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Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk (SDSVaR) Approach
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Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk (SDSVaR) Approach (2010)Spillover Effects among Financial Institu…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…The real effects of financial constraints: Evidence from a financial crisis (2010)The real effects of financial…SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital …Diversification at financial institutions and systemic crises (2009)Diversification at financial …Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…A theory of systemic risk and design of prudential bank regulation (2009)A theory of systemic risk and…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Deciphering the Liquidity and Credit Crunch 2007-08 (2008)Deciphering the Liquidity and…Banking crises, financial dependence, and growth☆ (2007)Banking crises, financial dep…Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…Market Liquidity and Funding Liquidity (2005)Market Liquidity and Funding …CAViaR (2004)CAViaRLiquidity Shortages and Banking Crises (2002)Liquidity Shortages and Banki…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…CDS Spreads and Contagion Amongst Systemically Important Financial Institutions – A Spatial Econometric Approach (2015)CDS Spreads and Contagion Amo…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Did Fair-Value Accounting Contribute to the Financial Crisis? (2010)Resolution of Banking Crises: The Good, the Bad, and the Ugly (2010)CoVaR (2011)Financial Intermediation and Delegated Monitoring (1984)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Liquidity Risk and Contagion (2005)Has Finance Made the World Riskier? (2006)Credit Rationing in Markets with Imperfect Information (1981)Liquidity and leverage (2008)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Measuring Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)Financing Constraints and Corporate Investment (1987)Financing Constraints and Corporate Investment (1988)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Costly external finance, corporate investment, and the subprime mortgage credit crisis (2010)Fire Sales in Finance and Macroeconomics (2011)Corporate social responsibility and access to finance (2013)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Bank lending during the financial crisis of 2008 (2009)
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  • 2009

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Diversification at financial institutions and systemic crises
586 cited

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  • 2015CDS Spreads and Contagion Amongst Systemically Important Financial Institutions – A Spatial Econometric Approach30 cited