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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Fluctuating attention and financial contagion

Hasler, Michael; Ornthanalai, Chayawat - In: Journal of monetary economics 99 (2018), pp. 106-123

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Conditional extremes in asymmetric financial markets

Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213

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Stock-level sentiment contagion and the cross-section of stock returns

Zhou, Liyun; Chen, Dongqiao; Huang, Jialiang - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-24

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On the usefulness of dynamically spilled risk : an optimal portfolio allocation based on cross-sector information contagion

Shigemoto, Hideto; Morimoto, Takayuki - In: Cogent economics & finance 11 (2023) 2, pp. 1-13

It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international markets is...

Persistent link: https://www.econbiz.de/10014503074