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Financial stress spillovers across the banking, securities and foreign exchange markets · Study

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ArticleFinancial stress spillovers across the banking, securities and foreign exchange markets

George N. Apostolakis2015

Article2015

Financial stress spillovers across the banking, securities and foreign exchange markets

George N. Apostolakis · Athanasios P. Papadopoulos

95 citations·0/0 files stored·Journal of Financial Stability

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1996Financial Dependence and Growth 1998Generalized impulse response analysis in linear multivariate models 2009The Impact of Uncertainty Shocks 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1997Credit Cycles 1996Impulse response analysis in nonlinear multivariate models 1998The Financial Accelerator in a Quantitative Business Cycle Framework 1980Irreversibility, Uncertainty, and Cyclical Investment

Cited by

2021Financial stress, economic policy uncertainty, and oil price uncertainty 2019Financial stress dynamics in the MENA region: Evidence from the Arab Spring 2017Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index 2020Does Bitcoin or gold react to financial stress alike? Evidence from the U.S. and China 2022Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis

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Details

Year2015

Typearticle

Published2015-05-21

VenueJournal of Financial Stability

ISSN-L1572-3089

Languageen

Citations95

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jfs.2015.05.003

openalex_workW2115098378

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2017

Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach

2020Assessing the impacts of financial stress index of developed countries on the exchange market pressure index of emerging countries

2024Quantifying the volatility spillover dynamics between financial stress and US financial sectors: Evidence from QVAR connectedness