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Principal Components as a Measure of Systemic Risk
14 references·14 citing·46 second hopsampled
Principal Components as a Measure of Systemic Risk (2012)Principal Components as a Measure of Syst…Skulls, Financial Turbulence, and Risk Management (2010)Skulls, Financial Turbulence,…Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010)Econometric Measures of Syste…Dynamics of Persistence in International Inflation Rates (2007)Dynamics of Persistence in In…Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2006)Asymmetries in Stock Returns:…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets (2002)Are the gains from internatio…Systemic Risk: A Survey (2001)Systemic Risk: A SurveyContagion: How to Measure It? 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this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation391 cited
  • 2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors274 cited
  • 2001Systemic Risk: A Survey224 cited
  • 2000Asymmetric Correlations of Equity Portfolios214 cited
  • 1993Business-Cycle Analysis With a Markov-Switching Model213 cited
  • 2010Skulls, Financial Turbulence, and Risk Management212 cited
  • 2001Contagion: How to Measure It?165 cited
  • 2002Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets156 cited
  • 2007Dynamics of Persistence in International Inflation Rates117 cited

Cited by

  • 2018Measuring the propagation of financial distress with Granger-causality tail risk networks

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101 cited
  • 2012What is the Systemic Risk Exposure of Financial Institutions?101 cited
  • 2019Monitoring indirect contagion100 cited
  • 2015Structure and dynamics of stock market in times of crisis79 cited
  • 2013Fire-sale Spillovers and Systemic Risk68 cited
  • 2015Extracting, Linking and Integrating Data from Public Sources: A Financial Case Study63 cited
  • 2022Asymmetric and threshold effects of FinTech on poverty in SSA countries57 cited
  • 2013USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS40 cited
  • 2015Systemic Risk and the Macroeconomy: An Empirical Evaluation28 cited
  • 2015Pricing Risks Across Currency Denominations27 cited
  • 2016A Spanish Financial Market Stress Index (FMSI)27 cited
  • 2015Systemic Risk in a Structural Model of Bank Default Linkages26 cited
  • 2014Systemic Risk in the Italian Banking Industry26 cited
  • 2020Application of Principal Component Analysis on Perceived Barriers to Youth Entrepreneurship13 cited