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Near-Coincident Indicators of Systemic Stress
16 references·0 citing·47 second hop
Near-Coincident Indicators of Systemic Stress (2013)Near-Coincident Indicators of Systemic St…Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide (2013)Systemic Risk Monitoring ("Sy…IDENTIFYING CONTAGION RISK IN THE INTERNATIONAL BANKING SYSTEM: AN EXTREME VALUE THEORY APPROACH (2012)IDENTIFYING CONTAGION RISK IN…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…This time is different: eight centuries of financial folly (2010)This time is different: eight…Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals (2010)Systemic Risk Diagnostics: Co…Cross-Border Financial Surveillance (2010)Cross-Border Financial Survei…Banking Stability Measures (2009)Banking Stability MeasuresBanking Stability Measures (2009)Banking Stability MeasuresAssessing the risk of banking crises - revisited (2009)Assessing the risk of banking…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…A Black Swan in the Money Market (2008)A Black Swan in the Money Mar…Why Does the Yield Curve Predict Output and Inflation? (2005)Why Does the Yield Curve Pred…Systemic risk and financial consolidation: Are they related? (2002)Systemic risk and financial c…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A Black Swan in the Money MarketA Black Swan in the Money Mar…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Bank Competition And Financial Stability: Friends Or Foes? (2008)Investigating Diversity in the Banking Sector in Europe: The Performance and Role of Savings Banks (2009)An analysis of the literature on systemic financial risk: A survey (2016)The Pricing of Options and Corporate Liabilities (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Generalized autoregressive conditional heteroskedasticity (1986)Systemic risk in European sovereign debt markets: A CoVaR-copula approach (2014)Delayed Expected Loss Recognition and the Risk Profile of Banks (2015)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)Staggered prices in a utility-maximizing framework (1983)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Phillips Curve Inflation Forecasts (2008)Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve (2009)Change Detection and the Causal Impact of the Yield Curve (2018)Manias, Panics and Crashes (1978)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Systemic Banking Crises: A New Database (2008)Bank regulation, property prices and early warning systems for banking crises in OECD countries (2010)Countercyclical Capital Buffers: Exploring Options (2010)Characterising the financial cycle : don't lose sight of the medium term! (2012)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Cycles (1997)Measuring Systemic Risk (2010)A simple indicator of systemic risk (2012)Assessing the contribution of banks, insurance and other financial services to systemic risk (2014)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)The black swan: the impact of the highly improbable (2007)Credit Frictions and Optimal Monetary Policy (2009)Hedge Fund Contagion and Liquidity Shocks (2010)Over the Cliff: From the Subprime to the Global Financial Crisis (2011)Rollover Risk and Credit Risk (2012)Prospect theory: An analysis of decision under risk (1988)Where the Risks Lie: A Survey on Systemic Risk (2015)TENET: Tail-Event driven NETwork risk (2016)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Trust and Growth (2001)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)Corporate Immunity to the COVID-19 Pandemic (2020)Extreme Correlation of International Equity Markets (2001)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2010This time is different: eight centuries of financial folly1,776 cited
  • 2012A Survey of Systemic Risk Analytics716 cited
  • n.d.A Black Swan in the Money Market610 cited
  • 2009Assessing the risk of banking crises - revisited402 cited
  • 2012A Survey of Systemic Risk Analytics331 cited
  • 2005Why Does the Yield Curve Predict Output and Inflation?329 cited
  • 2002Systemic risk and financial consolidation: Are they related?257 cited
  • 2009Banking Stability Measures195 cited
  • 2008A Black Swan in the Money Market148 cited
  • 2009Banking Stability Measures91 cited
  • 2012IDENTIFYING CONTAGION RISK IN THE INTERNATIONAL BANKING SYSTEM: AN EXTREME VALUE THEORY APPROACH61 cited
  • 2013Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide60 cited
  • 2010Cross-Border Financial Surveillance59 cited
  • 2010Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals

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