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Sector spillovers in credit markets
16 references·9 citing·34 second hop
Sector spillovers in credit markets (2018)Sector spillovers in credit marketsOn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2012)The Dynamics of Spillover Eff…Credit Spreads and Business Cycle Fluctuations (2012)Credit Spreads and Business C…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2007)Measuring Financial Asset Ret…Banking crises, financial dependence, and growth☆ (2007)Banking crises, financial dep…Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Macroeconomic Dynamics and Cr…The Real Effect of Banking Crises (2005)The Real Effect of Banking Cr…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Dynamic connectedness of major financial markets in China and America (2021)Dynamic connectedness of majo…Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors (2021)Analyzing the Stock Volatilit…Risk Connectedness Heterogeneity in the Cryptocurrency Markets (2020)Risk Connectedness Heterogene…Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin (2020)Jumps in Geopolitical Risk an…Asymmetric volatility connectedness among main international stock markets: A high frequency analysis (2020)Asymmetric volatility connect…Spatial spillover and impact factors of the internet finance development in China (2019)Spatial spillover and impact …Interindustry volatility spillover effects in China’s stock market (2019)Interindustry volatility spil…Dynamic return and volatility spillovers among S&P 500, crude oil, and gold (2019)Dynamic return and volatility…How Connected is the Global Sovereign Credit Risk Network? (2015)How Connected is the Global S…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Time-changed Lévy processes and option pricing (2003)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Trends and random walks in macroeconmic time series (1982)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Cycles (1997)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)U.S. Monetary Policy and the Global Financial Cycle (2020)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2012Credit Spreads and Business Cycle Fluctuations2,209 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 2005The Real Effect of Banking Crises774 cited
  • 2007Banking crises, financial dependence, and growth☆693 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
  • 2007Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets501 cited

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2006
Macroeconomic Dynamics and Credit Risk: A Global Perspective
408 cited
  • 2012The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil378 cited
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    • 2019Interindustry volatility spillover effects in China’s stock market52 cited
    • 2020Asymmetric volatility connectedness among main international stock markets: A high frequency analysis51 cited
    • 2020Risk Connectedness Heterogeneity in the Cryptocurrency Markets48 cited
    • 2015How Connected is the Global Sovereign Credit Risk Network?38 cited
    • 2019Spatial spillover and impact factors of the internet finance development in China29 cited
    • 2021Dynamic connectedness of major financial markets in China and America28 cited
    • 2021Analyzing the Stock Volatility Spillovers in Chinese Financial and Economic Sectors20 cited