Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Extreme Contagion in Equity Markets

16 references·16 citing·38 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
1997Modelling Extremal Events4,397 cited
1994Modelling of extremal events in insurance and finance3,519 cited
2001Extreme Correlation of International Equity Markets2,608 cited
2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
1989International Transmission of Stock Market Movements1,412 cited
1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
1996Statistics for near independence in multivariate extreme values742 cited
2000A New Approach to Measuring Financial Contagion723 cited
1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective448 cited
1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective425 cited
1997Pitfalls in Tests for Changes in Correlations381 cited
1979The Relationship Between Equity Indices on World Exchanges

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

339 cited

2000Value-at-Risk and Extreme Returns320 cited

Cited by

2016Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets149 cited
2005Financial contagion vulnerability and resistance: A comparison of European stock markets100 cited
2015Dynamic convergence of commodity futures: Not all types of commodities are alike94 cited
2022Contagion and tail risk in complex financial networks77 cited
2009Extreme coexceedances in new EU member states' stock markets72 cited
2017Contagion Risk in Global Banking Sector69 cited
2014Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management69 cited
2010Contagion effects of the subprime crisis in the European NYSE Euronext markets65 cited
2013The global financial crisis: World market or regional contagion effects?63 cited
2007Extreme interdependence and extreme contagion between emerging markets62 cited
2012IDENTIFYING CONTAGION RISK IN THE INTERNATIONAL BANKING SYSTEM: AN EXTREME VALUE THEORY APPROACH61 cited
2014Tail dependence and indicators of systemic risk for large US depositories56 cited
2017Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis55 cited
2014Measuring stock market contagion: Local or common currency returns?43 cited
2008Extreme Coexceedances in New EU Member States' Stock Markets30 cited
2007Contagion Risk in the International Banking System and Implications for London as a Global Financial Center27 cited