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Financial stress indices: An introduction
12 references·1 citing·57 second hopsampled
Financial stress indices: An introduction (2016)Financial stress indices: An introductionA Spanish Financial Market Stress Index (FMSI) (2016)A Spanish Financial Market St…Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area (2015)Macroeconomic effects of fina…Financial shocks and the real economy in a nonlinear world: From theory to estimation (2015)Financial shocks and the real…The VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…Finance, growth, and stability: Lessons from the crisis (2014)Finance, growth, and stabilit…The VIX, the Variance Premium and Stock Market Volatility (2013)The VIX, the Variance Premium…Large time-varying parameter VARs (2013)Large time-varying parameter …Large Time-Varying Parameter VARs (2012)Large Time-Varying Parameter …A methodology for constructing a financial systemic stress index: An application to Greece (2012)A methodology for constructin…Volatility Derivatives (2009)Volatility DerivativesFinance and Growth: Theory and Evidence (2004)Finance and Growth: Theory an…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Nekatere pasti digitalizacije za Republiko Slovenijo (2020)Nekatere pasti digitalizacije…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The cost of capital, corporation finance and the theory of investment (2008)A financial accelerator in the business sector of a macroeconometric model of a small open economy (2019)Real and financial cycles: estimates using unobserved component models for the Italian economy (2019)Nowcasting the state of the Italian economy: The role of financial markets (2023)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Large Bayesian vector auto regressions (2009)A new index of financial conditions (2014)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)Finance and Growth: Schumpeter Might Be Right (1993)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Banking Structure, Marketization, and Small Business Development: Regional Evidence From C hina (2015)Globalization and Its Discontents (2015)Global Banking: Toward an Assessment of Benefits and Costs (2020)Global banking systems, financial stability, and uncertainty: How have countries coped with geopolitical risks? (2024)Postwar U.S. Business Cycles: An Empirical Investigation (1997)This Time Is Different (2009)The predictive power of singular value decomposition entropy for stock market dynamics (2013)Does Bitcoin or gold react to financial stress alike? Evidence from the U.S. and China (2020)Global financial stress index and long-term volatility forecast for international stock markets (2023)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)On the mechanics of economic development (1988)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Institutions as the Fundamental Cause of Long-Run Growth (2004)Chapter 12 Finance and Growth: Theory and Evidence (2005)Corporate social responsibility and access to finance (2013)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Impact of Uncertainty Shocks (2009)The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis (2012)Resolution of policy uncertainty and sudden declines in volatility (2017)Chasing the ESG factor (2022)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Economic growth in the era of unconventional monetary instruments: A FAVAR approach (2019)Assessing the stability of the banking system based on fuzzy logic methods (2020)Digitalization, retail trade and monetary policy (2020)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)The Time Variation in Risk Appetite and Uncertainty (2021)Theory of Rational Option Pricing (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)An analytical formula for VIX futures and its applications (2011)Excess Volatility: Beyond Discount Rates* (2017)The VIX Premium (2018)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2004Finance and Growth: Theory and Evidence3,752 cited
  • 2014The VIX, the variance premium and stock market volatility812 cited
  • 2013Large time-varying parameter VARs506 cited
  • 2013The VIX, the Variance Premium and Stock Market Volatility188 cited
  • 2009Volatility Derivatives178 cited
  • 2012A methodology for constructing a financial systemic stress index: An application to Greece72 cited
  • 2015Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area61 cited
  • 2014Finance, growth, and stability: Lessons from the crisis47 cited
  • 2015Financial shocks and the real economy in a nonlinear world: From theory to estimation32 cited
  • 2012Large Time-Varying Parameter VARs28 cited
  • 2016A Spanish Financial Market Stress Index (FMSI)27 cited

Cited by

  • 2020Nekatere pasti digitalizacije za Republiko Slovenijo9 cited

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