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Systemic risk in global volatility spillover networks: Evidence from option‐implied volatility indices
16 references·2 citing·43 second hop
Systemic risk in global volatility spillover networks: Evidence from option‐implied volatility indices (2019)Systemic risk in global volatility spillo…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Hazardous Times for Monetary …From Micro to Macro via Production Networks (2014)From Micro to Macro via Produ…Financial Networks and Contagion (2014)Financial Networks and Contag…The Importance of Industry Links in Merger Waves (2013)The Importance of Industry Li…The Network Origins of Aggregate Fluctuations (2012)The Network Origins of Aggreg…Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? (2012)Does Systemic Risk in the Fin…Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Volatility and Links between National Stock Markets (1994)Volatility and Links between …The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…RETRACTED: Mapping fear in financial markets: Insights from dynamic networks and centrality measures (2024)RETRACTED: Mapping fear in fi…Risk spillovers across geopolitical risk and global financial markets (2023)Risk spillovers across geopol…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Credit Rationing in Markets with Imperfect Information (1981)Financial Intermediation and Delegated Monitoring (1984)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications (2012)The Deposits Channel of Monetary Policy* (2017)Whatever It Takes: The Real Effects of Unconventional Monetary Policy (2017)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Credit Cycles (1997)Financial Contagion (2000)Games on Networks (2014)Where the Risks Lie: A Survey on Systemic Risk (2015)Contagion in Financial Networks (2016)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)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)Extreme Correlation of International Equity Markets (2001)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2008Market Liquidity and Funding Liquidity5,007 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
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
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  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 2014Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking?1,328 cited
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  • 1995Asymmetric volatility transmission in international stock markets728 cited
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  • 2013The Importance of Industry Links in Merger Waves494 cited
  • 2014From Micro to Macro via Production Networks476 cited

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  • 2012Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?439 cited
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    • 2023Risk spillovers across geopolitical risk and global financial markets74 cited
    • 2024RETRACTED: Mapping fear in financial markets: Insights from dynamic networks and centrality measures27 cited