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Measurement of contagion in banks’ equity prices
16 references·16 citing·40 second hopsampled
Measurement of contagion in banks’ equity prices (2004)Measurement of contagion in banks’ equity…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…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…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Systemic risk: A survey (2000)Systemic risk: A surveyA New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Volatility and cross correlation across major stock markets (1998)Volatility and cross correlat…Pitfalls in Tests for Changes in Correlations (1997)Pitfalls in Tests for Changes…Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders? (1993)Is a Bond Rating Downgrade Ba…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…The Valuation of FDIC Deposit Insurance Using Option-Pricing Estimates (1984)The Valuation of FDIC Deposit…Systemic risk measures and regulatory challenges (2021)Systemic risk measures and re…Contagion across US and European financial markets: Evidence from the CDS markets (2019)Contagion across US and Europ…Network linkages to predict bank distress (2016)Network linkages to predict b…Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis (2015)Tail risk and systemic risk o…Extremal dependence tests for contagion (2015)Extremal dependence tests for…What factors drive systemic risk during international financial crises? (2014)What factors drive systemic r…‘Too systemically important to fail’ in banking – Evidence from bank mergers and acquisitions (2014)‘Too systemically important t…IDENTIFYING CONTAGION RISK IN THE INTERNATIONAL BANKING SYSTEM: AN EXTREME VALUE THEORY APPROACH (2012)IDENTIFYING CONTAGION RISK IN…Bank resilience to systemic shocks and the stability of banking systems: Small is beautiful (2012)Bank resilience to systemic s…Redefining and Containing Systemic Risk (2010)Redefining and Containing Sys…Cross‐Border Exposures and Financial Contagion (2010)Cross‐Border Exposures and Fi…Contagion risk in the Australian banking and property sectors (2010)Contagion risk in the Austral…The Changing Geography of Banking and Finance (2009)The Changing Geography of Ban…External Linkages and Contagion Risk in Irish Banks (2009)External Linkages and Contagi…Measuring Reputational Risk: The Market Reaction to Operational Loss Announcements (2005)Measuring Reputational Risk: …Banking System Stability: A Cross-Atlantic Perspective (2005)Banking System Stability: A C…A Theory of Intraday Patterns: Volume and Price Variability (1988)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Chapter 49 Arch models (1994)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Limited-dependent and qualitative variables in econometrics (1983)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)The subprime credit crisis and contagion in financial markets (2010)Capital flows, push versus pull factors and the global financial crisis (2012)Financial Contagion (2000)Emerging markets finance (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Measuring financial contagion: A Copula approach (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Integration and Contagion (2005)Downside Risk (2006)Family succession and firm performance: Evidence from Italian family firms (2007)Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Service Regulation and Growth: Evidence from OECD Countries (2011)Competition and Financial Stability (2004)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 1998Volatility and cross correlation across major stock markets525 cited
  • 1993Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?512 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 1997Pitfalls in Tests for Changes in Correlations381 cited
  • 2000Systemic risk: A survey375 cited

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  • 1984The Valuation of FDIC Deposit Insurance Using Option-Pricing Estimates360 cited
  • Cited by

    • 2005Banking System Stability: A Cross-Atlantic Perspective137 cited
    • 2014What factors drive systemic risk during international financial crises?128 cited
    • 2005Measuring Reputational Risk: The Market Reaction to Operational Loss Announcements120 cited
    • 2012Bank resilience to systemic shocks and the stability of banking systems: Small is beautiful115 cited
    • 2015Extremal dependence tests for contagion94 cited
    • 2021Systemic risk measures and regulatory challenges79 cited
    • 2009The Changing Geography of Banking and Finance78 cited
    • 2010Cross‐Border Exposures and Financial Contagion75 cited
    • 2014‘Too systemically important to fail’ in banking – Evidence from bank mergers and acquisitions65 cited
    • 2010Contagion risk in the Australian banking and property sectors65 cited
    • 2016Network linkages to predict bank distress62 cited
    • 2012IDENTIFYING CONTAGION RISK IN THE INTERNATIONAL BANKING SYSTEM: AN EXTREME VALUE THEORY APPROACH61 cited
    • 2009External Linkages and Contagion Risk in Irish Banks56 cited
    • 2019Contagion across US and European financial markets: Evidence from the CDS markets53 cited
    • 2010Redefining and Containing Systemic Risk53 cited
    • 2015Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis51 cited