Uxbridge UB8 3PH
United Kingdom
Brunel University London - Economics and Finance
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Volatility spillovers, Contagion, Stock markets, Emerging markets
Working Paper
volatility spillovers, contagion, stock markets, emerging markets
Contagion, Financial crises, Conditional Correlation
overnight interest rate spread, liquidity risk, credit risk, stochastic volatility
Overnight Interest Rate Spread, Liquidity Risk, Credit Risk, Stochastic Volatility
Volatility spillovers, contagion, stock markets, emerging markets
Equity Fund Flows, Stock Market Returns, VAR-GARCH-in-mean model, Volatility
equity fund flows, stock market returns, VAR-GARCH-in-mean model, volatility
macro news, commodity prices, VAR-GARCH model
Macro news, Commodity Prices, VAR-GARCH model
exchange rate uncertainty, equity flows, bond flows, causality-in-variance
Exchange rate uncertainty, Equity flows, Bond flows, Causality-in-variance
macro news, volatility spillovers, VAR-GARCH-in-mean model
Macro news, Volatility spillovers, VAR-GARCH-in-mean model
news, yield spreads, volatility spillovers, VAR-GARCH model
News, Yield Spreads, Volatility Spillovers, VAR-GARCH model
Bloomberg, bond flows, equity flows, news
Central and Eastern European countries (CEECs), volatility spillovers, interdependence, contagion, VAR-GARCH-in-mean model
China, Oil price uncertainty, Sectoral stock returns
China, oil price uncertainty, sectoral stock returns
BRICS, Exchange Rates, GARCH model, Macro news
BRICS, exchange rates, GARCH model, macro news
energy and food prices, VAR-GARCH BEKK model, mean and volatility spillovers
Energy and food prices, VAR-GARCH BEKK model, Mean and volatility spillovers
Bond flows, Equity flows, Exchange rates, Regime switching
crypto currencies, cyber attacks, regime switching
bond flows, equity flows, exchange rates, regime switching
emerging markets, exchange rates, GARCH model, macro news
Covid-19 pandemic, stringency index, Covid-19 index, fiscal policy, shadow rates, stock markets
mean and volatility spillovers, contagion, cryptocurrencies, cyber attacks
Emerging markets, Exchange Rates, GARCH model, Macro news
Fractional Integration, Local Whittle Estimation, Structural Change
business news, GCC countries, Markov switching model, political news
GCC, multivariate GARCH, political tension
COP, fossil and renewable energy, VAR, connectedness
stock markets, GCC, volatility transmission
energy efficiency measures, EPI, financing, SMEs
Energy efficiency measures, EPI, Financing, SMEs
municipal bonds, financial integration, spillovers, multivariate GARCH-BEKK, volatility
Technological heterogeneity, Metafrontier, Energy efficiency, Hansen threshold methodology
Contagion, Financial crises, Conditional correlation
Markov switching, GARCH, volatility, financial crises