No Contagion, Only Interdependence: Measuring Stock Market Comovements
By Kristin J. Forbes, Roberto Rigobon. 2002
4,578 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/c23dd3b06abbd05c4bfc5116d368a6aab9ccfae4
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In Economics and Econometrics
- Andrew J. Patton
- Duc Khuong Nguyen
- Walid Mensi
- Sang Hoon Kang
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- George Filis
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Citations in the corpus
- A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion (2014, methodology): “Yang (2012) developed a parametric methodology for Granger causality in quantiles based on the conditional predictive ability (CPA) framework of Giacomini and White (2006). Jeong, Härdle, and Song (2012) introduce a non-parametric approach to test for causality in quantiles and apply it to the detec”
- The First Global Recession in Decades (2010, background): “Following Forbes and Rigobon (2002), consider now additive changes in the volatilities in both countries i and j. Define var gjCrisis ¼ ð1þ djÞvar gj and var nijCrisis ¼ ð1þ diÞvar ni: di and dj capture the country-specific shifts in the volatility of GDP growth that can potentially occur with the…”
- Crises and contagion in Asia Pacific — Islamic v/s conventional markets (2015, background): “…www.e lsev ie r .com/ locate /pacf in defined as an excessive transmission of shocks beyond any idiosyncratic disturbances and fundamental linkages (Forbes and Rigobon, 2002; Bae et al., 2002; Eichengreen et al., 1996), the latter is transmitted through financial market integration and fundamental…”
- Imperfect Competition, Information Heterogeneity, and Financial Contagion (2007, neutral): “Consistent with Forbes and Rigobon (2002) and Kaminsky, Reinhart, and Vegh (2003), I say that financial contagion occurs when a shock to one market affects prices of other markets fundamentally unrelated either to that shock or to that market.”
- Dynamic Correlations Among Asset Classes: REIT and Stock Returns (2010, neutral): “As Forbes and Rigobon (2002) note, however, heteroskedasticity in returns causes rolling correlation coefficients to be biased upward during periods of increased volatility in one asset market; moreover, there is no theoretical or empirical basis for choosing the size of the window a priori.”
- The Structure and Degree of Dependence - A Quantile Regression Approach (2012, neutral): “The positive change represented by the average change over all quantiles indicates an increased co-movement of a country’s equity index with a global index which is evidence of contagion as defined in Forbes and Rigobon (2002).”