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The determinants of systemic risk contagion
16 references·0 citing·27 second hop
The determinants of systemic risk contagion (2023)The determinants of systemic risk contagi…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Credit Booms Gone Bust: Monet…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Bank lending during the financial crisis of 2008 (2009)Bank lending during the finan…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…A simple panel unit root test in the presence of cross‐section dependence (2007)A simple panel unit root test…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…A finite sample correction for the variance of linear efficient two-step GMM estimators (2004)A finite sample correction fo…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Financial Contagion (2000)Financial ContagionInitial conditions and moment restrictions in dynamic panel data models (1998)Initial conditions and moment…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Another look at the instrumental variable estimation of error-components models (1995)Another look at the instrumen…Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Some Tests of Specification f…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)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Macroeconomics and Reality (1980)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)Biases in Dynamic Models with Fixed Effects (1981)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Testing for a Unit Root in Time Series Regression (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Testing slope homogeneity in large panels (2007)Testing for Granger non-causality in heterogeneous panels (2012)The effect of renewable energy consumption on economic growth: Evidence from top 38 countries (2015)Initial conditions and moment restrictions in dynamic panel data models (1995)How to do Xtabond2: An Introduction to Difference and System GMM in Stata (2007)Financing Innovation and Growth: Cash Flow, External Equity, and the 1990s R&D Boom (2009)How to do Xtabond2: An Introduction to Difference and System GMM in Stata (2009)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,089 cited
  • 1998Initial conditions and moment restrictions in dynamic panel data models22,547 cited
  • 1995Another look at the instrumental variable estimation of error-components models19,861 cited
  • 2007A simple panel unit root test in the presence of cross‐section dependence12,758 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2004A finite sample correction for the variance of linear efficient two-step GMM estimators5,973 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
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2000Financial Contagion3,393 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited

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  • 2009Bank lending during the financial crisis of 20082,777 cited
  • 2012Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–20082,655 cited
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