Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
By Robert F. Engle, Giampiero M. Gallo, Margherita Velucchi. Review of Economics and Statistics, 2012
114 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7eff9fa2bcc5c91e53b4669c135e93416f11a17e
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Citations in the corpus
- Measuring the frequency dynamics of financial connectedness and systemic risk (2015, unknown): “Engle et al. (2012) provide an exhaustive review of the empirical literature on volatility spillovers.”
- Estimation and Selection of Spatial Weight Matrix in a Spatial Lag Model (2019, background): “Other articles in the literature, such as Engle et al. (2012), Diebold and Yilmaz (2015), and recent work by Barigozzi and Brownlees (2018) consider the spillovers of the volatility measures across markets.”
- NETS: Network estimation for time series (2019, unknown): “The application is close in spirit to, among others, the research of Diebold and Yılmaz (2009, 2014, 2015) and Engle et al. (2012).”
- Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “, 2004; Haile & Pozo, 2008), the Asian Crisis in 1997 (e.g., Sheng & Tu, 2000; Masih & Masih, 2001; Climent & Meneu, 2003; Khalid & Kawai, 2003; Caporale et al., 2006; Engle et al., 2012), the Russian Default in 1998 (e.”