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Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
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Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods (2021)Early warning of systemic risk in global …SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)SRISK: A Conditional Capital …Measuring Systemic Risk (2016)Measuring Systemic RiskWhere the Risks Lie: A Survey on Systemic Risk (2015)Where the Risks Lie: A Survey…Cross-Border Banking and Global Liquidity (2014)Cross-Border Banking and Glob…Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Capital Flows and the Risk-Ta…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Credit Booms Gone Bust: Monet…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Liquidity and leverage (2008)Liquidity and leverageInterbank Exposures: Quantifying the Risk of Contagion (2003)Interbank Exposures: Quantify…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Systemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…Event Studies in Economics and Finance (1997)Event Studies in Economics an…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Stabilizing an Unstable Economy (1987)Stabilizing an Unstable Econo…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Capital markets research in accounting (2001)Introductory Econometrics for Finance (2008)Corporate Social Responsibility and Shareholder Reaction: The Environmental Awareness of Investors (2012)Generalized autoregressive conditional heteroskedasticity (1986)The Econometrics of Financial Markets (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Multivariate GARCH models: a survey (2006)The Econometrics of Financial Markets (2012)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Credit Cycles (1997)Dynamic Conditional Correlation (2002)Estimating global bank network connectedness (2017)MACHINE LEARNING METHODS FOR SYSTEMIC RISK ANALYSIS IN FINANCIAL SECTORS (2019)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)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 Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)CoVaR (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Finance and Growth: Schumpeter Might Be Right (1993)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)This Time Is Different (2009)From Financial Crash to Debt Crisis (2011)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Systemic Risk and Stability in Financial Networks (2015)Bank Runs, Deposit Insurance, and Liquidity (1983)Coherent Measures of Risk (1999)Bank Capital and Lending Relationships (2017)Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios (2011)Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach* (2012)A Macroeconomic Model with a Financial Sector (2014)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,842 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1987Stabilizing an Unstable Economy3,358 cited
  • 2012Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–20082,655 cited
  • 2008Liquidity and leverage2,557 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2016SRISK: A Conditional Capital Shortfall Measure of Systemic Risk1,369 cited
  • 2001Systemic Risk in Financial Systems1,364 cited
  • 2013Capital Flows and the Risk-Taking Channel of Monetary Policy1,305 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2014Cross-Border Banking and Global Liquidity941 cited
  • 2003Interbank Exposures: Quantifying the Risk of Contagion724 cited

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  • 2015Where the Risks Lie: A Survey on Systemic Risk688 cited
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