Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
By Robert C. Jung, Robert Maderitsch. 2014
136 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f0c8c05013ae60b19f4800c0e015202c66ced06e
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
- Y. Klimova
- Jakob Stober
- Holger Fink
- Claudia Czado
- Eike C. Brechmann
- Kjersti Aas
- Ulf Schepsmeier
- Aleksey Min
In Finance
- Y. Klimova
- Jakob Stober
- Holger Fink
- Claudia Czado
- Eike C. Brechmann
- Kjersti Aas
- Ulf Schepsmeier
- Aleksey Min
Citations in the corpus
- Regime Switching Vine Copula Models for Global Equity and Volatility Indices (2016, background): “Various researcher (as Aloui (2007), Peng and Ng (2012), Antonakakis et al. (2013), Jung and Maderitsch (2014), Nomikos and Salvador (2013) or Strohsal and Weber (2015)) discussed in the past that, for such structural breaks within the dependencies between equity markets, (implied) volatility might…”
- Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “A notable paper by Kearney and Lucey (2004) provides a useful conceptualisation of integration.”