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The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets
Asongu, Simplice A. - In: Journal of financial economic policy 4 (2012) 4, pp. 340-353
Persistent link: https://www.econbiz.de/10009674774
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003726982
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yılmaz, Kamil - In: The economic journal : the journal of the Royal … 119 (2009), pp. 158-171
Persistent link: https://www.econbiz.de/10003805251
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003415390
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003448318
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No contagion from Russia toward global equity markets after the 2014 international sanctions
Castagneto-Gissey, G.; Nivorozhkin, Eugeniy - In: Economic analysis and policy : EAP ; journal of the … 52 (2016), pp. 79-98
Persistent link: https://www.econbiz.de/10011557315
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Measuring financial asset return and volatilty spillovers, with application to global equity markets
Diebold, Francis X.; Yılmaz, Kamil - 2008
formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … study of both non-crisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a …
Persistent link: https://www.econbiz.de/10003831195
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yılmaz, Kamil - 2008
Persistent link: https://www.econbiz.de/10003748081
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yılmaz, Kamil - 2008
formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … study of both non-crisis and crisis episodes, including trends and bursts in spillovers, and both turn out to be empirically … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a …
Persistent link: https://www.econbiz.de/10003659584