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Systemic risk prediction using machine learning: Does network connectedness help prediction?
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Systemic risk prediction using machine learning: Does network connectedness help prediction? (2024)Systemic risk prediction using machine le…COVID-19 and finance: Agendas for future research (2020)COVID-19 and finance: Agendas…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …Measuring Systemic Risk (2016)Measuring Systemic RiskCoVaR (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…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…Financial Stability Review (2011)Financial Stability ReviewNo Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Financial Contagion (2000)Financial ContagionLeading Indicators of Currency Crises (1998)Leading Indicators of Currenc…A test for independence based on the correlation dimension (1996)A test for independence based…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)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)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)A Model of Balance-of-Payments Crises (1979)Currency crashes in emerging markets: An empirical treatment (1996)Economic Crises: Evidence and Insights from East Asia (1998)What caused the Asian currency and financial crisis? (1999)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Bank Runs, Deposit Insurance, and Liquidity (1983)Coherent Measures of Risk (1999)Market Liquidity and Funding Liquidity (2008)Bank Capital and Lending Relationships (2017)Estimating global bank network connectedness (2017)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Monetary History of the United States 1867-1960 (1964)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Systemic Risk and Stability in Financial Networks (2015)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2002Dynamic Conditional Correlation7,126 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
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2000Financial Contagion3,393 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2016CoVaR2,395 cited
  • 1998Leading Indicators of Currency Crises1,857 cited
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  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2011Financial Stability Review1,137 cited
  • 1989

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Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
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