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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
Yun, Jaeho; Moon, Hyejung - In: Pacific-Basin finance journal 27 (2014), pp. 94-114
Persistent link: https://www.econbiz.de/10010499711
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Network quantile autoregression
Zhu, Xuening; Wang, Weining; Wang, Hansheng; Härdle, … - In: Journal of econometrics 212 (2019) 1, pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
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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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Market potential, spatial dependences and spillovers in European regions
Bruna, Fernando; López Rodríguez, Jesús; Faíña, Andrés - In: Regional studies 50 (2016) 9, pp. 1551-1563
Persistent link: https://www.econbiz.de/10011709725
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The spillover effect on the CEE equity markets and the financial contagion In the context of financial integration
Boghicevici, Claudia; Stamule, Simona; Lolea, Iulian Cornel - In: Romanian journal of economic forecasting 24 (2021) 4, pp. 155-170
Persistent link: https://www.econbiz.de/10013407269
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Stress spillovers among financial markets : evidence from Spain
Andrada Félix, Julián; Fernandez-Perez, Adrian; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21
Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our...
Persistent link: https://www.econbiz.de/10012795265
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Long monthly European temperature series and the North Atlantic Oscillation
He, Changli; Kang, Jian; Silvennoinen, Annastiina; … - In: Energy economics 126 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014481089
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Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy
Daugherty, Mary Schmid; Jithendranathan, Thadavillil - In: Journal of multinational financial management 32/33 (2015), pp. 95-115
Persistent link: https://www.econbiz.de/10011540118