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Measuring the contribution of Chinese financial institutions to systemic risk: an extended asymmetric CoVaR approach
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Measuring the contribution of Chinese financial institutions to systemic risk: an extended asymmetric CoVaR approach (2020)Measuring the contribution of Chinese fin…The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)The contagion effects of the …Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)Infected Markets: Novel Coron…COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market (2020)COVID–19’s Impact on Stock Pr…COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19 pandemic, oil prices…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …Measuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (2016)CoVaROn 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 …Handbook of the Economics of Finance (2013)Handbook of the Economics of …Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…An empirical analysis of herd behavior in global stock markets (2010)An empirical analysis of herd…Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Explaining Credit Default Swa…Herding behavior in Chinese stock markets: An examination of A and B shares (2007)Herding behavior in Chinese s…The impact of institutional trading on stock prices (1992)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Cross-country effects in herding behaviour: Evidence from four south European markets (2011)Investor herding behaviour of Chinese stock market (2013)Herding on fundamental information: A comparative study (2014)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)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)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Measuring Economic Policy Uncertainty* (2016)COVID-19 and finance: Agendas for future research (2020)COVID-Induced Economic Uncertainty (2020)Financial contagion during COVID–19 crisis (2020)Return connectedness across asset classes around the COVID-19 outbreak (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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Credit Cycles (1997)Where the Risks Lie: A Survey on Systemic Risk (2015)Estimating global bank network connectedness (2017)Conditional Tail-Risk in Cryptocurrency Markets (2018)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Bank Runs, Deposit Insurance, and Liquidity (1983)Coherent Measures of Risk (1999)Market Liquidity and Funding Liquidity (2008)Bank Capital and Lending Relationships (2017)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Investor Psychology and Asset Pricing (2001)Presidential Address: Discount Rates (2011)… and the Cross-Section of Expected Returns (2015)
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References

  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2016CoVaR2,395 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,488 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
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2010An empirical analysis of herd behavior in global stock markets880 cited
  • 2020The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies880 cited
  • 2012A Survey of Systemic Risk Analytics716 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2007Herding behavior in Chinese stock markets: An examination of A and B shares646 cited
  • 2020COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market643 cited

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  • 2020Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe631 cited
  • 2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms572 cited
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