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Citations for "On the network topology of variance decompositions: Measuring the connectedness of financial firms"

by Francis X. Diebold & Kamil Yilmaz

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  1. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013. "Financial network systemic risk contributions," CFS Working Paper Series, Center for Financial Studies (CFS) 2013/20, Center for Financial Studies (CFS).
  2. Harald Schmidbauer & Angi Rösch & Erhan Uluceviz, 2012. "Connectedness Cycles in Equity Markets: A Wavelet Approach," EcoMod2012, EcoMod 4502, EcoMod.
  3. Dungey, Mardi & Luciani, Matteo & Veredas, David, 2012. "Ranking systemically important financial institutions," Working Papers, University of Tasmania, School of Economics and Finance 15473, University of Tasmania, School of Economics and Finance, revised 21 Nov 2012.
  4. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, Springer, vol. 10(2), pages 157-186, June.
  5. PIERRET, Diane, 2013. "The systemic risk of energy markets," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Davide fiaschi & Angela Parenti, 2013. "An Estimate of the Degree of Interconnectedness between European Regions: A Bayesian Model Averaging Approach," Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy 2013/171, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
  7. Alessandro Barattieri & Maya Eden & Dalibor Stevanovic, 2013. "The Connection between Wall Street and Main Street: Measurement and Implications for Monetary Policy," CIRANO Working Papers, CIRANO 2013s-31, CIRANO.
  8. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  9. Aldasoro, Iñaki & Angeloni, Ignazio, 2013. "Input-Output-based Measures of Systemic Importance," MPRA Paper 49557, University Library of Munich, Germany.
  10. Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig, 2014. "Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2014-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  11. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  12. Robin Greenwood & Augustin Landier & David Thesmar, 2012. "Vulnerable Banks," NBER Working Papers 18537, National Bureau of Economic Research, Inc.
  13. Mikhail Stolbov, 2014. "International Credit Cycles: A Regional Perspective," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 21-47.
  14. Harald Schmidbauer & Angi Roesch & Erhan Uluceviz, 2013. "Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1320, Koc University-TUSIAD Economic Research Forum.
  15. Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1391, Department of Economics and Business, Universitat Pompeu Fabra.
  16. Kamil Yilmaz, 2014. "Volatility Connectedness of Bank Stocks Across the Atlantic," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1402, Koc University-TUSIAD Economic Research Forum.
  17. Alter, Adrian & Beyer, Andreas, 2013. "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series, European Central Bank 1558, European Central Bank.
  18. Margaret Meyer & Bruno Strulovici, 2013. "The Supermodular Stochastic Ordering," Economics Series Working Papers, University of Oxford, Department of Economics 655, University of Oxford, Department of Economics.
  19. Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series, Center for Financial Studies (CFS) 2012/13, Center for Financial Studies (CFS).
  20. Lena Tonzer, 2013. "Cross-Border Interbank Networks, Banking Risk and Contagion," FIW Working Paper series, FIW 129, FIW.
  21. Germán López-Espinosa & Antonio Rubia & Laura Valderrama & Antonio Moreno, 2012. "Systemic Risk and Asymmetric Responses in the Financial Industry," IMF Working Papers, International Monetary Fund 12/152, International Monetary Fund.
  22. Gross, Marco & Kok, Christoffer, 2013. "Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR," Working Paper Series, European Central Bank 1570, European Central Bank.
  23. Sandoval, Leonidas Junior, 2013. "To lag or not to lag? How to compare indices of stock markets that operate at different times," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_319, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  24. Harald Schmidbauer & Angi Roesch & Erhan Uluceviz, 2013. "Information Propagation Between Equity Markets: The Case Of Bric, Turkey, The Usa, And Germany," EcoMod2013, EcoMod 5458, EcoMod.
  25. Francis X. Diebold & Kamil Yilmaz, 2013. "Measuring the Dynamics of Global Business Cycle Connectedness," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 13-070, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.