SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Financial sector bailouts, sovereign bailouts, and the transfer of credit risk
16 references·2 citing·45 second hop
Financial sector bailouts, sovereign bailouts, and the transfer of credit risk (2018)Financial sector bailouts, sovereign bail…Estimating global bank network connectedness (2017)Estimating global bank networ…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…The VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)A Pyrrhic Victory? Bank Bailo…The Network Origins of Aggregate Fluctuations (2012)The Network Origins of Aggreg…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Exploring the international linkages of the euro area: a global VAR analysis (2007)Exploring the international l…An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Modeling Regional Interdepend…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network (2022)Multidimensional risk spillov…Effectiveness of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies (2022)Effectiveness of monetary pol…Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)The Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)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)Statistical analysis of cointegration vectors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Panels with Nonstationary Multifactor Error Structures (2006)Unit Roots and Cointegration in Panels (2008)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Term Structures of Defaultable Bonds (1999)Insider trading in credit derivatives☆ (2007)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Financial Contagion (2000)Financial Networks and Contagion (2014)Where the Risks Lie: A Survey on Systemic Risk (2015)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)Corporate Immunity to the COVID-19 Pandemic (2020)
this work references cited by second hop

References

  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2012The Network Origins of Aggregate Fluctuations2,310 cited
  • 2015Systemic Risk and Stability in Financial Networks1,958 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model1,461 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2007Exploring the international linkages of the euro area: a global VAR analysis996 cited
  • 2014The VIX, the variance premium and stock market volatility812 cited
  • 2014A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk812 cited
  • 2008

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

Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
805 cited
  • 2017Estimating global bank network connectedness637 cited
  • Cited by

    • 2022Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network87 cited
    • 2022Effectiveness of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies16 cited