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International knowledge spillover through trade : a time-varying spatial panel data approach

Ho, Chun-Yu; Wang, Wei; Yu, Jihai - In: Economics letters 162 (2018), pp. 30-33

Persistent link: https://www.econbiz.de/10011939744

Agglomeration effects and spatial spillovers in efficiency analysis : a distribution-free methodology

Kutlu, Levent; Nair-Reichert, Usha - In: Regional studies : official journal of the Regional … 53 (2019) 11, pp. 1565-1574

Persistent link: https://www.econbiz.de/10012214411

The dynamic general nesting spatial econometric model for spatial panels with common factors : Further raising the bar

Elhorst, J. Paul - In: Review of regional research : a publication of the … 42 (2022) 3, pp. 249-267

Persistent link: https://www.econbiz.de/10014226092

(Simple) ΔCoVaR bounds

Mercadier, Mathieu; Strobel, Frank - In: Applied economics letters 30 (2023) 14, pp. 1874-1881

Persistent link: https://www.econbiz.de/10014305372

Spillover and comovement : the contagion mechanism of systemic risks between the US and Chinese stock markets

Liu, Yaqing; Ouyang, Hongbing - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 109-121

Persistent link: https://www.econbiz.de/10010465130

FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies

Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014473652

Financial econometrics and systemic risk

Eratalay, M. Hakan - In: Handbook of research on emerging theories, models, and …, (pp. 65-91). 2021

In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of...

Persistent link: https://www.econbiz.de/10012604203

Modeling time-varying tail dependence, with application to systemic risk forecasting

Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 5, pp. 1007-1037

Persistent link: https://www.econbiz.de/10013460046

Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages

Mazzarisi, Piero; Zaoli, Silvia; Campajola, Carlo; … - In: Journal of economic dynamics & control 121 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012504161

Measuring systemic risk in the European banking sector : a copula CoVaR approach

Karimalis, Emmanouil N.; Nomikos, Nikos K. - In: The European journal of finance 24 (2018) 10/12, pp. 944-975

Persistent link: https://www.econbiz.de/10012244423