Return and volatility spillovers among the East Asian equity markets

By K. Yilmaz. 2010

270 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/90b4cb349be8df57045e46821ff17e21b84cbc7b

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. David Gabauer
2. Nikolaos Antonakakis
3. George Filis
4. Walid Mensi
5. M. Dragouni
6. Makram Beljid
7. Adel Boubaker
8. Shunsuke Managi

In Finance

1. David Gabauer
2. George Filis
3. M. Dragouni
4. Makram Beljid
5. Adel Boubaker
6. Walid Mensi
7. Nikolaos Antonakakis
8. Shunsuke Managi

Citations in the corpus

• Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers (2015, unknown): “The VAR lag length was chosen based on AIC to produce the most parsimonious model; in addition, Diebold and Yilmaz (2012) provide a sensitivity analysis of the Diebold-Yilmaz index to the VAR lag structure and show that results do not materially change for lags of 2 to 6.”
• Refined Measures of Dynamic Connectedness based on TVP-VAR (2017, background): “…market interdependencies, volatility spillovers, business cycle spillovers and bond yields spillovers (see, inter alia, McMillan and Speight, 2010; Yilmaz, 2010; Bubák et al., 2011; Antonakakis, 2012; Zhou et al., 2012; Antonakakis and Vergos, 2013; Antonakakis and Badinger, 2014; Narayan et…”
• How strong is the linkage between tourism and economic growth in Europe (2015, background): “The VAR-based 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 touri”
• Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities? (2020, unknown): “Since the 2008 financial crisis caused a major impact on the global financial markets, many studies attempted to explore how the crisis affects the connectedness between different financial assets (such as Yilmaz, 2010; Akca and Ozturk, 2016; El Ghini and Saidi, 2017).”
• Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, background): “Moreover, previous studies focused on volatility spillovers by investigating volatility in emerging and developed financial markets (Wang and Wang, 2010; Yilmaz, 2010).”