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Estimating a banking-macro model using a multi-regime VAR

Mittnik, Stefan; Semmler, Willi - In: Advances in non-linear economic modeling : theory and …, (pp. 3-40). 2014

Persistent link: https://www.econbiz.de/10010251591

Quantile graphical models : prediction and conditional independence with applications to systemic risk

Belloni, Alexandre; Chen, Mingli; Chernozhukov, Victor - 2017 - This version December 4, 2017

The understanding of co-movements, dependence, and influence between variables of interest is key in many applications. Broadly speaking such understanding can lead to better predictions and decision making in many settings. We propose Quantile Graphical Models (QGMs) to characterize prediction...

Persistent link: https://www.econbiz.de/10011775380

Financial shocks, investor sentiment, and heterogeneous firms' output volatility : evidence from credit asset securitization markets

Li, Jia; Yang, Jianfei - In: Finance research letters 60 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014490265

Nonlinear transmission of international financial stress

Tuzcuoglu, Kerem - In: Economic modelling 139 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10015189519

Spillover and comovement : the contagion mechanism of systemic risks between the US and Chinese stock markets

Liu, Yaqing; Ouyang, Hongbing - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 109-121

Persistent link: https://www.econbiz.de/10010465130

Volatility spillovers and systemic risk across economies : evidence from a global semi-structural model

Gómez-Pineda, Javier G. - 2018 - This version: September 5, 2017

approximated country risk with historical stock volatility, a measure that is uniform and available across countries; in addition …, we measured spillovers as the share of forecast error variance explained by different volatility factors. We found that … systemic risk is the main volatility factor in all systemic economies, and also accounts for the bulk of spillovers into non …

Persistent link: https://www.econbiz.de/10011927550

Markets connectivity and financial contagion

Grilli, Ruggero; Tedeschi, Gabriele; Gallegati, Mauro - In: Journal of economic interaction and coordination : JEIC 10 (2015) 2, pp. 287-304

Persistent link: https://www.econbiz.de/10011378825

Diversification and bank stability

Liang, Shuo; Moreira, Fernando; Lee, Joosung - In: Economics letters 193 (2020), pp. 1-3

Persistent link: https://www.econbiz.de/10012509107

Systemic risk spillovers between crude oil and stock index returns of G7 economies : conditional value-at-risk and marginal expected shortfall approaches

Tiwari, Aviral Kumar; Trabelsi, Nader; Alqahtani, Faisal; … - In: Energy economics 86 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012512191

Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach

Wang, Ze; Gao, Xiangyun; Huang, Shupei; Sun, Qingru; … - In: International review of financial analysis 84 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013472796