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Systemic risk contagion in FX market: A frequency connectedness and network analysis
16 references·1 citing·29 second hop
Systemic risk contagion in FX market: A frequency connectedness and network analysis (2019)Systemic risk contagion in FX market: A f…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)An Autoregressive Distributed…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The subprime credit crisis and contagion in financial markets (2010)The subprime credit crisis an…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …The Unholy Trinity of Financial Contagion (2003)The Unholy Trinity of Financi…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Board of Governors of the Federal Reserve System (2001)Board of Governors of the Fed…Rational contagion and the globalization of securities markets (2000)Rational contagion and the gl…Financial Market Contagion in the Asian Crisis (1999)Financial Market Contagion in…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches (2022)Credit risk interdependence i…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Estimating long-run relationships from dynamic heterogeneous panels (1995)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Bounds testing approaches to the analysis of level relationships (2001)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)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Limited-dependent and qualitative variables in econometrics (1983)Financial Contagion (2000)Emerging markets finance (2003)Measuring financial contagion: A Copula approach (2007)The robustness of identified VAR conclusions about money (1998)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Correlation of International Equity Markets (2001)A Demand System Approach to Asset Pricing (2018)Does Climate Change Affect Real Estate Prices? Only If You Believe In It (2018)The Economic Impacts of COVID-19: Evidence from a New Public Database Built Using Private Sector Data (2020)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2012An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis3,941 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 2001Board of Governors of the Federal Reserve System1,130 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2000Rational contagion and the globalization of securities markets952 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2010The subprime credit crisis and contagion in financial markets654 cited
  • 2003

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The Unholy Trinity of Financial Contagion
619 cited
  • 1999Financial Market Contagion in the Asian Crisis594 cited
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    • 2022Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches20 cited