4.7 Article

Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Statistics & Probability

Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity

Tomohiro Ando et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2020)

Article Business, Finance

How connected is the global sovereign credit risk network?

Gorkem Bostanci et al.

JOURNAL OF BANKING & FINANCE (2020)

Article Business, Finance

Financial sector bailouts, sovereign bailouts, and the transfer of credit risk

Matthew Greenwood-Nimmo et al.

JOURNAL OF FINANCIAL MARKETS (2019)

Article Business, Finance

The changing international network of sovereign debt and financial institutions

Mardi Dungey et al.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2019)

Article Business, Finance

Bad bad contagion

Juan M. Londono

JOURNAL OF BANKING & FINANCE (2019)

Article Economics

Estimating global bank network connectedness

Mert Demirer et al.

JOURNAL OF APPLIED ECONOMETRICS (2018)

Article Business, Finance

Measuring sovereign contagion in Europe

Massimiliano Caporin et al.

JOURNAL OF FINANCIAL STABILITY (2018)

Article Economics

Deadly Embrace: Sovereign and Financial Balance Sheets Doom Loops

Emmanuel Farhi et al.

REVIEW OF ECONOMIC STUDIES (2018)

Article Economics

Estimation and Inference of FAVAR Models

Jushan Bai et al.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2016)

Article Business, Finance

Asymmetric connectedness on the US stock market: Bad and good volatility spillovers

Jozef Barunik et al.

JOURNAL OF FINANCIAL MARKETS (2016)

Article Economics

Modelling Technical Efficiency in Cross Sectionally Dependent Stochastic Frontier Panels

Camilla Mastromarco et al.

JOURNAL OF APPLIED ECONOMETRICS (2016)

Article Economics

Estimating nonlinear effects of fiscal policy using quantile regression methods

Ludger Linnemann et al.

OXFORD ECONOMIC PAPERS-NEW SERIES (2016)

Article Business, Finance

Risk and return spillovers among the G10 currencies

Matthew Greenwood-Nimmo et al.

JOURNAL OF FINANCIAL MARKETS (2016)

Article Business, Finance

Systemic risk spillovers in the European banking and sovereign network

Frank Betz et al.

JOURNAL OF FINANCIAL STABILITY (2016)

Article Economics

Power Laws in Economics: An Introduction

Xavier Gabaix

JOURNAL OF ECONOMIC PERSPECTIVES (2016)

Article Economics

CoVaR

Tobias Adrian et al.

AMERICAN ECONOMIC REVIEW (2016)

Article Economics

Testing Weak Cross-Sectional Dependence in Large Panels

M. Hashem Pesaran

ECONOMETRIC REVIEWS (2015)

Article Economics

Shifts in volatility driven by large stock market shocks

Yiannis Dendramis et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2015)

Article Economics

Systemic Risk and Stability in Financial Networks

Daron Acemoglu et al.

AMERICAN ECONOMIC REVIEW (2015)

Article Economics

The VIX, the variance premium and stock market volatility

Geert Bekaert et al.

JOURNAL OF ECONOMETRICS (2014)

Article Business, Finance

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

Viral Acharya et al.

JOURNAL OF FINANCE (2014)

Article Business, Finance

Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe

Peter Claeys et al.

JOURNAL OF BANKING & FINANCE (2014)

Article Business, Finance

The dynamics of spillover effects during the European sovereign debt turmoil

Adrian Alter et al.

JOURNAL OF BANKING & FINANCE (2014)

Article Economics

Principal components estimation and identification of static factors

Jushan Bai et al.

JOURNAL OF ECONOMETRICS (2013)

Article Business, Finance

Pricing the term structure with linear regressions

Tobias Adrian et al.

JOURNAL OF FINANCIAL ECONOMICS (2013)

Article Business, Finance

Systemic sovereign credit risk: Lessons from the US and Europe

Andrew Ang et al.

JOURNAL OF MONETARY ECONOMICS (2013)

Article Economics

The Network Origins of Aggregate Fluctuations

Daron Acemoglu et al.

ECONOMETRICA (2012)

Article Business, Finance

Daily pricing of emerging market sovereign CDS before and during the global financial crisis

Ingo Fender et al.

JOURNAL OF BANKING & FINANCE (2012)

Article Business, Finance

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Linda Allen et al.

REVIEW OF FINANCIAL STUDIES (2012)

Article Business, Finance

Econometric measures of connectedness and systemic risk in the finance and insurance sectors

Monica Billio et al.

JOURNAL OF FINANCIAL ECONOMICS (2012)

Article Business, Finance

Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets

Peter Feldhuetter et al.

JOURNAL OF FINANCIAL ECONOMETRICS (2012)

Article Economics

How Sovereign Is Sovereign Credit Risk?

Francis A. Longstaff et al.

AMERICAN ECONOMIC JOURNAL-MACROECONOMICS (2011)

Article Business, Finance

Expected Stock Returns and Variance Risk Premia

Tim Bollerslev et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Business, Finance

A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi

JOURNAL OF FINANCIAL ECONOMETRICS (2009)

Article Business, Finance

Default and recovery implicit in the term structure of sovereign CDS spreads

Jun Pan et al.

JOURNAL OF FINANCE (2008)

Article Business, Finance

Good and bad credit contagion: Evidence from credit default swaps

Philippe Jorion et al.

JOURNAL OF FINANCIAL ECONOMICS (2007)

Article Economics

A conditional extreme value volatility estimator based on high-frequency returns

Turan G. Bali et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2007)

Article Statistics & Probability

Quantile autoregression

Roger Koenker et al.

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (2006)

Article Business, Finance

International asset allocation with regime shifts

A Ang et al.

REVIEW OF FINANCIAL STUDIES (2002)