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Contagion or interdependence? Comparing spillover indices
16 references·1 citing·35 second hop
Contagion or interdependence? Comparing spillover indices (2021)Contagion or interdependence? Comparing s…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…This Time Is Different (2009)This Time Is DifferentMeasuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Financial Contagion (2000)Financial ContagionGeneralized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Financial Intermediation, Loanable Funds, and The Real Sector (1997)Financial Intermediation, Loa…Credit Cycles (1997)Credit CyclesImpulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Using daily stock returns (1985)Using daily stock returnsDeterminants of corporate borrowing (1977)Determinants of corporate bor…Risk contagion in financial markets: A systematic review using bibliometric methods (2023)Risk contagion in financial m…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Financial Intermediation and Delegated Monitoring (1984)Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt (1991)Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking (2001)Tracing the Impact of Bank Liquidity Shocks: Evidence from an Emerging Market (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)An Empirical Evaluation of Accounting Income Numbers (1968)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Correlation of International Equity Markets (2001)Financial Constraints Risk (2006)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop

References

  • 1977Determinants of corporate borrowing13,160 cited
  • 1985Using daily stock returns6,497 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1997Credit Cycles5,254 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 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
  • 1997Financial Intermediation, Loanable Funds, and The Real Sector3,910 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2009This Time Is Different3,448 cited
  • 2000Financial Contagion3,393 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited

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  • 2015Systemic Risk and Stability in Financial Networks1,958 cited
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    • 2023Risk contagion in financial markets: A systematic review using bibliometric methods22 cited