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Chrismin Tang

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Renée Fry-McKibbin & Vance Martin & Chrismin Tang, 2013. "Financial Contagion and Asset Pricing," CAMA Working Papers 2013-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
    2. EnDer Su, 2021. "Testing stock market contagion properties between large and small stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 147-202, July.
    3. Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    4. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe," Review of Derivatives Research, Springer, vol. 22(2), pages 203-259, July.
    5. Abubakar Jamaladeen & David E. Omoregie & Samuel F. Onipede & Nafiu A. Bashir, 2022. "A regime-switching skew-normal model of contagion in some selected stock markets," SN Business & Economics, Springer, vol. 2(12), pages 1-20, December.
    6. Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
    7. Hilberg, Björn & Grill, Michael & Metiu, Norbert, 2016. "Credit constraints and the international propagation of US financial shocks," Working Paper Series 1954, European Central Bank.
    8. Aristeidis Samitas & Elias Kampouris & Zaghum Umar, 2022. "Financial contagion in real economy: The key role of policy uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1633-1682, April.
    9. Renee Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    10. Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L., 2018. "Global and regional financial integration in East Asia and the ASEAN," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 202-221.
    11. Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2018. "Measuring financial interdependence in asset returns with an application to euro zone equities," CAMA Working Papers 2018-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    12. Diego Ferreira & Andreza A. Palma, 2022. "On the subprime crisis and the Latin American financial markets: A regime switching skew‐normal approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3300-3314, July.
    13. Ying-Ying Shen & Zhi-Qiang Jiang & Jun-Chao Ma & Gang-Jin Wang & Wei-Xing Zhou, 2022. "Sector connectedness in the Chinese stock markets," Empirical Economics, Springer, vol. 62(2), pages 825-852, February.
    14. Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2014. "Extremal Dependence and Contagion," CAMA Working Papers 2014-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    15. Wu, Lei & Zeng, Hongchao, 2019. "The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market," Economic Modelling, Elsevier, vol. 83(C), pages 96-110.
    16. Riccardo Blasis & Luca Galati & Alexander Webb & Robert I. Webb, 2023. "Intelligent design: stablecoins (in)stability and collateral during market turbulence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    17. Grilli, Ruggero & Giri, Federico & Gallegati, Mauro, 2020. "Collateral rehypothecation, safe asset scarcity, and unconventional monetary policy," Economic Modelling, Elsevier, vol. 91(C), pages 633-645.
    18. Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L., 2021. "Measuring financial interdependence in asset markets with an application to eurozone equities," Journal of Banking & Finance, Elsevier, vol. 122(C).
    19. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    20. Aristeidis, Samitas & Elias, Kampouris, 2018. "Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 263-286.
    21. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effectiveness of global sectors in emerging and developed stock markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 92-117.
    22. Renée Fry-McKibbin & Vance Martin & Chrismin Tang, 2013. "Financial Contagion and Asset Pricing," CAMA Working Papers 2013-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    23. Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2015. "Financial frictions and global spillovers," Discussion Papers 04/2015, Deutsche Bundesbank.
    24. Ardekani, Aref Mahdavi & Distinguin, Isabelle & Tarazi, Amine, 2020. "Do banks change their liquidity ratios based on network characteristics?," European Journal of Operational Research, Elsevier, vol. 285(2), pages 789-803.
    25. Mansur, Alfan, 2016. "The Impact of a Loss of Confidence in Emerging Market Economies to the World Economy: A Simulation with the G-Cubed Model," MPRA Paper 93870, University Library of Munich, Germany, revised 10 Nov 2017.

  2. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Edgardo Cayon & Susan Thorp, 2014. "Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(S3), pages 122-139.
    2. Sutsarun Lumiajiak & Sirimon Treepongkaruna & Marvin Wee & Robert Brooks, 2014. "Thai Financial Markets and Political Change," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 5-26, July.
    3. Bissoondoyal-Bheenick, Emawtee & Brooks, Robert, 2015. "The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 37-55.
    4. Benjamin M. Tabak & Sergio R. S. Souza & Solange M. Guerra, 2013. "Assessing Systemic Risk in the Brazilian Interbank Market," Working Papers Series 318, Central Bank of Brazil, Research Department.
    5. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2014. "Extremal Dependence and Contagion," CAMA Working Papers 2014-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Souza, Sergio Rubens Stancato de & Silva, Thiago Christiano & Tabak, Benjamin Miranda & Guerra, Solange Maria, 2016. "Evaluating systemic risk using bank default probabilities in financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 66(C), pages 54-75.
    8. Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
    9. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
    10. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    11. Parlapiano, Fabio & Alexeev, Vitali, 2012. "Exchange Rate Risk Exposure and the Value of European Firms," Working Papers 2012-09, University of Tasmania, Tasmanian School of Business and Economics, revised 20 Nov 2012.

  3. MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Flavin, Thomas J. & Sheenan, Lisa, 2015. "The role of U.S. subprime mortgage-backed assets in propagating the crisis: Contagion or interdependence?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 167-186.
    2. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Nonparametric Multiple Change Point Analysis of the Global Financial Crisis," Tinbergen Institute Discussion Papers 13-072/III, Tinbergen Institute.
    3. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    4. Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2012. "The effects of the subprime crisis on the Latin American financial markets: an empirical assessment," Post-Print hal-01411539, HAL.
    5. David Allen & Robert Faff, 2012. "The Global Financial Crisis: some attributes and responses," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 1-7, March.
    6. Lukasz Prorokowski, 2011. "Trading strategies of individual investors in times of financial crisis," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 3(1), pages 34-50, April.
    7. Fry-McKibbin, Renée A. & Wanaguru, Sumila, 2013. "Currency intervention: A case study of an emerging market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 25-47.
    8. Insel, Aysu & Korkmaz, Abdurrahman, 2010. "The contagion effect: evidences from former Soviet Economies in Eastern Europe," MPRA Paper 24999, University Library of Munich, Germany.
    9. Bissoondoyal-Bheenick, Emawtee & Brooks, Robert, 2015. "The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 37-55.
    10. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    11. Savas Papadopoulos & Pantelis Stavroulias & Thomas Sager, 2016. "Systemic early warning systems for EU15 based on the 2008 crisis," Working Papers 202, Bank of Greece.
    12. Patrick Carvalho & Renee A. Fry-McKibbin, 2014. "Foreign Reserve Accumulation and the Mercantilist Motive Hypothesis," CAMA Working Papers 2014-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    13. Li, Fuchun & Zhu, Hui, 2014. "Testing for financial contagion based on a nonparametric measure of the cross-market correlation," Review of Financial Economics, Elsevier, vol. 23(3), pages 141-147.
    14. Schudel, Willem, 2015. "Shifting horizons: assessing macro trends before, during, and following systemic banking crises," Working Paper Series 1766, European Central Bank.
    15. Savas Papadopoulos & Pantelis Stavroulias & Thomas Sager & Etti Baranoff, 2017. "A ternary-state early warning system for the European Union," Working Papers 222, Bank of Greece.
    16. Ahelegbey, Daniel Felix & Giudici, Paolo, 2019. "Tree Networks to Assess Financial Contagion," MPRA Paper 92632, University Library of Munich, Germany.
    17. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008. "Contagion as Domino Effect in Global Stock Markets," ERIM Report Series Research in Management ERS-2008-071-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    18. Andrew S. Duncan & Alain Kabundi, 2014. "Global Financial Crises and Time-Varying Volatility Comovement in World Equity Markets," South African Journal of Economics, Economic Society of South Africa, vol. 82(4), pages 531-550, December.
    19. Ahelegbey, Daniel Felix, 2015. "The Econometrics of Bayesian Graphical Models: A Review With Financial Application," MPRA Paper 92634, University Library of Munich, Germany, revised 25 Apr 2016.
    20. Cody Yu-Ling Hsiao & James Morley, 2015. "Debt and Financial Market Contagion," Discussion Papers 2015-02, School of Economics, The University of New South Wales.
    21. Stefano Fenoaltea, 2010. "The reconstruction of historical national accounts: the case of Italy," PSL Quarterly Review, Economia civile, vol. 63(252), pages 77-96.
    22. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    23. Lukasz Prorokowski, 2013. "Lessons from financial crisis contagion simulation in Europe," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 30(2), pages 159-188, May.
    24. Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2019. "Crisis transmission: visualizing vulnerability," Working Papers 2019-07, University of Tasmania, Tasmanian School of Business and Economics.
    25. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
    26. Rockoff, Hugh & White, Eugene N., 2012. "Monetary Regimes and Policy on a Global Scale: The Oeuvre of Michael D. Bordo," MPRA Paper 49672, University Library of Munich, Germany, revised May 2013.
    27. Brenda González-Hermosillo & Heiko Hesse, 2011. "Global Market Conditions and Systemic Risk," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(2), pages 227-252, August.
    28. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
    29. Murat Taşdemir & Abdullah Yalama, 2014. "Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(2), pages 190-202, March.
    30. Duncan, Andrew S. & Kabundi, Alain, 2013. "Domestic and foreign sources of volatility spillover to South African asset classes," Economic Modelling, Elsevier, vol. 31(C), pages 566-573.
    31. Fiona Tregenna & Kabeya C. Mulamba, 2019. "Spatial dependence of per capita property tax income in South Africa," Working Papers 202, Economic Research Southern Africa.
    32. Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
    33. Mink, Mark, 2015. "Measuring stock market contagion: Local or common currency returns?," Emerging Markets Review, Elsevier, vol. 22(C), pages 18-24.
    34. Noureddine BENLAGHA & Slim MSEDDI, 2016. "The Macroeconomic And Financial Impacts Of European Crisis On Saudi Arabia," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 16(1).
    35. Cayon, Edgardo & Thorp, Susan & Wu, Eliza, 2018. "Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis," Emerging Markets Review, Elsevier, vol. 34(C), pages 162-174.
    36. João Leitão & Joaquim Ferreira, 2021. "Dynamic Effects of Material Production and Environmental Sustainability on Economic Vitality Indicators: A Panel VAR Approach," JRFM, MDPI, vol. 14(2), pages 1-20, February.
    37. Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias, 2012. "Portfolioallokation: Einbezug verschiedener Assetklassen," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-01, University of Bayreuth, Chair of Finance and Banking.
    38. Parlapiano, Fabio & Alexeev, Vitali, 2012. "Exchange Rate Risk Exposure and the Value of European Firms," Working Papers 2012-09, University of Tasmania, Tasmanian School of Business and Economics, revised 20 Nov 2012.
    39. Savas Papadopoulos & Pantelis Stavroulias & Thomas Sager, 2019. "Systemic early warning systems for EU14 based on the 2008 crisis: proposed estimation and model assessment for classification forecasting," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(3), pages 226-244, September.
    40. Zorgati, Imen & Lakhal, Faten & Zaabi, Elmoez, 2019. "Financial contagion in the subprime crisis context: A copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 269-282.
    41. Fry, Renée & Martin, Vance L. & Tang, Chrismin, 2010. "A New Class of Tests of Contagion With Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 423-437.
    42. Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
    43. Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
    44. Paulo Horta & Sérgio Lagoa & Luís Martins, 2016. "Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 625-637, April.
    45. Roszkowska Paulina & Prorokowski Łukasz, 2013. "Model of Financial Crisis Contagion: A Survey-based Simulation by Means of the Modified Kaplan-Meier Survival Plots," Folia Oeconomica Stetinensia, Sciendo, vol. 13(1), pages 22-55, December.
    46. Fuchun Li, 2009. "Testing for Financial Contagion with Applications to the Canadian Banking System," Staff Working Papers 09-14, Bank of Canada.

  4. Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Al-Mohana, Safa & Hatemi-J, Abdulnasser, 2016. "The Impact of Recent Crisis on the Real Estate Market on the UAE: Evidence from Asymmetric Methods," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(4), pages 389-428.
    2. Insel, Aysu & Korkmaz, Abdurrahman, 2010. "The contagion effect: evidences from former Soviet Economies in Eastern Europe," MPRA Paper 24999, University Library of Munich, Germany.
    3. Hatemi-J, Abdulnasser & Roca, Eduardo, 2011. "How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test," Economic Modelling, Elsevier, vol. 28(6), pages 2560-2565.
    4. Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
    5. Murat Akkaya, 2021. "An Analysis of the Stock Market Volatility Spread in Emerging Countries," Istanbul Business Research, Istanbul University Business School, vol. 50(2), pages 215-233, November.
    6. Benjamin M. Tabak & Solange M. Guerra & Rodrigo C. Miranda & Sergio Rubens S. de Souza, 2012. "Teste de Estresse para Risco de Liquidez: o caso do sistema bancário brasileiro," Working Papers Series 302, Central Bank of Brazil, Research Department.
    7. Dimitris Kenourgios & Dimitrios Dimitriou & Apostolos Christopoulos, 2013. "Asset Markets Contagion During the Global Financial Crisis," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 49-76, March - J.
    8. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance finance:201003, Griffith University, Department of Accounting, Finance and Economics.
    9. Roselyne Joyeux & George Milunovich, 2015. "Speculative bubbles, financial crises and convergence in global real estate investment trusts," Applied Economics, Taylor & Francis Journals, vol. 47(27), pages 2878-2898, June.
    10. Fry, Renée & Martin, Vance L. & Tang, Chrismin, 2010. "A New Class of Tests of Contagion With Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 423-437.

Articles

  1. Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2021. "Forecasting the volatility of asset returns: The informational gains from option prices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 862-880.

    Cited by:

    1. Wu, Xinyu & Zhao, An & Liu, Li, 2023. "Forecasting VIX using two-component realized EGARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).

  2. Dungey Mardi & Martin Vance L. & Tang Chrismin & Tremayne Andrew, 2020. "A threshold mixed count time series model: estimation and application," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-18, April.

    Cited by:

    1. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    2. Malte Jahn, 2023. "Artificial neural networks and time series of counts: A class of nonlinear INGARCH models," Papers 2304.01025, arXiv.org.

  3. Th. Asch & C. Tang & D. Alkema & J. Zhu & W. Zhou, 2014. "An integrated model to assess critical rainfall thresholds for run-out distances of debris flows," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 70(1), pages 299-311, January.

    Cited by:

    1. Raquel Melo & José Luís Zêzere, 2017. "Modeling debris flow initiation and run-out in recently burned areas using data-driven methods," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 88(3), pages 1373-1407, September.

  4. Fry-McKibbin, Renée & Martin, Vance L. & Tang, Chrismin, 2014. "Financial contagion and asset pricing," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 296-308.
    See citations under working paper version above.
  5. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.

    Cited by:

    1. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2018. "Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy," CESifo Working Paper Series 7279, CESifo.
    2. Seung-Gwan Baek & Chi-Young Song, 2016. "On the Determinants of Surges and Stops in Foreign Loans: An Empirical Investigation," Open Economies Review, Springer, vol. 27(3), pages 405-445, July.
    3. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2019. "Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios," CESifo Working Paper Series 8029, CESifo.
    4. Antonios K. Alexandridis & Mohammad S. Hasan, 2020. "Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 518-546, October.
    5. Oussama Tilfani & Paulo Ferreira & My Youssef El Boukfaoui, 2021. "Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient," Empirical Economics, Springer, vol. 60(3), pages 1127-1156, March.
    6. Reinhold Heinlein & Scott M. R. Mahadeo, 2021. "Oil and US stock market shocks: implications for Canadian equities," Working Papers in Economics & Finance 2021-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    7. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2022. "Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    8. Cody Yu-Ling Hsiao & James Morley, 2015. "Debt and Financial Market Contagion," Discussion Papers 2015-02, School of Economics, The University of New South Wales.
    9. Reinhold Heinlein & Gabriella D. Legrenzi & Scott M. R. Mahadeo, 2020. "Energy contagion in the COVID-19 crisis," Working Paper series 20-19, Rimini Centre for Economic Analysis.
    10. Ghulam Mujtaba Chaudhary & Zaheer Abbas & Jamshed Khurshid Meer, 2018. "Comparative Analysis Of Financial Systems In Context Of Global Financial Crisis," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 14(1), pages 95-109.
    11. Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2015. "Extremal dependence tests for contagion," CAMA Working Papers 2015-40, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    12. Yu-Ling Hsiao, Cody & Wei, Xinyang & Sheng, Ni & Shao, Chengwu, 2021. "A joint test of policy contagion with application to the solar sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 141(C).
    13. Heinlein, Reinhold & Legrenzi, Gabriella D. & Mahadeo, Scott M.R., 2021. "Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 223-229.
    14. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
    15. Singh, Vikkram & Roca, Eduardo & Li, Bin, 2021. "Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic," Journal of Policy Modeling, Elsevier, vol. 43(2), pages 253-277.
    16. Hsiao, Cody Yu-Ling & Yang, Rui & Zheng, Xin & Chiu, Yi-Bin, 2023. "Evaluations of policy contagion for new energy vehicle industry in China," Energy Policy, Elsevier, vol. 173(C).
    17. Sewraj, Deeya & Gebka, Bartosz & Anderson, Robert D.J., 2018. "Identifying contagion: A unifying approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 224-240.
    18. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula," MPRA Paper 57706, University Library of Munich, Germany.
    19. Wang, Gang-Jin & Xie, Chi & Lin, Min & Stanley, H. Eugene, 2017. "Stock market contagion during the global financial crisis: A multiscale approach," Finance Research Letters, Elsevier, vol. 22(C), pages 163-168.
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    21. Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Shin, Yongcheol, 2023. "What is mine is yours: Sovereign risk transmission during the European debt crisis," Journal of Financial Stability, Elsevier, vol. 65(C).
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    25. Francisco Jareño & Ana Escribano & Monika W. Koczar, 2020. "Non-Linear Interdependencies between International Stock Markets: The Polish and Spanish Case," Mathematics, MDPI, vol. 9(1), pages 1-21, December.
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    2. Al-Mohana, Safa & Hatemi-J, Abdulnasser, 2016. "The Impact of Recent Crisis on the Real Estate Market on the UAE: Evidence from Asymmetric Methods," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(4), pages 389-428.
    3. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2018. "Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy," CESifo Working Paper Series 7279, CESifo.
    4. Stanimira Milcheva & Bing Zhu, 2018. "Asset pricing, spatial linkages and contagion in real estate stocks," Journal of Property Research, Taylor & Francis Journals, vol. 35(4), pages 271-295, October.
    5. Julyerme M. Tonin & Carlos M. R. Vieira & Rui M. de Sousa Fragoso & João G. Martines Filho, 2020. "Conditional correlation and volatility between spot and futures markets for soybean and corn," Agribusiness, John Wiley & Sons, Ltd., vol. 36(4), pages 707-724, October.
    6. Renée Fry-McKibbin & Matthew Greenwood-Nimmo & Cody Yu-Ling Hsiao & Lin Qi, 2021. "Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic," CAMA Working Papers 2021-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. Fry-McKibbin, Renée A. & Wanaguru, Sumila, 2013. "Currency intervention: A case study of an emerging market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 25-47.
    8. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2019. "Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios," CESifo Working Paper Series 8029, CESifo.
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