Global Financial Crisis, Extreme Interdependences, and Contagion Effects: The Role of Economic Structure?

By Riadh Aloui, Mohamed Safouane Ben Aïssa, Duc Khuong Nguyen. 2011

570 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5a228d09e463fcbd238ccd3182fc224f7805737f

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Citations in the corpus

Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, methodology): “Aloui et al. (2011) use a GARCH-copula approach to analyze the conditional dependence structure between the four BRIC and the U.S. stock markets and find strong evidence of time-varying dependence between each of those BRIC markets and the U.S. market.”
Individual Investor Perceptions and Behavior During the Financial Crisis (2013, unknown): “(2011) (household welfare), Santos (2011) and Ivashina and Scharfstein (2010) (bank lending), Longstaff (2010), Aloui et al. (2011), and Baur (2012) (financial contagion), Jin et al. (2011) and Moshirian (2011) (financial regulation), and Ben-David et al. (2012) (institutional investors).”
Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis (2014, methodology): “…and multivariate ARCH/GARCH-type models (Lin et al., 1994; Theodossiou and Lee, 1993; Chiang et al., 2007; Ho and Tsui, 2003; Conrad et al., 2010; Aloui et al., 2011; Sedik and Williams, 2011) rolling bi-correlation tests (Lim et al., 2008), and copula theory (Ye et al., 2012; Rodriguez, 2007;…”
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2014, result): “Aloui et al. (2011), Kenourgios et al. (2011), Samarakoon (2011), and Dufrénot et al. (2011) among others find indeed an increase in dependence between international stock markets, and similar findings are reported by Coudert et al. (2011) and Bubak et al. (2011) for foreign exchange markets.”
Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013, background): “…et al., 2005; Jondeau and Rockinger, 2006; Hu, 2006; Rodriguez, 2007; de Melo Mendes and Kolev, 2008; Sun et al., 2009; Ignatievay and Platen, 2010; Aloui et al., 2011; Chollete et al., 2011; Garcia and Tsafack, 2011) and the dependence structure between exchange rate returns (Liu, 2006; Manner,…”
Volatility Transmission in Emerging European Foreign Exchange Markets (2011, background): “The financial and economic turbulence during 2008–2009 renewed interest in understanding the nature of contagion effects among financial markets (Aloui et al., 2011).”
Do global factors impact BRICS stock markets? A quantile regression approach (2014, background): “For example, Aloui et al. (2011) apply the copulas to examine the extreme financial interdependences of the BRIC emerging markets with the U.S. markets and provide strong evidence of time-varying dependence between them.”
COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020, unknown): “The study by Aloui et al.”
The more contagion effect on emerging markets: The evidence of DCC-GARCH model (2012, background): “Recent important papers focus on contagion includes Longstaff (2010), Aloui et al. (2011) and many others.”
Global Financial Crisis and Emerging Stock Market Contagion: A Multivariate FIAPARCH-DCC Approach (2013, background): “Aloui, Aissa, and Nguyen (2011) show strong evidence of dependence between BRICSs' stock markets and USA, using copulas functions.”
Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies (2014, unknown): “The global financial crisis (GFC), which began when the US real estate bubble burst in 2007, quickly led to a sharp decline in stock market indices in the US and across global financial markets – both Economic Systems 38 (2014) 161–177 A R T I C L E I N F O Article history: The global financial cris”