Aysan, Ahmet Faruk.
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  13. Understanding the impact of the financial technology revolution on systemic risk: Evidence from US and EU diversified financials. (2024). Damico, Simona ; Gianfrancesco, Igor ; Curcio, Domenico ; Vioto, Davide.
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  15. Cryptocurrency: A new player or a new crisis in financial markets? —— Evolutionary analysis of association and risk spillover based on network science. (2024). Zhou, Fan.
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  16. Digital economy, risk attitudes, and entrepreneurial decision-making in urban and rural households in China. (2024). Xiong, Wei ; Jiang, Mengzhen.
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  17. Cross-regional connectedness of financial market: Measurement and determinants. (2024). Wang, Xuya ; Yang, Xin ; Zhao, Lili ; Cao, Jie ; Huang, Chuangxia.
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  18. Dynamic volatility spillover among cryptocurrencies and energy markets: An empirical analysis based on a multilevel complex network. (2024). Xiao, Zumian ; Wang, Xuetong ; Ma, Shiqun ; Xiang, Lijin ; Fang, Fang.
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  19. Expectile hidden Markov regression models for analyzing cryptocurrency returns. (2024). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice.
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  20. Cross‐border and cross‐commodity volatility spillover effects of Chinese soybean futures. (2023). Lau, Wee Yeap ; Qin, Sisi.
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  21. Shock transmissions and business linkages among US sectors. (2023). Mateut, Simona ; Diep, Linh Xuan ; Chevapatrakul, Thanaset.
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  22. Better to Give than to Receive: A Study of BRICS Countries Stock Markets. (2023). Ahmad, Wasim ; Panda, Pradiptarathi ; Thiripalraju, M.
    In: Journal of Emerging Market Finance.
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  23. Reconstructing the Emergent Organization of Information Flows in International Stock Markets: A Computational Complex Systems Approach. (2023). Ferilli, Guido ; Sacco, Pier Luigi ; Buscema, Paolo Massimo ; Massini, Giulia ; della Torre, Francesca.
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  24. Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices. (2023). Umar, Zaghum ; Kizys, Renatas ; Aharon, David ; Zaremba, Adam.
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  25. Detecting Structural Changes in Time Series by Using the BDS Test Recursively: An Application to COVID-19 Effects on International Stock Markets. (2023). Escot, Lorenzo ; Pietrych, Ukasz ; Sandubete, Julio E.
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  26. Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices. (2023). Umar, Zaghum ; Kizys, Renatas ; Aharon, David Y ; Zaremba, Adam.
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  27. Dynamic spillovers across global stock markets during the COVID-19 pandemic: Evidence from jumps and higher moments. (2023). Yuan, Ying ; Du, Xinyu.
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  28. Dynamic spillover effects among international crude oil markets from the time-frequency perspective. (2023). Lee, Chien-Chiang ; Zhang, Xiaoming ; Zhou, Hegang ; Xu, Chao.
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  29. Systemwide directional connectedness from Crude Oil to sovereign credit risk. (2023). Singh, Vipul Kumar ; Bajaj, Vimmy ; Kumar, Pawan.
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  30. Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai.
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  31. Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas.
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  32. Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers. (2023). Wang, Gang-Jin ; Foglia, Matteo ; Zhu, You ; Zhou, Yang ; Gong, Jue ; Xie, Chi.
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  34. Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Sinha Roy, Saikat ; Das, Suman.
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  35. Dynamic effects of network exposure on equity markets. (2022). Volkov, Vladimir ; Kangogo, Moses ; Dungey, Mardi.
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  36. Dynamic volatility spillovers and investor sentiment components across freight-shipping markets. (2022). Tsouknidis, Dimitris ; Panayides, Photis M ; Melas, Konstantinos D.
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  38. Partisan Conflict, National Security Policy Uncertainty and Tourism. (2022). Luo, Xue ; Gao, Wang ; Yang, Shixiong ; Zhang, Rufei ; Fan, Qingzhu.
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  39. Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets. (2022). Škrinjarić, Tihana.
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  40. Impact of COVID-19, Political, and Financial Events on the Performance of Commercial Banking Sector. (2022). Bhatti, Muhammad ; Shahid, Muhammad Hassam ; Ghouse, Ghulam.
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  41. Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness. (2022). Billah, Syed ; Karim, Sitara ; Vigne, Samuel A ; Naeem, Muhammad Abubakr.
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  42. Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock. (2022). Tabak, Benjamin ; Silva, Thiago ; Dalla, Igor Bettanin.
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  43. Are European natural gas markets connected? A time-varying spillovers analysis. (2022). Szafranek, Karol ; Rubaszek, Michał ; Śmiech, Sławomir ; Papie, Monika.
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  44. Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period. (2022). Maghyereh, Aktham ; Abdoh, Hussein ; Awartani, Basel.
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  45. The connectedness in the world petroleum futures markets using a Quantile VAR approach. (2022). Tiwari, Aviral ; Abakah, Emmanuel ; Hammoudeh, Shawkat ; Jena, Sangram Keshari ; Aikins, Emmanuel Joel.
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  46. Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. (2022). Yarovaya, Larisa ; lucey, brian ; Lau, Chi Keung ; Brzeszczynski, Janusz ; Goodell, John W ; Brzeszczyski, Janusz ; Marco, Chi Keung.
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  47. On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia. (2022). Suardi, Sandy ; Frankovic, Jozo ; Liu, Bin.
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  48. When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns. (2022). Zaremba, Adam ; Demir, Ender ; Cakici, Nusret ; Long, Huaigang.
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  49. Dynamic volatility connectedness between industrial metal markets. (2022). Zhou, Zicheng ; Gong, XU ; Liu, Tangyong ; Xu, Jun.
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  50. The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets. (2022). Tiwari, Aviral ; Gil-Alana, Luis ; Abakah, Emmanuel ; Karikari, Nana Kwasi ; Aikins, Emmanuel Joel.
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  51. Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters. (2022). Hui, Xianfei ; Sengupta, Indranil ; Jiang, Hui ; Sun, Baiqing.
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  52. Dynamic effects of network exposure on equity markets. (2021). Volkov, Vladimir ; Kangogo, Moses.
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  53. Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers. (2021). Shahzad, Syed Jawad Hussain ; Krištoufek, Ladislav ; Bouri, Elie ; Hussain, Syed Jawad ; Kristoufek, Ladislav ; Saeed, Tareq.
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  54. Return and volatility spillovers to African equity markets and their determinants. (2021). MOUGOUE, Mbodja ; Etoundi, Eric Martial.
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  57. Role of Islamic Banking during COVID-19 on Political and Financial Events: Application of Impulse Indicator Saturation. (2021). Bhatti, Muhammad ; Ghouse, Ghulam ; Aslam, Aribah.
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  58. Societal Changes Due to “COVID-19”. An Analysis of the Tourism Sector of Galicia, Spain. (2021). Araujo-Vila, Noelia ; Fraiz-Brea, Jose A ; Pereira, Alexandra Matos.
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  59. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. (2021). Mohammed, Walid Abass.
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  60. Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic. (2021). Shi, Kai.
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  64. Dynamic connectedness of major financial markets in China and America. (2021). Lin, Sihan ; Chen, Shoudong.
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  65. The realized volatility of commodity futures: Interconnectedness and determinants#. (2021). Vo, Xuan Vinh ; lucey, brian ; Bouri, Elie ; Saeed, Tareq.
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  66. Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. (2021). Oxley, Les ; HU, YANG ; Corbet, Shaen ; Hou, Yang ; Xu, Danyang.
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  67. Financial contagion in the futures markets amidst global geo-economic events. (2021). Mohamad, Azhar ; Zainudin, Ahmad Danial.
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  68. The way back home: Trading behaviours of foreign institutional investors in China amid the COVID-19 pandemic. (2021). Mao, Rui ; Xing, Mengying ; Zhang, Jinhua ; Wang, Jieyu.
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  69. Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach. (2021). Shi, Xunpeng ; Ding, Zhihua ; Liu, Zhenhua ; Zhou, Yuqin ; Wu, Shan ; Zhai, Pengxiang.
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  70. Multivariate volatility forecasts for stock market indices. (2021). Wilms, Ines ; Rombouts, Jeroen ; Croux, Christophe.
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  71. Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Iwanicz-Drozdowska, Małgorzata ; Kurowski, Ukasz ; Smaga, Pawe ; Rogowicz, Karol.
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  73. Asymmetric volatility spillover among Chinese sectors during COVID-19. (2021). Shahzad, Syed Jawad Hussain ; Bouri, Elie ; Peng, Zhe ; Hussain, Syed Jawad ; Naeem, Muhammad Abubakr.
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Cocites

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  1. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate. (2015). Yoon, Seong-Min ; Mensi, walid ; Hammoudeh, Shawkat.
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  2. Volatility persistence in crude oil markets. (2014). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
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  3. 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. (2013). Çevik, Emrah ; Koseoglu, Sinem Derindere ; Cevik, Emrah Ismail.
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  4. Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration. (2013). Gebka, Bartosz ; Karoglou, Michail ; Gbka, Bartosz.
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  5. Commodity volatility breaks. (2012). Wohar, Mark ; Vivian, Andrew.
    In: Journal of International Financial Markets, Institutions and Money.
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  6. Return and volatility spillovers among CIVETS stock markets. (2012). Korkmaz, Turhan ; Çevik, Emrah ; Atukeren, Erdal.
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  7. One date, one break?. (2011). Law, Siong Hook ; Karoglou, Michail ; Demetriades, Panicos.
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  8. On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien.
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  9. Inflation targeting in Latin America: Empirical analysis using GARCH models. (2011). Broto, Carmen.
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  10. Sequential Testing with Uniformly Distributed Size. (2011). Anatolyev, Stanislav.
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  11. Fractionally integrated time varying GARCH model. (2010). Boutahar, Mohamed ; Ben Nasr, Adnen ; Trabelsi, Abdelwahed.
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  12. Estimation and inference in unstable nonlinear least squares models. (2010). Hall, Alastair ; Boldea, Otilia.
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  13. Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets. (2009). Funke, Michael ; Colavecchio, Roberta.
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  14. Options Introduction and Volatility in the EU ETS. (2009). Sévi, Benoît ; Chevallier, Julien ; le Pen, Yannick ; Sevi, Benoit.
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  15. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
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  16. Options introduction and volatility in the EU ETS. (2009). Sévi, Benoît ; Chevallier, Julien ; le Pen, Yannick ; Sevi, Benoit.
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  17. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
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  18. Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility. (2009). ulu, yasemin ; Schnabl, Gunther ; Hillebrand, Eric.
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  19. Which power variation predicts volatility well?. (2009). Ghysels, Eric ; Sohn, Bumjean.
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  20. A semiparametric model for the systematic factors of portfolio credit risk premia. (2009). Giammarino, Flavia ; Barrieu, Pauline.
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  21. Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets. (2009). Funke, Michael ; Colavecchio, Roberta.
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    RePEc:eee:asieco:v:20:y:2009:i:2:p:174-196.

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  22. Options introduction and volatility in the EU ETS. (2009). Sévi, Benoît ; Chevallier, Julien ; le Pen, Yannick ; Sevi, Benoit.
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  23. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: EconomiX Working Papers.
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  24. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility. (2008). Schnabl, Gunther ; Hillebrand, Eric.
    In: International Economics and Economic Policy.
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  25. Structural breaks and GARCH models of exchange rate volatility. (2008). Strauss, Jack ; Rapach, David E..
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  26. Adaptive pointwise estimation in time-inhomogeneous time-series models. (2008). Härdle, Wolfgang ; Cizek, Pavel ; Lee, Yuh-Jye ; Yeh, Yi-Ren ; Hardle, Wolfgang ; Spokoiny, Vladimir ; Schafer, Dorothea.
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  27. Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. (2008). Shamsuddin, Abul ; Kim, Jae.
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  28. Inflation targeting in Latin America: Empirical analysis using GARCH models. (2008). Broto, Carmen.
    In: Working Papers.
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  29. Are there Structural Breaks in Realized Volatility?. (2007). Maheu, John ; Liu, Chun.
    In: Working Papers.
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  30. How useful are historical data for forecasting the long-run equity return distribution?. (2007). McCurdy, Thomas ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-293.

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  31. How useful are historical data for forecasting the long-run equity return distribution?. (2007). McCurdy, Thomas ; Maheu, John.
    In: Working Paper series.
    RePEc:rim:rimwps:19_07.

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  32. Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

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  33. Monitoring disruptions in financial markets. (2006). Andreou, Elena ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:77-124.

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  34. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility. (2006). Schnabl, Gunther ; Hillebrand, Eric.
    In: Working Paper Series.
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  35. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws060101.

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  36. Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility. (2006). ulu, yasemin ; Schnabl, Gunther ; Hillebrand, Eric.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1766.

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  37. Overlaying Time Scales in Financial Volatility Data. (2005). Hillebrand, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:0501015.

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  38. Long memory volatility dependency, temporal aggregation and the Korean currency crisis: the role of a high frequency Korean won (KRW)-US dollar ($) exchange rate. (2005). Han, Young Wook.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:17:y:2005:i:1:p:97-109.

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  39. Beware of breaks in exchange rates: Evidence from European transition countries. (2005). Kočenda, Evžen.
    In: Economic Systems.
    RePEc:eee:ecosys:v:29:y:2005:i:3:p:307-324.

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  40. Neglecting parameter changes in GARCH models. (2005). Hillebrand, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:121-138.

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  41. Modelling structural breaks, long memory and stock market volatility: an overview. (2005). Urga, Giovanni ; Banerjee, Anindya.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:1-34.

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  42. Testing for causality in variance in the presence of breaks. (2005). van Dijk, Dick ; Sensier, Marianne ; Osborn, Denise.
    In: Economics Letters.
    RePEc:eee:ecolet:v:89:y:2005:i:2:p:193-199.

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  43. The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection. (2004). Schnabl, Gunther ; Hillebrand, Eric.
    In: International Finance.
    RePEc:wpa:wuwpif:0410008.

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  44. The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection. (2004). Schnabl, Gunther ; Hillebrand, Eric.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:7.

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  45. Structural changes in volatility and stock market development: Evidence for Spain. (2004). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Cuñado, Juncal ; Eizaguirre, Juncal Cunado ; Hidalgo, Fernando Perez de Gracia, .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:7:p:1745-1773.

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  46. Monitoring for Disruptions in Financial Markets. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-26.

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  47. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

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  48. How wacky is the DAX? The changing structure of German stock market volatility. (2003). Werner, Thomas ; Stapf, Jelena.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4473.

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  49. Test for Breaks in the Conditional Co-Movements of Asset Returns. (2003). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:3-2003.

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  50. Testing for Changes in the Unconditional Variance of Financial Time Series. (2003). Sansó, Andreu ; Carrion-i-Silvestre, Josep ; Arago, Vicent.
    In: DEA Working Papers.
    RePEc:ubi:deawps:5.

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