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Market Dynamics Immediately Before and After Financial Shocks : Quantifying the Omori, Productivity and Bath Laws

Petersen, Alexander Michael - 2010

We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered...

Persistent link: https://www.econbiz.de/10013136729

Extreme risk spillover effects in world gold markets and the global financial crisis

Wang, Gang-Jin; Chi, Xie; Jiang, Zhi-Qiang; Stanley, H. … - In: International review of economics & finance : IREF 46 (2016), pp. 55-77

Persistent link: https://www.econbiz.de/10011626706

Who are the net senders and recipients of volatility spillovers in China's financial markets?

Wang, Gang-Jin; Chi, Xie; Jiang, Zhi-Qiang; Stanley, H. … - In: Finance research letters 18 (2016), pp. 255-262

Persistent link: https://www.econbiz.de/10011657061

Interconnectedness and systemic risk of China's financial institutions

Wang, Gang-Jin; Jiang, Zhi-Qiang; Lin, Min; Chi, Xie; … - In: Emerging markets review 35 (2018), pp. 1-18

Persistent link: https://www.econbiz.de/10012114699

Stock market contagion during the global financial crisis : a multiscale approach

Wang, Gang-Jin; Chi, Xie; Lin, Min; Stanley, H. Eugene - In: Finance research letters 22 (2017), pp. 163-168

Persistent link: https://www.econbiz.de/10011808129

Quantifying and understanding the economics of large financial movements

Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki - In: Journal of economic dynamics & control 32 (2008) 1, pp. 303-319

Persistent link: https://www.econbiz.de/10003622800

Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets : a network-based approach

Chen, Yanhua; Li, Youwei; Pantelous, Athanasios A.; … - In: International review of financial analysis 79 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013350041

Measuring the systemic risk in indirect financial networks

Cao, Jie; Wen, Fenghua; Stanley, H. Eugene - In: The European journal of finance 28 (2022) 11, pp. 1053-1098

Persistent link: https://www.econbiz.de/10013373362