Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
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Cites background from "Global financial crisis and emergin..."
...Goodell (2020) discusses the economic and social impact of COVID-19 making parallels with previous crisis events. In corporate finance, Corbet et al. (2020a) analysed the impacts of being named “corona” on return and volatility behaviour of stocks during the COVID-19 pandemics....
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...8 effects of COVID-19 pandemic with past epidemic and pandemic events, such as SARS in 2017, H1N1 in 2009, and MERS in 2012, Ebola in 2014, and Zika in 2016, as identified by Jamison et al. (2017). Goodell (2020) discusses the economic and social impact of COVID-19 making parallels with previous crisis events....
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...Goodell (2020) discusses the economic and social impact of COVID-19 making parallels with previous crisis events....
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533 citations
Cites result from "Global financial crisis and emergin..."
...The results of higher DCCs during this crisis period are consistent with those studies on the global financial crisis (Akhtaruzzaman et al., 2014; Dimitriou et al., 2013; Kim et al., 2015)....
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398 citations
347 citations
Cites background or methods from "Global financial crisis and emergin..."
...Using the multivariate Dynamic Conditional Correlation – Fractionally Integrated Asymmetric Power ARCH (DCC-FIAPARCH) model, Dimitriou et al. (2013) find an increasing co-movement between the BRICS and U.S. markets during the post-crisis period (from early 2009 onwards), implying that the…...
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...Although several papers have considered different starting dates for the global financial crisis (e.g., Reboredo, 2012; Xu and Hamori, 2012; Ahmad et al., 2013; Dimitriou et al., 2013; Liu et al., 2013), we focus on the behavior of crude oil prices to mark the date of the financial crisis....
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210 citations
References
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"Global financial crisis and emergin..." refers background in this paper
...5 Engle (2002) presents a different form of DCC model....
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