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Sectoral Contributions to Systemic Risk in the Chinese Stock Market
11 references·3 citing·37 second hop
Sectoral Contributions to Systemic Risk in the Chinese Stock Market (2018)Sectoral Contributions to Systemic Risk i…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …Oil shocks and stock markets revisited: Measuring connectedness from a global perspective (2017)Oil shocks and stock markets …Measuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (2016)CoVaRWhich are the SIFIs? A Component Expected Shortfall approach to systemic risk (2014)Which are the SIFIs? A Compon…The IPO of Industrial and Commercial Bank of China and the ‘Chinese Model’ of privatizing large financial institutions (2012)The IPO of Industrial and Com…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…The effects of macroeconomic shocks on sector-specific returns (2003)The effects of macroeconomic …Information flows within and across sectors in Chinese stock markets (2003)Information flows within and …The transmission of shocks among S&P indexes (2002)The transmission of shocks am…Coherent Measures of Risk (1999)Coherent Measures of RiskInterconnectedness and systemic risk: Evidence from global stock markets (2024)Interconnectedness and system…Assessing machine learning for forecasting economic risk: Evidence from an expanded Chinese financial information set (2021)Assessing machine learning fo…Systemic risk in the Chinese financial system: A copula‐based network approach (2020)Systemic risk in the Chinese …Macroeconomics and Reality (1980)Economic Forces and the Stock Market (1986)Generalized impulse response analysis in linear multivariate models (1998)International linkage of stock prices: the case of Indonesia (2005)Interindustry volatility spillover effects in China’s stock market (2019)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Information transmission and spillover in currency markets: A generalized variance decomposition analysis (2006)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)Common risk factors in the returns on stocks and bonds (1993)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Economic policy uncertainty in the US and China and their impact on the global markets (2018)Global financial crisis and rising connectedness in the international commodity markets (2018)Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets (2018)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more? (2018)Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network (2020)Climate change and financial systemic risk: Evidence from US banks and insurers (2023)Credit Cycles (1997)Conditional Tail-Risk in Cryptocurrency Markets (2018)Bank Runs, Deposit Insurance, and Liquidity (1983)Market Liquidity and Funding Liquidity (2008)Bank Capital and Lending Relationships (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Country ETF returns and volatility spillovers in emerging stock markets, Europe and USA (2016)What drives dynamic connectedness of the U.S equity sectors during different business cycles? (2021)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2016CoVaR2,395 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2017Oil shocks and stock markets revisited: Measuring connectedness from a global perspective382 cited
  • 2014Which are the SIFIs? A Component Expected Shortfall approach to systemic risk176 cited
  • 2003The effects of macroeconomic shocks on sector-specific returns68 cited
  • 2002The transmission of shocks among S&P indexes58 cited
  • 2003Information flows within and across sectors in Chinese stock markets50 cited
  • 2012The IPO of Industrial and Commercial Bank of China and the ‘Chinese Model’ of privatizing large financial institutions44 cited

Cited by

  • 2021Assessing machine learning for forecasting economic risk: Evidence from an expanded Chinese financial information set44 cited
  • 2024Interconnectedness and systemic risk: Evidence from global stock markets33 cited
  • 2020Systemic risk in the Chinese financial system: A copula‐based network approach29 cited

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