SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
16 references·14 citing·26 second hop
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads (2013)Time-Varying Systemic Risk: Evidence from…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital …A framework for assessing the systemic risk of major financial institutions (2009)A framework for assessing the…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…Risk management and financial institutions (2006)Risk management and financial…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Credit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…An Introduction to Copulas (1999)An Introduction to CopulasNumerical Methods in Economics (1998)Numerical Methods in EconomicsAutoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Dynamic Dependence and Diversification in Corporate Credit (2017)Dynamic Dependence and Divers…Systemic risk among European banks: A copula approach (2016)Systemic risk among European …Risk and uncertainty (2016)Risk and uncertaintyNew HEAVY Models for Fat-Tailed Realized Covariances and Returns (2016)New HEAVY Models for Fat-Tail…Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models (2016)Modeling high‐dimensional tim…Modeling Financial Sector Joint Tail Risk in the Euro Area (2016)Modeling Financial Sector Joi…Inference theory for volatility functional dependencies (2016)Inference theory for volatili…Generalized Autoregressive Score Models in R: The GAS Package (2016)Generalized Autoregressive Sc…Is Tail Risk Priced in Credit Default Swap Premia? (2015)Is Tail Risk Priced in Credit…Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2014)Spillover Dynamics for System…Maximum Likelihood Estimation for Generalized Autoregressive Score Models (2014)Maximum Likelihood Estimation…High Dimensional Dynamic Stochastic Copula Models (2014)High Dimensional Dynamic Stoc…Dynamic Dependence in Corporate Credit (2013)Dynamic Dependence in Corpora…Conditional copula simulation for systemic risk stress testing (2013)Conditional copula simulation…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)The Econometrics of Financial Markets (1997)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Econometrics of Financial Markets (2012)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)Econometric Analysis of Cross Section and Panel Data (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2006Risk management and financial institutions781 cited
  • 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
  • 2009A framework for assessing the systemic risk of major financial institutions

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

638 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • Cited by

    • 2014Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models139 cited
    • 2016New HEAVY Models for Fat-Tailed Realized Covariances and Returns83 cited
    • 2013Conditional copula simulation for systemic risk stress testing73 cited
    • 2014High Dimensional Dynamic Stochastic Copula Models66 cited
    • 2014Maximum Likelihood Estimation for Generalized Autoregressive Score Models63 cited
    • 2017Dynamic Dependence and Diversification in Corporate Credit51 cited
    • 2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models45 cited
    • 2016Modeling Financial Sector Joint Tail Risk in the Euro Area41 cited
    • 2015Is Tail Risk Priced in Credit Default Swap Premia?36 cited
    • 2016Generalized Autoregressive Score Models in R: The GAS Package35 cited
    • 2016Systemic risk among European banks: A copula approach32 cited
    • 2016Inference theory for volatility functional dependencies27 cited
    • 2013Dynamic Dependence in Corporate Credit25 cited
    • 2016Risk and uncertainty0 cited