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Convergence and risk-return linkages across financial service firms
16 references·11 citing·31 second hop
Convergence and risk-return linkages across financial service firms (2006)Convergence and risk-return linkages acro…The Theory of Bank Risk Taking and Competition Revisited (2005)The Theory of Bank Risk Takin…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Comparing financial systems (2001)Comparing financial systemsModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Deposit Insurance, Risk, and Market Power in Banking (1988)Deposit Insurance, Risk, and …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Credit Rationing in Markets with Imperfect Information (1981)Credit Rationing in Markets w…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…What drives dynamic connectedness of the U.S equity sectors during different business cycles? (2021)What drives dynamic connected…Business-linkage volatility spillovers between US industries (2019)Business-linkage volatility s…Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach (2016)Market, interest rate, and ex…Interest rate dynamic effect on stock returns and central bank transparency: Evidence from emerging markets (2016)Interest rate dynamic effect …Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods (2014)Return and Volatility Spillov…Large capital infusions, investor reactions, and the return and risk-performance of financial institutions over the business cycle (2013)Large capital infusions, inve…Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK (2013)Interest rate risk and the cr…Exchange rate risk and the equity performance of financial intermediaries (2012)Exchange rate risk and the eq…Interest rate sensitivity of the European stock markets before and after the euro introduction (2011)Interest rate sensitivity of …A three-factor model investigation of foreign exchange-rate exposure (2010)A three-factor model investig…Market Risk, Interest Rate Risk, and Interdependencies in Insurer Stock Returns: A System‐GARCH Model (2008)Market Risk, Interest Rate Ri…Increases in risk and in risk aversion (1974)Risk Sharing and Incentives in the Principal and Agent Relationship (1979)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Financial Dependence and Growth (1996)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1981Credit Rationing in Markets with Imperfect Information12,762 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 2005The Theory of Bank Risk Taking and Competition Revisited2,097 cited
  • 1988

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Deposit Insurance, Risk, and Market Power in Banking
1,782 cited
  • 2001Comparing financial systems1,585 cited
  • Cited by

    • 2021What drives dynamic connectedness of the U.S equity sectors during different business cycles?48 cited
    • 2019Business-linkage volatility spillovers between US industries42 cited
    • 2013Large capital infusions, investor reactions, and the return and risk-performance of financial institutions over the business cycle40 cited
    • 2008Market Risk, Interest Rate Risk, and Interdependencies in Insurer Stock Returns: A System‐GARCH Model39 cited
    • 2011Interest rate sensitivity of the European stock markets before and after the euro introduction36 cited
    • 2016Interest rate dynamic effect on stock returns and central bank transparency: Evidence from emerging markets35 cited
    • 2013Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK35 cited
    • 2012Exchange rate risk and the equity performance of financial intermediaries33 cited
    • 2014Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods30 cited
    • 2016Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach28 cited
    • 2010A three-factor model investigation of foreign exchange-rate exposure26 cited