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Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors
16 references·0 citing·34 second hop
Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors (2022)Dynamic risk spillover among crude oil, e…Measuring economic policy uncertainty in China (2019)Measuring economic policy unc…The energy consumption and economic growth nexus in top ten energy-consuming countries: Fresh evidence from using the quantile-on-quantile approach (2018)The energy consumption and ec…TENET: Tail-Event driven NETwork risk (2016)TENET: Tail-Event driven NETw…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…Does realized skewness predict the cross-section of equity returns? (2015)Does realized skewness predic…Vulnerable banks (2014)Vulnerable banksOn 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…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Financial Contagion (2000)Financial ContagionGeneralized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Model of Text for Experimentation in the Social Sciences (2016)Measuring Economic Policy Uncertainty* (2016)Economic policy uncertainty (EPU) and firm carbon emissions: Evidence using a China provincial EPU index (2020)Green credit policy and firm performance: What we learn from China (2021)A news-based climate policy uncertainty index for China (2023)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Financial Networks and Contagion (2014)Where the Risks Lie: A Survey on Systemic Risk (2015)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Monetary History of the United States 1867-1960 (1964)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 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
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  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2015Systemic Risk and Stability in Financial Networks1,958 cited
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  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH547 cited
  • 2018The energy consumption and economic growth nexus in top ten energy-consuming countries: Fresh evidence from using the quantile-on-quantile approach530 cited
  • 2015Does realized skewness predict the cross-section of equity returns?

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507 cited
  • 2014Vulnerable banks492 cited
  • 2016TENET: Tail-Event driven NETwork risk472 cited
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