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Systemic importance analysis of chinese financial institutions based on volatility spillover network
16 references·0 citing·35 second hop
Systemic importance analysis of chinese financial institutions based on volatility spillover network (2018)Systemic importance analysis of chinese f…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…Financial Networks and Contagion (2014)Financial Networks and Contag…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk (2012)DebtRank: Too Central to Fail…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…Complexity, concentration and contagion (2011)Complexity, concentration and…A Macroprudential Approach to Financial Regulation (2011)A Macroprudential Approach to…Simulation methods to assess the danger of contagion in interbank markets (2010)Simulation methods to assess …A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…ARCH modeling in finance (1992)ARCH modeling in financeA Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Factoring and weighting approaches to status scores and clique identification (1972)Factoring and weighting appro…A New Status Index Derived from Sociometric Analysis (1953)A New Status Index Derived fr…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Estimating betas from nonsynchronous data (1977)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation, Loanable Funds, and The Real Sector (1997)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Where the Risks Lie: A Survey on Systemic Risk (2015)Estimating global bank network connectedness (2017)Bank Runs, Deposit Insurance, and Liquidity (1983)Credit Cycles (1997)Financial Contagion (2000)Games on Networks (2014)Contagion in Financial Networks (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Determinants of corporate borrowing (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)The Use and Effectiveness of Macroprudential Policies (2015)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Measuring Political Sophistication (1987)A Relational View of Information Seeking and Learning in Social Networks (2003)Social Movements and Networks (2003)Modeling and Forecasting Realized Volatility (2003)A computational model of trust and reputation (2003)Dynamics of Dyads in Social Networks: Assortative, Relational, and Proximity Mechanisms (2010)
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References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1953A New Status Index Derived from Sociometric Analysis3,877 cited
  • 1972Factoring and weighting approaches to status scores and clique identification3,212 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2015Systemic Risk and Stability in Financial Networks1,958 cited
  • 2014Financial Networks and Contagion1,222 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2011A Macroprudential Approach to Financial Regulation1,087 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2012DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk919 cited
  • 2011Complexity, concentration and contagion825 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited

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2010
Simulation methods to assess the danger of contagion in interbank markets
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