SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Financial stress transmission between the U.S. and the Euro Area
16 references·0 citing·48 second hopsampled
Financial stress transmission between the U.S. and the Euro Area (2022)Financial stress transmission between the…Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017)Oil price shocks, economic po…The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)VAR for VaR: Measuring tail d…Oil prices and financial stress: A volatility spillover analysis (2015)Oil prices and financial stre…Running for the Exit? International Bank Lending During a Financial Crisis (2012)Running for the Exit? Interna…Global banking and international business cycles (2010)Global banking and internatio…Financial stress and economic contractions (2010)Financial stress and economic…CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)CISS - A Composite Indicator …The Transmission of Financial Stress from Advanced to Emerging Economies (2009)The Transmission of Financial…Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Granger causality in risk and…Measuring financial stress in a developed country: An application to Canada (2006)Measuring financial stress in…CAViaR (2004)CAViaRA Decomposition of Global Linkages in Financial Markets Over Time (2004)A Decomposition of Global Lin…Preventing Currency Crises in Emerging Markets (2002)Preventing Currency Crises in…Dissecting the cycle: a methodological investigation (2002)Dissecting the cycle: a metho…Sources of contagion: is it finance or trade? (2001)Sources of contagion: is it f…Credit Rationing in Markets with Imperfect Information (1981)Law and Finance (1998)Culture's Consequences: Comparing Values, Behaviors, Institutions, and Organizations across Nations (2002)The flight home effect: Evidence from the syndicated loan market during financial crises (2011)Cross-border banking, credit access, and the financial crisis (2012)Tracing out capital flows: How financially integrated banks respond to natural disasters (2017)ARCH modeling in finance (1992)Currency crashes in emerging markets: An empirical treatment (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Financial stability, energy consumption and environmental quality: Evidence from South Asian economies (2016)Measuring Business Cycles (1947)King Charles I (1981)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Growth Dynamics: The Myth of Economic Recovery (2008)When Credit Bites Back (2013)How Regions React to Recessions: Resilience and the Role of Economic Structure (2016)Contagious Currency Crises (1996)Leading Indicators of Currency Crises (1998)On crises, contagion, and confusion (2000)Cross-country experiences and policy implications from the global financial crisis (2010)Speculators, commodities and cross-market linkages (2013)The Behavior of Stock-Market Prices (1965)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Econometrics of Financial Markets (2012)An analysis of the literature on systemic financial risk: A survey (2016)Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Impulse response analysis in nonlinear multivariate models (1996)Market Liquidity and Funding Liquidity (2008)The Impact of Uncertainty Shocks (2009)Flights to Safety (2019)Do ESG strategies enhance bank stability during financial turmoil? Evidence from Europe (2021)Credit Cycles (1997)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Assessing systemic risks and predicting systemic events (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors (1999)Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Fear of Floating (2000)Fear of Floating (2002)Global Waves of Debt: Causes and Consequences (2021)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2004CAViaR2,210 cited
  • 2002Dissecting the cycle: a methodological investigation1,504 cited
  • 2006Measuring financial stress in a developed country: An application to Canada569 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series553 cited
  • 2012Running for the Exit? International Bank Lending During a Financial Crisis478 cited
  • 2010CISS - A Composite Indicator of Systemic Stress in the Financial System474 cited
  • 2001Sources of contagion: is it finance or trade?465 cited
  • 2010Financial stress and economic contractions429 cited
  • 2004A Decomposition of Global Linkages in Financial Markets Over Time413 cited
  • 2009The Transmission of Financial Stress from Advanced to Emerging Economies408 cited
  • 2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles383 cited
  • 2002Preventing Currency Crises in Emerging Markets363 cited
  • 2009Granger causality in risk and detection of extreme risk spillover between financial markets358 cited
  • 2017Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression304 cited
  • 2010Global banking and international business cycles

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

251 cited
  • 2015Oil prices and financial stress: A volatility spillover analysis221 cited
  • Cited by

    No citing works inside the corpus for this window.