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Systemic risk in European sovereign debt markets: A CoVaR-copula approach
16 references·16 citing·34 second hopsampled
Systemic risk in European sovereign debt markets: A CoVaR-copula approach (2014)Systemic risk in European sovereign debt …Is gold a safe haven or a hedge for the US dollar? 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(2018)Which is the safe haven for e…The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)The impact of energy prices o…The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method (2018)The dependence and risk spill…Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)Risk spillover between energy…Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model (2018)Risk dependence of CoVaR and …Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS (2018)Modelling dynamic dependence …Asymmetric risk spillovers between oil and agricultural commodities (2018)Asymmetric risk spillovers be…Extreme dependence and risk spillovers between oil and Islamic stock markets (2017)Extreme dependence and risk s…Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method (2016)Modeling systemic risk and de…An analysis of the literature on systemic financial risk: A survey (2016)An analysis of the literature…Quantile dependence of oil price movements and stock returns (2015)Quantile dependence of oil pr…Downside and upside risk spillovers between exchange rates and stock prices (2015)Downside and upside risk spil…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)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 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
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2009A framework for assessing the systemic risk of major financial institutions

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638 cited
  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
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    • 2016Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method348 cited
    • 2018Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model278 cited
    • 2019Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach245 cited
    • 2015Downside and upside risk spillovers between exchange rates and stock prices238 cited
    • 2018Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS236 cited
    • 2016An analysis of the literature on systemic financial risk: A survey227 cited
    • 2018The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach224 cited
    • 2021Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system205 cited
    • 2015Quantile dependence of oil price movements and stock returns179 cited
    • 2018Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model177 cited
    • 2021Risk spillover and network connectedness analysis of China’s green bond and financial markets: Evidence from financial events of 2015–2020156 cited
    • 2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method142 cited
    • 2018Asymmetric risk spillovers between oil and agricultural commodities131 cited
    • 2017Extreme dependence and risk spillovers between oil and Islamic stock markets128 cited
    • 2023Climate change and financial systemic risk: Evidence from US banks and insurers115 cited
    • 2018Which is the safe haven for emerging stock markets, gold or the US dollar?112 cited