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Cited by 65 publications
(35 citation statements)
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References 51 publications
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“…Concerning difference, the prominent risk senders and recipients found in our volatility spillover network are not the same as those identified in other studies. Liu et al [15] find that for an average ranking, Korea and Brazil are the largest volatility sender and recipient, respectively, throughout the sampling periods; meanwhile, Mensi et al [18] conclude that U.S. and GIPSI (except Spain and Greece markets) markets are net senders of shocks, and the rest of the stock markets are receivers. In our study, we identify that France is on average the largest volatility sender, and the UK is the largest risk receiver on average.…”
Section: Node Centrality and Flow Hierarchy Of Connectedness Networkmentioning
confidence: 99%
See 1 more Smart Citation
“…Concerning difference, the prominent risk senders and recipients found in our volatility spillover network are not the same as those identified in other studies. Liu et al [15] find that for an average ranking, Korea and Brazil are the largest volatility sender and recipient, respectively, throughout the sampling periods; meanwhile, Mensi et al [18] conclude that U.S. and GIPSI (except Spain and Greece markets) markets are net senders of shocks, and the rest of the stock markets are receivers. In our study, we identify that France is on average the largest volatility sender, and the UK is the largest risk receiver on average.…”
Section: Node Centrality and Flow Hierarchy Of Connectedness Networkmentioning
confidence: 99%
“…The network approach, which describes relationship architecture and regularities involved in complex multivariate systems, has become a powerful tool in financial crises early warning and tracking [7,8], risk spillover sources tracing [9,10], or exploitation of asset allocation [11,12]. Three research paradigms exist in the current financial network literature [1], namely, (i) mean-spillover network or Granger-causality network [13], (ii) volatility spillover network represented by variance decomposition-based network [14] and GARCH-based network [15], and (iii) risk spillover network with the main forms in tail-risk driven network [16] and extreme risk network [8]. These three overarching frameworks have enlightened many empirical works.…”
Section: Introductionmentioning
confidence: 99%
“…According to Leung, Schiereck, and Schroeder (2017), a spillover is an economic event that occurs in one industry that happens because of something else in a seemingly unrelated context. According to Liu et al (2017), the externalities of economic activity or market activity are non-monetary spillover effects that mainly affect nonparticipants. In the same way, the economic advantages of improved trade are the spillover effects that are likely to develop multilateral alliances in many regional markets, banks, and states.…”
Section: Literature Reviewmentioning
confidence: 99%
“…rough complex networks, we can portray the consecutive transmission process and explore the dynamic transmission mechanisms of the correlation between investor attention and stock price [29][30][31][32].…”
Section: Introductionmentioning
confidence: 99%