SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Network quantile autoregression
16 references·10 citing·44 second hop
Network quantile autoregression (2019)Network quantile autoregressionTENET: Tail-Event driven NETwork risk (2016)TENET: Tail-Event driven NETw…VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)VAR for VaR: Measuring tail d…Relational constitution of social support in migrants’ transnational personal communities (2014)Relational constitution of so…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Financial Network Systemic Risk Contributions (2014)Financial Network Systemic Ri…A five-factor asset pricing model (2014)A five-factor asset pricing m…The Network Origins of Aggregate Fluctuations (2012)The Network Origins of Aggreg…Statistics for Spatio‐Temporal Data (2012)Statistics for Spatio‐Tempora…GRAVITY REDUX: MEASURING INTERNATIONAL TRADE COSTS WITH PANEL DATA (2012)GRAVITY REDUX: MEASURING INTE…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Statistics for Spatio-Temporal Data (2011)Statistics for Spatio-Tempora…Evaluating Value-at-Risk Models via Quantile Regression (2010)Evaluating Value-at-Risk Mode…CAViaR (2004)CAViaRAsymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models (2004)Asymptotic Distributions of Q…A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…Robust Rank Tests of the Unit Root Hypothesis (1997)Robust Rank Tests of the Unit…Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries (2024)Risk contagion and diversific…Unveiling Venice’s hotels competition networks from dynamic pricing digital market (2023)Unveiling Venice’s hotels com…Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries (2023)Systemic risk spillovers and …Quantile connectedness amongst BRICS equity markets during the COVID-19 pandemic and Russia–Ukraine war (2023)Quantile connectedness amongs…Measuring systemic risk in the global banking sector: A cross-quantilogram network approach (2022)Measuring systemic risk in th…Tail-event driven network of cryptocurrencies and conventional assets (2021)Tail-event driven network of …QRNN-MIDAS: A novel quantile regression neural network for mixed sampling frequency data (2021)QRNN-MIDAS: A novel quantile …Contagion effect of systemic risk among industry sectors in China’s stock market (2021)Contagion effect of systemic …FRM Financial Risk Meter (2020)FRM Financial Risk MeterTail event driven networks of SIFIs (2018)Tail event driven networks of…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Empirical modelling of contagion: a review of methodologies (2005)Economic Reforms, FDI, and Economic Growth in India: A Sector Level Analysis (2008)Predicting Fluctuations in Cryptocurrency Transactions Based on User Comments and Replies (2016)Spatial Econometrics: Methods and Models (1988)STATISTICS FOR SPATIAL DATA (1992)Statistics for Spatial Data (1993)Panel data models with spatially correlated error components (2006)Estimation of spatial autoregressive panel data models with fixed effects (2009)Thirty years of spatial econometrics (2010)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)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)On Persistence in Mutual Fund Performance (1997)Extreme risk spillover network: application to financial institutions (2017)Syndication, interconnectedness, and systemic risk (2017)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)Who's Who in Networks. Wanted: The Key Player (2006)Naïve Learning in Social Networks and the Wisdom of Crowds (2010)An Illustrated User Guide to the World Input–Output Database: the Case of Global Automotive Production (2015)Systemic Risk and Stability in Financial Networks (2015)Corporate Immunity to the COVID-19 Pandemic (2020)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)The Causal Effect of Environmental Catastrophe on Long-Run Economic Growth: Evidence From 6,700 Cyclones (2014)Geographical and Temporal Weighted Regression (GTWR) (2015)Spatio-Temporal Interpolation using gstat (2016)
this work references cited by second hop

References

  • 2014A five-factor asset pricing model7,841 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2012The Network Origins of Aggregate Fluctuations2,310 cited
  • 2004CAViaR2,210 cited
  • 2012Statistics for Spatio‐Temporal Data1,560 cited
  • 2011Statistics for Spatio-Temporal Data1,302 cited
  • 2004Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models1,035 cited
  • 2000A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆785 cited
  • 2014Financial Network Systemic Risk Contributions559 cited
  • 2012GRAVITY REDUX: MEASURING INTERNATIONAL TRADE COSTS WITH PANEL DATA552 cited
  • 2016TENET: Tail-Event driven NETwork risk472 cited
  • 2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles383 cited
  • 2010Evaluating Value-at-Risk Models via Quantile Regression179 cited
  • 2014Relational constitution of social support in migrants’ transnational personal communities135 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1997Robust Rank Tests of the Unit Root Hypothesis72 cited
  • Cited by

    • 2018Tail event driven networks of SIFIs89 cited
    • 2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries49 cited
    • 2022Measuring systemic risk in the global banking sector: A cross-quantilogram network approach47 cited
    • 2021QRNN-MIDAS: A novel quantile regression neural network for mixed sampling frequency data35 cited
    • 2021Contagion effect of systemic risk among industry sectors in China’s stock market30 cited
    • 2021Tail-event driven network of cryptocurrencies and conventional assets28 cited
    • 2020FRM Financial Risk Meter28 cited
    • 2023Quantile connectedness amongst BRICS equity markets during the COVID-19 pandemic and Russia–Ukraine war21 cited
    • 2024Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries18 cited
    • 2023Unveiling Venice’s hotels competition networks from dynamic pricing digital market8 cited