Details about Vladimir Volkov

Access statistics for papers by Vladimir Volkov.

Last updated 2025-07-02. Update your information in the RePEc Author Service.

Short-id: pvo328

Working Papers

2025

1. High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2021

2. A simple linear alternative to multiplicative error models with an application to trading volume
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
3. Dynamic effects of network exposure on equity markets
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
   See also Journal Article Dynamic effects of network exposure on equity markets, Eurasian Economic Review, Springer (2022) (2022)

2020

4. Calm before the storm: an early warning approach before and during the COVID-19 crisis
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
5. Contagion or interdependence? Comparing signed and unsigned spillovers
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics

2019

6. Changing Vulnerability in Asia: Contagion and Systemic Risk
   ADB Economics Working Paper Series, Asian Development Bank View citations (4)
7. Crisis transmission: visualizing vulnerability
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
   See also Journal Article Crisis transmission: Visualizing vulnerability, Pacific-Basin Finance Journal, Elsevier (2020) View citations (4) (2020)
8. Transmission of a Resource Boom: The Case of Australia
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (5)
   See also Journal Article Transmission of a Resource Boom: The Case of Australia, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2020) View citations (7) (2020)

2018

9. The Changing Network of Financial Market Linkages: The Asian Experience
   ADB Economics Working Paper Series, Asian Development Bank View citations (2)
   Also in Working Papers, eSocialSciences (2018) View citations (2)
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2018) View citations (2)
   See also Journal Article The changing network of financial market linkages: The Asian experience, International Review of Financial Analysis, Elsevier (2019) View citations (40) (2019)

2017

10. R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics
    See also Journal Article R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks, Economics Letters, Elsevier (2018) View citations (6) (2018)
11. Recovery from Dutch Disease
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
12. Signed spillover effects building on historical decompositions
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (9)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2017) View citations (9)
13. The changing international network of sovereign debt and financial institutions
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (6)
    See also Journal Article The changing international network of sovereign debt and financial institutions, Journal of International Financial Markets, Institutions and Money, Elsevier (2019) View citations (15) (2019)

Journal Articles

2025

1. A three-sector structural VAR model for Australia
   Journal of Economic Dynamics and Control, 2025, 170, (C) View citations (1)

2024

2. Opacity and frequency dependence of beta
   Finance Research Letters, 2024, 67, (PB)

2023

3. Changing vulnerability in Asia: contagion and spillovers
   Empirical Economics, 2023, 64, (5), 2315-2355 View citations (2)
4. Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes*
   Journal of Financial Econometrics, 2023, 21, (5), 1759-1790

2022

5. Contagion or interdependence? Comparing spillover indices
   Empirical Economics, 2022, 63, (3), 1403-1455 View citations (3)
6. Detecting signed spillovers in global financial markets: A Markov-switching approach
   International Review of Financial Analysis, 2022, 82, (C) View citations (6)
7. Dynamic effects of network exposure on equity markets
   Eurasian Economic Review, 2022, 12, (4), 569-629
   See also Working Paper Dynamic effects of network exposure on equity markets, Working Papers (2021) (2021)

2020

8. Crisis transmission: Visualizing vulnerability
   Pacific-Basin Finance Journal, 2020, 59, (C) View citations (4)
   See also Working Paper Crisis transmission: visualizing vulnerability, Working Papers (2019) (2019)
9. Transmission of a Resource Boom: The Case of Australia
   Oxford Bulletin of Economics and Statistics, 2020, 82, (3), 503-525 View citations (7)
   See also Working Paper Transmission of a Resource Boom: The Case of Australia, CAMA Working Papers (2019) View citations (5) (2019)

2019

10. Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
    Econometrics, 2019, 7, (1), 1-20 View citations (4)
11. The changing international network of sovereign debt and financial institutions
    Journal of International Financial Markets, Institutions and Money, 2019, 60, (C), 149-168 View citations (15)
    See also Working Paper The changing international network of sovereign debt and financial institutions, Working Papers (2017) View citations (6) (2017)
12. The changing network of financial market linkages: The Asian experience
    International Review of Financial Analysis, 2019, 64, (C), 71-92 View citations (40)
    See also Working Paper The Changing Network of Financial Market Linkages: The Asian Experience, ADB Economics Working Paper Series (2018) View citations (2) (2018)

2018

13. R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks
    Economics Letters, 2018, 162, (C), 81-85 View citations (6)
    See also Working Paper R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks, Working Papers (2017) (2017)