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Systemic risk and causality dynamics of the world international shipping market
16 references·1 citing·46 second hop
Systemic risk and causality dynamics of the world international shipping market (2014)Systemic risk and causality dynamics of t…Quantifying the Behavior of Stock Correlations Under Market Stress (2012)Quantifying the Behavior of S…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (2011)Theory of Financial Risk and …Evolution of worldwide stock markets, correlation structure, and correlation-based graphs (2011)Evolution of worldwide stock …Measuring Systemic Risk (2010)Measuring Systemic RiskDominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market (2010)Dominating Clasp of the Finan…Correlation, hierarchies, and networks in financial markets (2010)Correlation, hierarchies, and…Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management (2006)Theory of Financial Risk and …An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Master curve for price-impact function (2003)Master curve for price-impact…Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Dynamics of market correlatio…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…High-frequency cross-correlation in a set of stocks (2001)High-frequency cross-correlat…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war (2020)Contagion risk between the sh…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A test for independence based on the correlation dimension (1996)Market Liquidity and Trading Activity (2001)Tents, Tweets, and Events: The Interplay Between Ongoing Protests and Social Media (2015)Inferring Trade Direction from Intraday Data (1991)Market microstructure theory (1995)Inefficient Markets: An Introduction to Behavioral Finance (2002)Dynamic Trading with Predictable Returns and Transaction Costs (2009)60 Years of portfolio optimization: Practical challenges and current trends (2013)Human behavior and the principle of least effort (1949)Continuous Auctions and Insider Trading (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)The Granular Origins of Aggregate Fluctuations (2011)Noise Dressing of Financial Correlation Matrices (1999)Networks of equities in financial markets (2004)A network perspective of the stock market (2010)Statistical physics of human cooperation (2017)The Economy as an Evolving Complex System II (2018)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)A NEW MEASURE OF RANK CORRELATION (1938)Liquidity Risk and Expected Stock Returns (2003)Market Liquidity and Funding Liquidity (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Systemic Risk and Stability in Financial Networks (2015)CoVaR (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)A Survey of Systemic Risk Analytics (2012)Power Laws in Economics and Finance (2008)Physical approach to complex systems (2012)Negative bubbles and shocks in cryptocurrency markets (2016)A tool for filtering information in complex systems (2005)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
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References

  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,538 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,398 cited
  • 1999Hierarchical structure in financial markets2,104 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,506 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 2010Measuring Systemic Risk569 cited
  • 2011Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management480 cited
  • 2003Master curve for price-impact function453 cited
  • 2010Correlation, hierarchies, and networks in financial markets381 cited
  • 2010Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market362 cited
  • 2006Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management275 cited
  • 2001High-frequency cross-correlation in a set of stocks243 cited
  • 2011

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Evolution of worldwide stock markets, correlation structure, and correlation-based graphs
242 cited
  • 2012Quantifying the Behavior of Stock Correlations Under Market Stress204 cited
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    • 2020Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war51 cited