SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
'Near-Coincident' Indicators of Systemic Stress
10 references·1 citing·54 second hop
'Near-Coincident' Indicators of Systemic Stress (2013)'Near-Coincident' Indicators of Systemic …IDENTIFYING CONTAGION RISK IN THE INTERNATIONAL BANKING SYSTEM: AN EXTREME VALUE THEORY APPROACH (2012)IDENTIFYING CONTAGION RISK IN…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals (2010)Systemic Risk Diagnostics: Co…New Directions in Financial Sector and Sovereign Risk Management (2010)New Directions in Financial S…How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis (2009)How to Stop a Herd of Running…Banking Stability Measures (2009)Banking Stability MeasuresA Black Swan in the Money Market (2008)A Black Swan in the Money Mar…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2007)Measuring Financial Asset Ret…Why Does the Yield Curve Predict Output and Inflation? (2005)Why Does the Yield Curve Pred…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Spillovers in risk of financial institutions (2019)Spillovers in risk of financi…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An Introduction to Copulas (1999)Are Banks Too Big To Fail? Measuring Systemic Importance of Financial Institutions (2010)Sovereign Spreads (2010)Model risk of risk models (2016)Prospect Theory: An Analysis of Decision under Risk (1979)Generalized autoregressive conditional heteroskedasticity (1986)Systemic risk in European sovereign debt markets: A CoVaR-copula approach (2014)Delayed Expected Loss Recognition and the Risk Profile of Banks (2015)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)The portfolio flows of international investors (2001)Emerging markets finance (2003)Financial contagion during COVID–19 crisis (2020)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)The black swan: the impact of the highly improbable (2007)The Federal Home Loan Bank System: The Lender of Next-to-Last Resort? (2008)The Interbank Market after August 2007: What Has Changed, and Why? (2010)The US as ‘Sovereign International Last-Resort Lender’: The Fed's Currency Swap Programme during the Great Panic of 2007–09 (2011)Determining the Number of Factors in Approximate Factor Models (2002)Forecasting Using Principal Components From a Large Number of Predictors (2002)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Systemic Risk Measures: The Simpler the Better? (2010)Is Tail Risk Priced in Credit Default Swap Premia? (2015)Systemic risk of insurers around the globe (2015)Financial Contagion (2000)Multinational Banking in Europe: Financial Stability and Regulatory Implications - Lessons from the Financial Crisis (2011)Addressing Interconnectedness (2013)Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide (2013)Staggered prices in a utility-maximizing framework (1983)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Phillips Curve Inflation Forecasts (2008)Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve (2009)Change Detection and the Causal Impact of the Yield Curve (2018)On the Estimation of Security Price Volatilities from Historical Data (1980)Generalized impulse response analysis in linear multivariate models (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2012)The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets (2019)Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)Using daily stock returns (1985)Efficient Capital Markets: II (1991)The Econometrics of Financial Markets (1997)Financial Protectionism: the First Tests (2011)Global Market Conditions and Systemic Risk (2011)The role of U.S. subprime mortgage-backed assets in propagating the crisis: Contagion or interdependence? (2015)Sovereign and Financial-Sector Risk: Measurement and Interactions (2012)Measuring systemic risk-adjusted liquidity (SRL)—A model approach (2014)Research on China's financial systemic risk contagion under jump and heavy-tailed risk (2020)
this work references cited by second hop

References

  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 2007Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets501 cited
  • 2012A Survey of Systemic Risk Analytics331 cited
  • 2005Why Does the Yield Curve Predict Output and Inflation?329 cited
  • 2008A Black Swan in the Money Market174 cited
  • 2009Banking Stability Measures169 cited
  • 2012IDENTIFYING CONTAGION RISK IN THE INTERNATIONAL BANKING SYSTEM: AN EXTREME VALUE THEORY APPROACH61 cited
  • 2010New Directions in Financial Sector and Sovereign Risk Management61 cited
  • 2010Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals51 cited
  • 2009How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis43 cited

Cited by

  • 2019Spillovers in risk of financial institutions19 cited

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