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Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets
16 references·0 citing·34 second hop
Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets (2023)Risk spillovers from China's and the US s…The Unprecedented Stock Market Reaction to COVID-19 (2020)The Unprecedented Stock Marke…COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19 pandemic, oil prices…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …TENET: Tail-Event driven NETwork risk (2016)TENET: Tail-Event driven NETw…Measuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (2016)CoVaRVulnerable banks (2014)Vulnerable banksSystemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…Analysis of Financial Time Series (2010)Analysis of Financial Time Se…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Measuring Economic Policy Uncertainty* (2016)COVID-19 and finance: Agendas for future research (2020)COVID-Induced Economic Uncertainty (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Coherent Measures of Risk (1999)Bank Capital and Lending Relationships (2017)Estimating global bank network connectedness (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)The Cross‐Section of Volatility and Expected Returns (2006)Economic uncertainty before and during the COVID-19 pandemic (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)
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References

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  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2016CoVaR2,395 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2016Measuring Systemic Risk1,846 cited
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  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2010Analysis of Financial Time Series1,035 cited
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  • 2014Vulnerable banks492 cited

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2016
TENET: Tail-Event driven NETwork risk
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