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Systemic risk and economic policy uncertainty: International evidence from the crude oil market
16 references·1 citing·31 second hopsampled
Systemic risk and economic policy uncertainty: International evidence from the crude oil market (2020)Systemic risk and economic policy uncerta…Oil shocks and stock markets revisited: Measuring connectedness from a global perspective (2017)Oil shocks and stock markets …Systemic risk and the macroeconomy: An empirical evaluation (2016)Systemic risk and the macroec…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…CoVaR (2016)CoVaRThe Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The Asset-Pricing Implication…Oil price shocks and stock market returns: New evidence from the United States and China (2014)Oil price shocks and stock ma…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Volatility spillover effect between internet finance and banks (2021)Volatility spillover effect b…Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)What is an Oil Shock? (2000)The Economic Effects of Energy Price Shocks (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Uncertainty (2015)Measuring Geopolitical Risk (2022)Investment under Uncertainty (1994)Policy Uncertainty and Corporate Investment (2015)On the Estimation of Security Price Volatilities from Historical Data (1980)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)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)The Unprecedented Stock Market Reaction to COVID-19 (2020)
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References

  • 2016Measuring Economic Policy Uncertainty*12,809 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,704 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,380 cited
  • 2016CoVaR2,490 cited
  • 2007The Impact of Uncertainty Shocks2,181 cited
  • 2015The Asset-Pricing Implications of Government Economic Policy Uncertainty1,380 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes910 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2016Systemic risk and the macroeconomy: An empirical evaluation608 cited
  • 2017Oil shocks and stock markets revisited: Measuring connectedness from a global perspective

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382 cited
  • 2014Oil price shocks and stock market returns: New evidence from the United States and China322 cited
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    • 2021Volatility spillover effect between internet finance and banks15 cited