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Sudden spikes in global risk
16 references·5 citing·54 second hopsampled
Sudden spikes in global risk (2012)Sudden spikes in global riskFinancial frictions, financial integration and the international propagation of shocks (2012)Financial frictions, financia…How did a domestic housing slump turn into a global financial crisis? (2011)How did a domestic housing sl…Global banking and international business cycles (2010)Global banking and internatio…CROSS-COUNTRY CAUSES AND CONSEQUENCES OF THE 2008 CRISIS: INTERNATIONAL LINKAGES AND AMERICAN EXPOSURE (2010)CROSS-COUNTRY CAUSES AND CONS…Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2009)Volatility Spillovers and Con…Financial globalization, financial crises and contagion (2009)Financial globalization, fina…The Role of Portfolio Constraints in the International Propagation of Shocks (2008)The Role of Portfolio Constra…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Leverage Cycles and the Anxious Economy (2008)Leverage Cycles and the Anxio…Does International Financial Contagion Really Exist? (2003)Does International Financial …Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Volatility dependence and contagion in emerging equity markets (2001)Volatility dependence and con…Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectContagion: Understanding How It Spreads (2000)Contagion: Understanding How …R2 (1988)R2Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Do confidence indicators have an impact on macro-financial indicators? An analysis of the financial service and real sector confidence indexes: evidence from Turkey (2020)Do confidence indicators have…Global Financial Cycles and Risk Premiums (2018)Global Financial Cycles and R…Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises (2017)Foreign Booms, Domestic Busts…The Two Faces of Cross-Border Banking Flows (2015)The Two Faces of Cross-Border…The Great Recession: A Self-Fulfilling Global Panic (2013)The Great Recession: A Self-F…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)The Limits of Arbitrage (1995)Credit Cycles (1997)Deciphering the Liquidity and Credit Crunch 2007-08 (2008)A Macroprudential Approach to Financial Regulation (2011)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Measuring and Testing the Impact of News on Volatility (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Contagion and banking crisis – International evidence for 2007–2009 (2015)The spillover effects across natural gas and oil markets: Based on the VEC–MGARCH framework (2015)The dynamic spillover between carbon and energy markets: New evidence (2018)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Market Liquidity and Funding Liquidity (2008)The Leverage Cycle (2010)A Model of Capital and Crises (2011)Margin-based Asset Pricing and Deviations from the Law of One Price (2011)Optimum consumption and portfolio rules in a continuous-time model (1971)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A New Approach to Measuring Financial Contagion (2003)Style investing (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Bank Runs, Deposit Insurance, and Liquidity (1983)A Simple Model of Herd Behavior (1992)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Emerging markets finance (2003)The subprime credit crisis and contagion in financial markets (2010)Modeling financial contagion using mutually exciting jump processes (2015)The Debt-Deflation Theory of Great Depressions (1933)Agency Costs, Net Worth, And Business Fluctuations (1988)Overborrowing, Financial Crises and 'Macro-prudential' Taxes (2010)Global Crises and Equity Market Contagion (2011)On the international transmission of shocks: Micro-evidence from mutual fund portfolios (2012)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Foundations of International Macroeconomics (1997)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Exporting Sovereign Stress: Evidence from Syndicated Bank Lending during the Euro Area Sovereign Debt Crisis (2014)How do US credit supply shocks propagate internationally? A GVAR approach (2014)Do banks price environmental transition risks? Evidence from a quasi-natural experiment in China (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)The Impact of Public Information on the Stock Market (1994)The impact of social and conventional media on firm equity value: A sentiment analysis approach (2012)The Importance of Industry Links in Merger Waves (2013)
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References

  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 2000Contagion: Understanding How It Spreads812 cited
  • 2008Leverage Cycles and the Anxious Economy647 cited
  • 1988R2630 cited
  • 2001Volatility dependence and contagion in emerging equity markets251 cited
  • 2010Global banking and international business cycles251 cited
  • 2009Financial globalization, financial crises and contagion228 cited
  • 2008The Role of Portfolio Constraints in the International Propagation of Shocks201 cited
  • 2010CROSS-COUNTRY CAUSES AND CONSEQUENCES OF THE 2008 CRISIS: INTERNATIONAL LINKAGES AND AMERICAN EXPOSURE190 cited
  • 2003Does International Financial Contagion Really Exist?185 cited
  • 2012Financial frictions, financial integration and the international propagation of shocks147 cited
  • 2009Volatility Spillovers and Contagion from Mature to Emerging Stock Markets136 cited

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  • 2011How did a domestic housing slump turn into a global financial crisis?82 cited
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    • 2017Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises39 cited
    • 2013The Great Recession: A Self-Fulfilling Global Panic37 cited
    • 2015The Two Faces of Cross-Border Banking Flows30 cited
    • 2018Global Financial Cycles and Risk Premiums29 cited
    • 2020Do confidence indicators have an impact on macro-financial indicators? An analysis of the financial service and real sector confidence indexes: evidence from Turkey21 cited