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Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model
16 references·0 citing·35 second hopsampled
Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model (2022)Risk spillover analysis of China’s financ…The real value of China’s stock market (2020)The real value of China’s sto…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…TENET: Tail-Event driven NETwork risk (2016)TENET: Tail-Event driven NETw…CoVaR (2016)CoVaROn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Evaluating early warning indicators of banking crises: Satisfying policy requirements (2014)Evaluating early warning indi…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…A review of copula models for economic time series (2012)A review of copula models for…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The Financial Crisis, Systemic Risk, and the Future of Insurance Regulation (2009)The Financial Crisis, Systemi…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Assessing the risk of banking crises (2002)Assessing the risk of banking…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Estimating betas from nonsynchronous data (1977)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation, Loanable Funds, and The Real Sector (1997)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Where the Risks Lie: A Survey on Systemic Risk (2015)Estimating global bank network connectedness (2017)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)Efficient Tests for an Autoregressive Unit Root (1996)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Measuring Systemic Risk (2016)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)Copula Methods for Forecasting Multivariate Time Series (2013)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2016CoVaR2,395 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2012A review of copula models for economic time series587 cited
  • 2016TENET: Tail-Event driven NETwork risk472 cited
  • 2014Evaluating early warning indicators of banking crises: Satisfying policy requirements446 cited
  • 2020The real value of China’s stock market432 cited
  • 2002Assessing the risk of banking crises

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364 cited
  • 2009The Financial Crisis, Systemic Risk, and the Future of Insurance Regulation303 cited
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