We propose a new systemic risk index based on the interdependence of extreme downside movements of stock returns using the cross-quantilogram and network analysis approach. While quantile dependence allows for sensitivity in times of market downturn, the topological network properties allow for...

We survey the empirical evidence on corporate survival and its determinants in European emerging markets. We demonstrate that (i) institutional quality is a significant preventive factor for firm survival in all sectors of the economy, which holds for small, medium and large firms alike. On the...

This paper aims to elucidate the connectedness between major forex currencies and cryptocurrencies using the quantile cross-spectral approach recently proposed by Baruník and Kley (2015). The sample covers six forex currencies and six cryptocurrencies over the period of 1 September 2015 to 29...

The worldwide economy has experienced several changes in energy and nonenergy prices. This has motivated academics, investors, and policymakers to analyze the relationships between energy and nonenergy commodity markets. In this study, a novel approach of quantile coherency is used to examine...

We survey the empirical evidence on corporate survival and its determinants in European emerging markets. We demonstrate that (i) institutional quality is a significant preventive factor for firm survival in all sectors of the economy, which holds for small, medium and large firms alike. On the...