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Volatility spillovers among global stock markets: measuring total and directional effects

https://doi.org/10.1007/s00181-017-1406-3
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Who are the net senders and recipients of volatility spillovers in China’s financial markets?
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Stock market volatility spillovers: Evidence for Latin America
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Better to give than to receive: Predictive directional measurement of volatility spillovers
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Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets
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Extreme risk spillover effects in world gold markets and the global financial crisis
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Explaining international stock correlations with CPI fluctuations and market volatility
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Modeling financial contagion using mutually exciting jump processes
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Growth volatility and financial liberalization
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Dynamic correlation analysis of financial contagion: Evidence from Asian markets
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Volatility spillovers between the Chinese and world equity markets
inferredcites →https://doi.org/10.1080/17446540500054250openalex-snapshot
A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers
inferredcites →https://doi.org/10.1111/0022-1082.00494openalex-snapshot
No Contagion, Only Interdependence: Measuring Stock Market Comovements
inferredcites →https://doi.org/10.1111/j.1468-0297.2008.02208.xopenalex-snapshot
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
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Dynamic Conditional Correlation
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Hypothesis Testing with Efficient Method of Moments Estimation
inferredcites →https://doi.org/10.2469/faj.v49.n1.72openalex-snapshot
Statistical Models for Financial Volatility

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