Exchange return co-movements and volatility spillovers before and after the introduction of euro

By Nikolaos Antonakakis. 2012

237 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0dd5a307a840978eb3d95cfcd7697649bdf48073

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. George Filis
2. David Gabauer
3. Ioannis Chatziantoniou
4. Nikolaos Antonakakis
5. Elie Bouri
6. Stavros Degiannakis *
7. Aktham Issa Maghyereh
8. B. Awartani

In Finance

1. David Gabauer
2. George Filis
3. Ioannis Chatziantoniou
4. Kimiko Sugimoto
5. Yushi Yoshida
6. Takashi Matsuki
7. Renatas Kizys
8. Elie Bouri

Citations in the corpus

• Dynamic spillovers between commodity and currency markets (2015, result): “These results are broadly in agreement with Antonakakis (2012), who find that the Swiss Franc is generally a net transmitter of volatility spillovers, whereas the Japanese Yen as a net receiver in the context of the four currency markets.”
• Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms (2020, methodology): “Among others, this procedure is employed by (Beirne, Caporale, Schulze-Ghattas, and Spagnolo; 2013, Hoesli and Reka; 2013), and Antonakakis (2012).”
• Refined Measures of Dynamic Connectedness based on TVP-VAR (2017, methodology): “, 2011; Antonakakis, 2012; Zhou et al., 2012; Antonakakis and Vergos, 2013; Antonakakis and Badinger, 2014; Narayan et al., 2014; Bostanci and Yilmaz, 2015; Diebold and Yılmaz, 2015; Diebold and Yilmaz, 2015). There have been also several attempts to extent and improve the aforementioned connectedne”
• Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “(2013), Antonakakis and Filis (2013), Sadorsky (2012), Broadstock et al.”
• The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, background): “to McMillan and Speight (2010), Antonakakis (2012), Awartani and Maghyereh (2013),”
• Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020, background): “…the stock market interdependencies, volatility spillovers, business cycle spillovers, as well as bond yield spillovers (see, inter alia, Alter and Beyer 2014; Antonakakis 2012; Awartani and Maghyereh 2013; Bekaert et al. 2014; Bubák et al. 2011; Diebold and Yilmaz 2015; McMillan and Speight 2010).”
• How strong is the linkage between tourism and economic growth in Europe (2015, background): “…spillover index has already attracted a considerable attention in the economic literature (see, inter alia, McMillan and Speight, 2010; Yilmaz, 2010; Bubák et al., 2011; Antonakakis, 2012; Zhou et al., 2012; Antonakakis and Badinger, 2014) and this is its first application to the tourism context.”
• The global financial crisis: An analysis of the spillover effects on African stock markets (2014, methodology): “Antonakakis (2012), Awartani and Maghyereh (2013) and Duncan and Kabundi (2013) adopt the Diebold and Yilmaz (2012) methodology. Anotnakakis (2012) compares the spillovers among the major four currencies before and after the adoption of the Euro. Awartani and Maghyereh (2013) examine the degree of i”