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Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions
16 references·1 citing·44 second hop
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References

  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,538 cited
  • 2016CoVaR2,490 cited
  • 1999Hierarchical structure in financial markets2,104 cited
  • 2005A tool for filtering information in complex systems902 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 2019RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities?696 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series565 cited
  • 2010Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market362 cited
  • 2015The multiplex structure of interbank networks282 cited
  • 2009Causality in quantiles and dynamic stock return–volume relations275 cited
  • 2012The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach236 cited
  • 2017Interconnectedness and systemic risk of China's financial institutions228 cited
  • 2016Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks220 cited

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  • 2019Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes204 cited
  • 2015Partial correlation analysis: applications for financial markets190 cited
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    • 2024Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective18 cited