Volatility transmission and financial crises

By Guiglielmo Maria Caporale, Nikitas Pittis, Nicola Spagnolo. 2006

136 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bbaedca2565663e428ad39ee1b11a85224c55924

Citations in the corpus

• Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2008, unknown): “16 Caporale, Pittis, and Spagnolo (2006), using a bootstrap procedure, found that the LR test has finite-sample Type-I error probabilities that do not differ significantly from the value of 0.05, with empirical rejection frequencies reasonably close to the corresponding asymptotic ones.”
• 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.”