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"Speculative Influence Network" during financial bubbles : application to Chinese stock markets

Lin, Li; Sornette, Didier - In: Journal of economic interaction and coordination : JEIC 13 (2018) 2, pp. 385-431

Persistent link: https://www.econbiz.de/10011962258

News media sentiment and investor behavior

Kräussl, Roman; Mirgorodskaya, Elizaveta - 2014

reflects very well the financial market crises and pricing bubbles over the past 20 years. …

Persistent link: https://www.econbiz.de/10010427987

Tackling the volatility paradox: spillover persistence and systemic risk

Kubitza, Christian - 2021 - This version: April 13, 2021

builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …

Persistent link: https://www.econbiz.de/10012499703

A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China

Asako, Kazumi; Liu, Zhentao - In: Journal of banking & finance 37 (2013) 7, pp. 2639-2651

Persistent link: https://www.econbiz.de/10009760568

Identifying bubbles and the contagion effect between oil and stock markets : new evidence from China

Zhao, Zhao; Wen, Huwei; Li, Ke - In: Economic modelling 94 (2021), pp. 780-788

Persistent link: https://www.econbiz.de/10012695347

What is systemic risk?

Allen, Franklin; Carletti, Elena - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 121-127

Persistent link: https://www.econbiz.de/10010222565

The interplay between regulations and financial stability

Allen, Franklin; Gu, Xian - In: Journal of financial services research : JFSR 53 (2018) 2/3, pp. 233-248

Persistent link: https://www.econbiz.de/10012023955

Asset Price Bubbles, Market Liquidity and Systemic Risk

Jarrow, Robert A. - 2019

This paper studies an equilibrium model with heterogeneous agents, asset price bubbles, and trading constraints. Market … liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when …

Persistent link: https://www.econbiz.de/10012899970

Research on systemic risk contagion of Chinese financial institutions based on GARCH-VMD-Copula-CoVaR model

Zhang, Tingting; Tang, Zhenpeng; Du, Xiaoxu; Zhan, Linjie - In: Economic research 35 (2022) 1,4, pp. 4404-4424

Persistent link: https://www.econbiz.de/10014390453

Large bets and stock market crashes

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494212

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