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A new multilayer network for measuring interconnectedness among the energy firms
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A new multilayer network for measuring interconnectedness among the energy firms (2023)A new multilayer network for measuring in…Estimating global bank network connectedness (2017)Estimating global bank networ…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…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…New evidence on oil price and firm returns (2011)New evidence on oil price and…Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Dynamic correlation between s…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Crude oil and stock markets: Stability, instability, and bubbles (2009)Crude oil and stock markets: …Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)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)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)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
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 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
  • 2016CoVaR2,395 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2011Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries764 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
  • 2009Crude oil and stock markets: Stability, instability, and bubbles658 cited
  • 2017Estimating global bank network connectedness

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637 cited
  • 2011New evidence on oil price and firm returns534 cited
  • 2016TENET: Tail-Event driven NETwork risk472 cited
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