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Measurement and contagion modelling of systemic risk in China's financial sectors: Evidence for functional data analysis and complex network
16 references·0 citing·34 second hop
Measurement and contagion modelling of systemic risk in China's financial sectors: Evidence for functional data analysis and complex network (2023)Measurement and contagion modelling of sy…The impact of COVID-19 on stock markets (2020)The impact of COVID-19 on sto…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …Estimating global bank network connectedness (2017)Estimating global bank networ…Measuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (2016)CoVaRWhere the Risks Lie: A Survey on Systemic Risk (2015)Where the Risks Lie: A Survey…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Financial Network Systemic Risk Contributions (2014)Financial Network Systemic Ri…Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Liaisons dangereuses: Increas…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Complexity, concentration and contagion (2011)Complexity, concentration and…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Asset commonality, debt maturity and systemic risk (2011)Asset commonality, debt matur…Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Granger Causality and Transfe…Network models and financial stability (2007)Network models and financial …On the coherence of expected shortfall (2002)On the coherence of expected …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)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Practical Measures of Integrated Information for Time-Series Data (2011)Unraveling the cause-effect relation between time series (2014)Cross-lagged panel networks (2025)Credit Rationing in Markets with Imperfect Information (1981)Financial Contagion (2000)Market Liquidity and Funding Liquidity (2008)How likely is contagion in financial networks? (2014)Stability analysis of financial contagion due to overlapping portfolios (2014)Contagion in Financial Networks (2016)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Credit Cycles (1997)Conditional Tail-Risk in Cryptocurrency Markets (2018)Bank Runs, Deposit Insurance, and Liquidity (1983)Does deposit insurance increase banking system stability? An empirical investigation (2002)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Bank Capital and Lending Relationships (2017)
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References

  • 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
  • 2016Measuring Systemic Risk1,846 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2009Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables1,149 cited
  • 2007Network models and financial stability850 cited
  • 2011Complexity, concentration and contagion825 cited
  • 2012Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk734 cited
  • 2015Where the Risks Lie: A Survey on Systemic Risk688 cited
  • 2017Estimating global bank network connectedness637 cited
  • 2014Financial Network Systemic Risk Contributions559 cited
  • 2011Asset commonality, debt maturity and systemic risk435 cited
  • 2020

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The impact of COVID-19 on stock markets
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