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Default count-based network models for credit contagion
Agosto, Arianna; Ahelegbey, Daniel Felix - 2020
Persistent link: https://www.econbiz.de/10012322249
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A test of sufficient condition for infinite-step Granger noncausality in infinite order vector autoregressive process
Triacca, Umberto; Damette, Olivier; Giovannelli, Alessandro - 2020
Persistent link: https://www.econbiz.de/10012489251
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SYSMO I : a systemic stress model for the Colombian financial system
Gamba, Santiago; Jaulín, Oscar; Lizarazo, Angélica; … - 2017
Persistent link: https://www.econbiz.de/10011869243
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Intraday dynamics of euro area sovereign credit risk contagion
Komárek, Luboš; Ters, Kristyna; Urban, Jörg - 2016
Persistent link: https://www.econbiz.de/10011535645
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Systemic risk-shifting in financial networks
Elliott, Matthew; Georg, Co-Pierre; Hazell, Jonathon - 2020
Persistent link: https://www.econbiz.de/10013205466
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Contagion in the CDS market
Paddriky, Mark; Rajanz, Sriram; Young, H. Peyton - 2017
Persistent link: https://www.econbiz.de/10011630278
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Short-term liquidity contagion in the interbank market
León, Carlos; Martínez, Constanza; Cepeda L., Freddy - 2015
Persistent link: https://www.econbiz.de/10011579137
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Contagion in derivatives markets
Paddrik, Mark; Rajan, Sriram; Young, H. Peyton - 2019
Persistent link: https://www.econbiz.de/10012196195
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Contagion in derivatives markets
Paddrik, Mark; Rajan, Sriram; Young, H. Peyton - 2017
Persistent link: https://www.econbiz.de/10011752480
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Uncertainty, non-linear contagion and the credit quality channel: an application to the Spanish interbank market
Carro, Adrián; Stupariu, Patricia - 2022
Persistent link: https://www.econbiz.de/10013390995