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Risk of liquidity and contagion of the crisis on the United States, United Kingdom and euro zone money markets
9 references·0 citing·35 second hop
Risk of liquidity and contagion of the crisis on the United States, United Kingdom and euro zone money markets (2011)Risk of liquidity and contagion of the cr…The Dollar Shortage in Global Banking and the International Policy Response (2012)The Dollar Shortage in Global…Financial Stability Review (2011)Financial Stability ReviewVolatility Spillovers and Contagion from Mature to Emerging Stock Markets (2009)Volatility Spillovers and Con…Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08 (2009)Interpreting deviations from …Behavior of Libor in the current financial crisis (2009)Behavior of Libor in the curr…What drives interbank rates? Evidence from the Libor panel (2008)What drives interbank rates? …Developments in repo markets during the financial turmoil (2008)Developments in repo markets …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…The 2007–2009 financial crisis and bank opaqueness (2012)Liquidity, Monetary Policy, and Financial Cycles (2008)Securitized banking and the run on repo (2011)The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis (2014)The macroeconomics of central bank digital currencies (2021)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)Credit Risk : Pricing, Measurement, and Management (2003)The Panic of 2007 (2008)Do interbank customer relationships exist? And how did they function in the crisis? Learning from Italy (2011)The Interbank Market after August 2007: What Has Changed, and Why? (2011)Measuring and Testing the Impact of News on Volatility (1993)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Reference Points and Effort Provision (2009)Active Labour Market Policy Evaluations: A Meta‐Analysis (2010)Asymmetric Volatility Spillovers: Revisiting the Diebold-Yilmaz (2009) Spillover Index with Realized Semivariance (2013)Manias, Panics, and Crashes: A History of Financial Crises (1979)Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking (2001)The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004 (2007)Capital flow waves: Surges, stops, flight, and retrenchment (2012)The European Sovereign Debt Crisis (2012)Cross-Border Banking and Global Liquidity (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Carry Trades and Currency Crashes (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Presidential Address: Discount Rates (2011)Deviations from Covered Interest Rate Parity (2016)Bank profitability and the business cycle (2008)Bank risk and monetary policy (2009)Global Banking Glut and Loan Risk Premium (2012)Multivariate GARCH models: a survey (2006)
this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,229 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,205 cited
  • 2011Financial Stability Review1,164 cited
  • 2009Interpreting deviations from covered interest parity during the financial market turmoil of 2007–08205 cited
  • 2009Volatility Spillovers and Contagion from Mature to Emerging Stock Markets136 cited
  • 2008What drives interbank rates? Evidence from the Libor panel125 cited
  • 2008Developments in repo markets during the financial turmoil120 cited
  • 2012The Dollar Shortage in Global Banking and the International Policy Response93 cited
  • 2009Behavior of Libor in the current financial crisis16 cited

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