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Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
16 references·16 citing·49 second hopsampled
Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Quantile Connectedness: Modeling Tail Beh…CoVaR (2016)CoVaRSystemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…Testing Weak Cross-Sectional Dependence in Large Panels (2014)Testing Weak Cross-Sectional …On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…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…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The American Business Cycle (1986)The American Business CycleThe spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)The spillover effects among f…Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets (2023)Tail spillover effects betwee…Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network (2023)Spillovers and connectedness …RETRACTED: Exploring the dynamic connectedness among energy transition and its drivers: Understanding the moderating role of global geopolitical risk (2023)RETRACTED: Exploring the dyna…Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis (2023)Extreme spillover effect of C…Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic (2023)Dynamics of the return and vo…Diversification effects of China's carbon neutral bond on renewable energy stock markets: A minimum connectedness portfolio approach (2023)Diversification effects of Ch…Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies (2023)Analysis of the spillover eff…The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach (2022)The connectedness between mem…Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness (2022)Return and volatility spillov…Quantile connectedness between energy, metal, and carbon markets (2022)Quantile connectedness betwee…How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets? (2022)How do climate risk and clean…Extreme connectedness between renewable energy tokens and fossil fuel markets (2022)Extreme connectedness between…Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: Evidence from the quantile VAR framework (2022)Dynamic spillovers between un…Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective (2022)Dynamic connectedness among c…Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective (2022)Connectedness between geopoli…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)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)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)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)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Spatial Processes, Models and Applications (1983)Spatial Econometrics: Methods and Models (1988)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Is There a Debt-Threshold Effect on Output Growth? (2016)Does green investment, financial development and natural resources rent limit carbon emissions? A provincial panel analysis of China (2020)General diagnostic tests for cross-sectional dependence in panels (2020)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Measuring Systemic Risk (2016)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Financial Contagion (2000)Financial Networks and Contagion (2014)Where the Risks Lie: A Survey on Systemic Risk (2015)Contagion in Financial Networks (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)Corporate Immunity to the COVID-19 Pandemic (2020)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)Estimating global bank network connectedness (2017)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2014Testing Weak Cross-Sectional Dependence in Large Panels2,938 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2016CoVaR2,395 cited
  • 2012The Network Origins of Aggregate Fluctuations2,310 cited
  • 2015Systemic Risk and Stability in Financial Networks1,958 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2011How Sovereign Is Sovereign Credit Risk?

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1,129 cited
  • 1986The American Business Cycle469 cited
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    • 2022Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective259 cited
    • 2022Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective257 cited
    • 2023The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises244 cited
    • 2023RETRACTED: Exploring the dynamic connectedness among energy transition and its drivers: Understanding the moderating role of global geopolitical risk192 cited
    • 2022How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?178 cited
    • 2022Extreme connectedness between renewable energy tokens and fossil fuel markets158 cited
    • 2023Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies135 cited
    • 2022Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness131 cited
    • 2022Quantile connectedness between energy, metal, and carbon markets106 cited
    • 2023Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis105 cited
    • 2022The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach101 cited
    • 2022Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: Evidence from the quantile VAR framework100 cited
    • 2023Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets100 cited
    • 2023Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network97 cited
    • 2023Diversification effects of China's carbon neutral bond on renewable energy stock markets: A minimum connectedness portfolio approach95 cited
    • 2023Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic91 cited