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Measuring systemic risk via GAS models and extreme value theory : revisiting the 2007 financial crisis
Gavronski, Pedro Gerhardt; Ziegelmann, Flavio A. - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012490211
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Network effects on risk co-movements : a network quantile autoregression-based analysis
Chen, Yu; Gao, Yu; Shu, Lei; Zhu, Xiaonan - In: Finance research letters 56 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014473650
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Measuring systemic risk contribution : the leave-one-out z-score method
Li, Xiping; Tripe, David; Malone, Chris B.; Smith, David - In: Finance research letters 36 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012483393
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Measuring systemic risk : a comparison of alternative market-based approaches
Kleinow, Jacob; Moreira, Fernando; Strobl, Sascha; … - In: Finance research letters 21 (2017), pp. 40-46
Persistent link: https://www.econbiz.de/10011807485
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Credit derivatives and bank systemic risk : risk enhancing or reducing?
Halili, Alba; Fenech, Jean-Pierre; Contessi, Silvio - In: Finance research letters 42 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014581326
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Measuring systemic risk during the COVID-19 period : a TALIS3 approach
Caporin, Massimiliano; Garcia-Jorcano, Laura; … - In: Finance research letters 46 (2022) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10013341412
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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
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Measuring systemic risk contribution : a higher-order moment augmented approach
Wang, Peiwen; Huang, Guanglin - In: Finance research letters 59 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014445409
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The effect of non-traditional banking activities on systemic risk : does bank size matter?
Fina Kamani, Eric - In: Finance research letters 30 (2019), pp. 297-305
Persistent link: https://www.econbiz.de/10012420823
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Systematic risk and banks leverage : the role of asset quality
Beltrame, Federico; Previtali, Daniele; Sclip, Alex - In: Finance research letters 27 (2018), pp. 113-117
Persistent link: https://www.econbiz.de/10012006757