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Contagion Risk in Global Banking Sector
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Contagion Risk in Global Banking Sector (2017)Contagion Risk in Global Banking SectorSystemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…Financial Networks and Contagion (2014)Financial Networks and Contag…A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)A Pyrrhic Victory? Bank Bailo…Failure and Rescue in an Interbank Network (2012)Failure and Rescue in an Inte…Rational Inattention to Discrete Choices: A New Foundation for the Multinomial Logit Model (2011)Rational Inattention to Discr…A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk (2011)A Pyrrhic Victory? - Bank Bai…Hedge Fund Contagion and Liquidity Shocks (2010)Hedge Fund Contagion and Liqu…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Vector Autoregressions (2001)Vector AutoregressionsCorporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Corporate Debt Value, Bond Co…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The effects of dividend yield and dividend policy on common stock prices and returns (1974)The effects of dividend yield…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers (2023)Spreading of cross-market vol…Novel evidence from APEC countries on stock market integration and volatility spillover: A Diebold and Yilmaz approach (2023)Novel evidence from APEC coun…Do financial innovations influence bank performance? Evidence from China (2023)Do financial innovations infl…The size of good and bad volatility shocks does matter for spillovers (2022)The size of good and bad vola…Determining banking service attributes from online reviews: text mining and sentiment analysis (2022)Determining banking service a…Bearish Vs Bullish risk network: A Eurozone financial system analysis (2022)Bearish Vs Bullish risk netwo…A commentary on emerging markets banking sector spillovers: Covid-19 vs GFC pattern analysis (2022)A commentary on emerging mark…Volatility transmission across international markets amid COVID 19 pandemic (2021)Volatility transmission acros…Impact of globalization, institutional quality, economic growth, electricity and renewable energy consumption on Carbon Dioxide Emission in OECD countries (2021)Impact of globalization, inst…Financial connectedness of GCC emerging stock markets (2021)Financial connectedness of GC…Can Banks Sustain the Growth in Renewable Energy Supply? An International Evidence (2021)Can Banks Sustain the Growth …Modeling the optimal diversification opportunities: the case of crypto portfolios and equity portfolios (2020)Modeling the optimal diversif…Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Asset pricing and the bid-ask spread (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modelling the persistence of conditional variances (1986)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)The theory and practice of corporate finance: evidence from the field (2001)Bank Runs, Deposit Insurance, and Liquidity (1983)Credit Cycles (1997)Financial Contagion (2000)Games on Networks (2014)Where the Risks Lie: A Survey on Systemic Risk (2015)Contagion in Financial Networks (2016)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)The cost of capital, corporation finance and the theory of investment (2008)Macroeconomics and Reality (1980)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimating the Effects of Fiscal Policy in OECD Countries (2003)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2013)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 2015Systemic Risk and Stability in Financial Networks1,958 cited
  • 2014Financial Networks and Contagion1,222 cited
  • 2001Vector Autoregressions1,168 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1974The effects of dividend yield and dividend policy on common stock prices and returns1,002 cited
  • 2014A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk812 cited
  • 2011Rational Inattention to Discrete Choices: A New Foundation for the Multinomial Logit Model786 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2011A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk488 cited
  • 2010Hedge Fund Contagion and Liquidity Shocks

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471 cited
  • 2012Failure and Rescue in an Interbank Network410 cited
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    • 2020Modeling the optimal diversification opportunities: the case of crypto portfolios and equity portfolios35 cited
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    • 2022Bearish Vs Bullish risk network: A Eurozone financial system analysis31 cited
    • 2021Volatility transmission across international markets amid COVID 19 pandemic29 cited
    • 2023Do financial innovations influence bank performance? Evidence from China23 cited