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Measuring connectedness of euro area sovereign risk
16 references·2 citing·31 second hop
Measuring connectedness of euro area sovereign risk (2018)Measuring connectedness of euro area sove…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …Measuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (2016)CoVaROn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A Liquidity-based Model of Security Design (1999)A Liquidity-based Model of Se…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Consistent Covariance Matrix …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Detecting statistically significant changes in connectedness: A bootstrap-based technique (2024)Detecting statistically signi…Spillover and risk transmission in the components of the term structure of eurozone yield curve (2021)Spillover and risk transmissi…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The theory and practice of econometrics (1986)A panel project on purchasing power parity: Mean reversion within and between countries (1996)The overvaluation of purchasing power parity (1998)Testing for Cross-Sectional Dependence in Panel-Data Models (2006)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Effect of foreign direct investments, economic development and energy consumption on greenhouse gas emissions in developing countries (2018)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)The robustness of identified VAR conclusions about money (1998)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Extreme Correlation of International Equity Markets (2001)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data6,815 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2016CoVaR2,395 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited

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2007
Measuring financial contagion: A Copula approach
826 cited
  • 1999A Liquidity-based Model of Security Design739 cited
  • Cited by

    • 2021Spillover and risk transmission in the components of the term structure of eurozone yield curve26 cited
    • 2024Detecting statistically significant changes in connectedness: A bootstrap-based technique24 cited