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Sovereign Credit and Geopolitical Risks During and After the EMU Crisis
16 references·1 citing·52 second hopsampled
Sovereign Credit and Geopolitical Risks During and After the EMU Crisis (2021)Sovereign Credit and Geopolitical Risks D…Measuring Geopolitical Risk (2022)Measuring Geopolitical RiskUncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2021)Uncertainty and Business Cycl…Hedging geopolitical risk with precious metals (2020)Hedging geopolitical risk wit…Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets (2019)Geopolitical Risk and Volatil…Geopolitical risks and the oil-stock nexus over 1899–2016 (2017)Geopolitical risks and the oi…The macroeconomic impact of financial and uncertainty shocks (2016)The macroeconomic impact of f…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2015)Uncertainty and Business Cycl…Political uncertainty and risk premia (2013)Political uncertainty and ris…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Global Financial Instability: Framework, Events, Issues (1999)Global Financial Instability:…Credit Swap Valuation (1999)Credit Swap ValuationGeneralized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Geopolitical tensions and sovereign credit risks (2024)Geopolitical tensions and sov…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The pricing of commodity contracts (1976)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Modeling Term Structures of Defaultable Bonds (1999)Credit Risk Modeling (2004)Stochastic Integration and Differential Equations (2005)An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006)A framework for assessing the systemic risk of major financial institutions (2009)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Market Liquidity and Funding Liquidity (2008)Evaporating Liquidity (2012)International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2016)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Uncertainty and Economic Activity: Evidence from Business Survey Data (2013)FRED-MD: A Monthly Database for Macroeconomic Research (2015)American Economic Review (2019)Uncertainty Shocks as Second-Moment News Shocks (2019)Measuring Geopolitical Risk (2022)Protection For Sale (1992)Distributive Politics and Economic Growth (1994)Uncertainty about Government Policy and Stock Prices (2012)Policy Uncertainty and Corporate Investment (2015)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Carbon Tail Risk (2018)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)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)The Unprecedented Stock Market Reaction to COVID-19 (2020)Estimation and Inference of Impulse Responses by Local Projections (2005)Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine (2022)Russia–Ukraine crisis: The effects on the European stock market (2022)The impact of the Russian-Ukrainian war on global financial markets (2023)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2022Measuring Geopolitical Risk3,788 cited
  • 2013Political uncertainty and risk premia2,375 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 1999Credit Swap Valuation636 cited
  • 2021Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?540 cited
  • 2016The macroeconomic impact of financial and uncertainty shocks539 cited
  • 1999Global Financial Instability: Framework, Events, Issues481 cited
  • 2015Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?434 cited
  • 2017Geopolitical risks and the oil-stock nexus over 1899–2016413 cited
  • 2020Hedging geopolitical risk with precious metals361 cited
  • 2019Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets

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  • 2024Geopolitical tensions and sovereign credit risks35 cited