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Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach
16 references·5 citing·42 second hop
Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach (2018)Measuring systemic risk of the banking in…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…A Review of Financial Studies (1) (1994)A Review of Financial Studies…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Life Cycle, Individual Thrift, and the Wealth of Nations (1986)Life Cycle, Individual Thrift…Temperature shocks and bank systemic risk: Evidence from China (2022)Temperature shocks and bank s…Systemic risk in financial institutions: A multiplex network approach (2022)Systemic risk in financial in…Interest rate volatility and financing of Islamic banks (2022)Interest rate volatility and …Systemic risk in the Chinese financial system: A copula‐based network approach (2020)Systemic risk in the Chinese …Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach (2020)Measuring systemic risk of th…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The equity premium: A puzzle (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)A five-factor asset pricing model (2014)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Credit Cycles (1997)Where the Risks Lie: A Survey on Systemic Risk (2015)Estimating global bank network connectedness (2017)Conditional Tail-Risk in Cryptocurrency Markets (2018)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)Anticipation and the Valuation of Delayed Consumption (1987)Understanding Consumption (1992)FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH: ASSESSING THE EVIDENCE* (1997)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 1986Life Cycle, Individual Thrift, and the Wealth of Nations1,274 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2005There is a risk-return trade-off after all1,019 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 1994A Review of Financial Studies (1)

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885 cited
  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns826 cited
  • Cited by

    • 2022Temperature shocks and bank systemic risk: Evidence from China40 cited
    • 2020Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach32 cited
    • 2022Systemic risk in financial institutions: A multiplex network approach30 cited
    • 2020Systemic risk in the Chinese financial system: A copula‐based network approach29 cited
    • 2022Interest rate volatility and financing of Islamic banks26 cited