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Measuring systemic risk of the US banking sector in time-frequency domain

Teply, Petr; Kvapilikova, Ivana - In: The North American journal of economics and finance : a … 42 (2017), pp. 461-472

Persistent link: https://www.econbiz.de/10011938177

Stock-bond dependence and flight to/from quality

Ponrajah, Jeremey; Ning, Cathy Q. - In: International review of financial analysis 86 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014248292

A new tail-based correlation measure and its application in global equity markets

Liu, Jinjing - In: Journal of financial econometrics 21 (2023) 3, pp. 959-987

Persistent link: https://www.econbiz.de/10014314844

Multivariate models of commodity futures markets : a dynamic copula approach

Chen, Sihong; Li, Qi; Wang, Qiaoyu; Zhang, Yu Yvette - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3037-3057

Persistent link: https://www.econbiz.de/10014329023

The missing "cycle" part and other thoughts on the global financial cycle

Bondarenko, Olga - In: Visnyk Nacionalʹnoho Banku Ukrai͏̈ny (2020) 250, pp. 15-32

Persistent link: https://www.econbiz.de/10012587229

The risk of clustering of deprivations in Spain : a tale of two crises

García-Gómez, César; Pérez, Ana - In: Applied economic analysis : AEA 33 (2025) 97, pp. 53-75

Persistent link: https://www.econbiz.de/10015411670

Dynamic linkages between stock markets : the effects of crises and globalization

Doman, Małgorzata; Doman, Ryszard - In: Portuguese economic journal 12 (2013) 2, pp. 87-112

Persistent link: https://www.econbiz.de/10009780259

Contagion effects between real estate and macroeconomic factors across Great China Area : ARMAX - EGARCH - Copula model

Peng, Miin-yu; Chen, Shih-chia; Lee, Wo-chiang - In: The empirical economics letters : a monthly … 12 (2013) 2, pp. 153-162

Persistent link: https://www.econbiz.de/10010257978

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638

International dependence and contagion across asset classes : the case of Poland

Adam, Michał; Bańbuła, Piotr; Markun, Michał - In: Finance a úvěr 65 (2015) 3, pp. 254-270

Persistent link: https://www.econbiz.de/10010532095