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Modeling Systemic Risk with Markov Switching Graphical SUR Models
16 references·13 citing·41 second hop
Modeling Systemic Risk with Markov Switching Graphical SUR Models (2019)Modeling Systemic Risk with Markov Switch…Measuring Systemic Risk (2016)Measuring Systemic RiskOn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Financial Network Systemic Risk Contributions (2014)Financial Network Systemic Ri…The Network Origins of Aggregate Fluctuations (2012)The Network Origins of Aggreg…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesDo the Fama–French Factors Proxy for Innovations in Predictive Variables? (2006)Do the Fama–French Factors Pr…Asset Pricing: Revised Edition (2005)Asset Pricing: Revised Edition‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Understanding Risk and Return (1993)Understanding Risk and ReturnCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Factoring and weighting approaches to status scores and clique identification (1972)Factoring and weighting appro…A NEW MEASURE OF RANK CORRELATION (1938)A NEW MEASURE OF RANK CORRELA…Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions (2024)Multilayer networks in the fr…Interconnectedness and systemic risk: Evidence from global stock markets (2024)Interconnectedness and system…Persistence in financial connectedness and systemic risk (2023)Persistence in financial conn…Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions (2023)Multilayer networks in the fr…Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector (2023)Interconnected networks: Meas…Global stock markets risk contagion: Evidence from multilayer connectedness networks in the frequency domain (2023)Global stock markets risk con…The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic (2022)The contagion effect of jump …NetVIX — A network volatility index of financial markets (2022)NetVIX — A network volatility…Modelling systemic risk using neural network quantile regression (2021)Modelling systemic risk using…Dynamic Networks in Large Financial and Economic Systems (2020)Dynamic Networks in Large Fin…Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions (2019)Bayesian forecasting of multi…Bond Risk Premia with Machine Learning (2018)Bond Risk Premia with Machine…The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification (2016)The Impact of Network Connect…A New Status Index Derived from Sociometric Analysis (1953)Measuring Political Sophistication (1987)A Relational View of Information Seeking and Learning in Social Networks (2003)Social Movements and Networks (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Who's Who in Networks. Wanted: The Key Player (2006)Naïve Learning in Social Networks and the Wisdom of Crowds (2010)An Illustrated User Guide to the World Input–Output Database: the Case of Global Automotive Production (2015)Systemic Risk and Stability in Financial Networks (2015)Corporate Immunity to the COVID-19 Pandemic (2020)Bank Runs, Deposit Insurance, and Liquidity (1983)Coherent Measures of Risk (1999)Market Liquidity and Funding Liquidity (2008)Bank Capital and Lending Relationships (2017)Estimating global bank network connectedness (2017)An effect size primer: A guide for clinicians and researchers. (2009)Comparison of Values of Pearson's and Spearman's Correlation Coefficients on the Same Sets of Data (2011)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1938A NEW MEASURE OF RANK CORRELATION7,315 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1972Factoring and weighting approaches to status scores and clique identification3,212 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2012The Network Origins of Aggregate Fluctuations2,310 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 1993Understanding Risk and Return1,797 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 2006Do the Fama–French Factors Proxy for Innovations in Predictive Variables?719 cited
  • 2005Asset Pricing: Revised Edition718 cited

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  • 2014Financial Network Systemic Risk Contributions559 cited
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    • 2022NetVIX — A network volatility index of financial markets60 cited
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    • 2023Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector53 cited
    • 2020Dynamic Networks in Large Financial and Economic Systems52 cited
    • 2023Persistence in financial connectedness and systemic risk49 cited
    • 2023Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions46 cited
    • 2023Global stock markets risk contagion: Evidence from multilayer connectedness networks in the frequency domain43 cited
    • 2019Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions43 cited
    • 2024Interconnectedness and systemic risk: Evidence from global stock markets33 cited
    • 2016The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification33 cited
    • 2018Bond Risk Premia with Machine Learning31 cited
    • 2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic28 cited
    • 2024Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions23 cited