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Learning from History: Volatility and Financial Crises
16 references·6 citing·35 second hop
Learning from History: Volatility and Financial Crises (2016)Learning from History: Volatility and Fin…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Credit Booms Gone Bust: Monet…Growth in a Time of Debt (2010)Growth in a Time of DebtThis Time Is Different (2009)This Time Is DifferentLiquidity and leverage (2008)Liquidity and leverageModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The Twin Crises: The Causes o…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Expected stock returns and volatility (1987)Expected stock returns and vo…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Constitution of Liberty (1960)The Constitution of LibertyVolatility GARCH models with the ordered weighted average (OWA) operators (2021)Volatility GARCH models with …Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance? (2020)Volatility as a Transmitter o…Does the risk on banks’ balance sheets predict banking crises? New evidence for developing countries (2020)Does the risk on banks’ balan…The SKEW Index: Extracting What Has Been Left (2018)The SKEW Index: Extracting Wh…The anatomy of financial vulnerabilities and banking crises (2018)The anatomy of financial vuln…The shifts and the shocks (2017)The shifts and the shocksSpecification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)A Model of Balance-of-Payments Crises (1979)New Indexes of Coincident and Leading Economic Indicators (1989)The Determinants of Banking Crises in Developing and Developed Countries (1998)Does financial liberalization spur growth? (2005)Economic Freedom of the World: 2022 Annual Report (2022)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)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)The European Sovereign Debt Crisis (2012)Populism and the economics of globalization (2018)Systemic Banking Crises Database II (2020)Econometric Analysis of Cross Section and Panel Data (2001)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Capital markets research in accounting (2001)
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References

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  • 2016Measuring Economic Policy Uncertainty*12,311 cited
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  • 1987Expected stock returns and volatility4,147 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2009This Time Is Different3,448 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2010Growth in a Time of Debt2,778 cited
  • 2012Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–20082,655 cited
  • 1960The Constitution of Liberty2,611 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 2008Liquidity and leverage

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Cited by

  • 2020Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance?38 cited
  • 2018The anatomy of financial vulnerabilities and banking crises34 cited
  • 2018The SKEW Index: Extracting What Has Been Left32 cited
  • 2021Volatility GARCH models with the ordered weighted average (OWA) operators30 cited
  • 2017The shifts and the shocks23 cited
  • 2020Does the risk on banks’ balance sheets predict banking crises? New evidence for developing countries20 cited