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Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach
16 references·0 citing·48 second hop
Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach (2022)Measuring systemic risk contribution of g…Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine (2022)Geopolitical risk and the sys…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …Estimating global bank network connectedness (2017)Estimating global bank networ…TENET: Tail-Event driven NETwork risk (2016)TENET: Tail-Event driven NETw…CoVaR (2016)CoVaRThe multi-layer network nature of systemic risk and its implications for the costs of financial crises (2015)The multi-layer network natur…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…Financial Network Systemic Risk Contributions (2014)Financial Network Systemic Ri…Value and Momentum Everywhere (2013)Value and Momentum EverywhereSystemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk (2012)DebtRank: Too Central to Fail…Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis (2011)Can leading indicators assess…The Cross-Country Incidence of the Global Crisis (2010)The Cross-Country Incidence o…The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The Twin Crises: The Causes o…Do foreign investors destabilize stock markets? The Korean experience in 1997 (1999)Do foreign investors destabil…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)A Model of Balance-of-Payments Crises (1979)New Indexes of Coincident and Leading Economic Indicators (1989)The Determinants of Banking Crises in Developing and Developed Countries (1998)Does financial liberalization spur growth? (2005)Economic Freedom of the World: 2022 Annual Report (2022)The Product Space Conditions the Development of Nations (2007)Systemic risk in banking ecosystems (2011)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Climate Risks and Financial Stability (2020)Social physics (2022)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)Dynamic Conditional Correlation (2002)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Where the Risks Lie: A Survey on Systemic Risk (2015)Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Credit Cycles (1997)Conditional Tail-Risk in Cryptocurrency Markets (2018)Risk measurement when shares are subject to infrequent trading (1979)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Inferring Trade Direction from Intraday Data (1991)Contagion: Understanding How It Spreads (2000)Investor psychology in capital markets: evidence and policy implications (2002)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Climate policy uncertainty and the price dynamics of green and brown energy stocks (2022)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)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)
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References

  • 1999The Twin Crises: The Causes of Banking and Balance-of-Payments Problems4,990 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2016CoVaR2,395 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2015Systemic Risk and Stability in Financial Networks1,958 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2012DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk919 cited
  • 1999Do foreign investors destabilize stock markets? The Korean experience in 1997896 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2017Estimating global bank network connectedness637 cited
  • 2014Financial Network Systemic Risk Contributions559 cited
  • 2011Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis528 cited
  • 2016TENET: Tail-Event driven NETwork risk472 cited
  • 2010The Cross-Country Incidence of the Global Crisis384 cited
  • 2022Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine334 cited

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The multi-layer network nature of systemic risk and its implications for the costs of financial crises
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