IDEAS home Printed from https://ideas.repec.org/e/c/pma142.html
   My authors  Follow this author

Simone Manganelli

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.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Manganelli, Simone & Popov, Alexander, 2013. "Financial dependence, global growth opportunities, and growth revisited," Economics Letters, Elsevier, vol. 120(1), pages 123-125.

    Mentioned in:

    1. Financial dependence, global growth opportunities, and growth revisited (EL 2013) in ReplicationWiki ()

Working papers

  1. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "The risk management approach to macro-prudential policy," Working Paper Series 2565, European Central Bank.

    Cited by:

    1. Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2023. "Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach," Working Paper Series 2833, European Central Bank.
    2. Kirstin Hubrich & Daniel F. Waggoner, 2022. "The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime-Switching Framework," FRB Atlanta Working Paper 2022-5, Federal Reserve Bank of Atlanta.
    3. Bochmann, Paul & Dieckelmann, Daniel & Fahr, Stephan & Ruzicka, Josef, 2023. "Financial stability considerations in the conduct of monetary policy," Working Paper Series 2870, European Central Bank.
    4. Tihana Škrinjarić & Maja Sabol, 2023. "Easier said than done: Predicting downside risks to house prices in Croatia," Working Papers 73, The Croatian National Bank, Croatia.
    5. Tihana Škrinjarić, 2023. "Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia," Working Papers 72, The Croatian National Bank, Croatia.
    6. Shuffield Seyram Asafo & Michal Moszynski, 2022. "The combined effects of monetary and macroprudential policies," SN Business & Economics, Springer, vol. 2(9), pages 1-20, September.
    7. Kremer, Manfred & Chavleishvili, Sulkhan, 2021. "Measuring Systemic Financial Stress and its Impact on the Macroeconomy," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242346, Verein für Socialpolitik / German Economic Association.
    8. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A novel risk management perspective for macroprudential policy," Research Bulletin, European Central Bank, vol. 87.
    9. Sulkhan Chavleishvili & Simone Manganelli, 2024. "Forecasting and stress testing with quantile vector autoregression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
    10. Chavleishvili, Sulkhan & Kremer, Manfred, 2023. "Measuring systemic financial stress and its risks for growth," Working Paper Series 2842, European Central Bank.

  2. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.

    Cited by:

    1. Tihana Škrinjarić, 2023. "Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia," Working Papers 72, The Croatian National Bank, Croatia.
    2. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A novel risk management perspective for macroprudential policy," Research Bulletin, European Central Bank, vol. 87.

  3. Manganelli, Simone, 2021. "Statistical decision functions with judgment," Working Paper Series 2512, European Central Bank.

    Cited by:

    1. Manganelli, Simone, 2023. "Double conditioning: the hidden connection between Bayesian and classical statistics," Working Paper Series 2786, European Central Bank.

  4. Gelain, Paolo & Manganelli, Simone, 2020. "Monetary policy with judgment," Working Paper Series 2404, European Central Bank.

    Cited by:

    1. Manganelli, Simone, 2021. "Statistical decision functions with judgment," Working Paper Series 2512, European Central Bank.

  5. Falconio, Andrea & Manganelli, Simone, 2020. "Financial conditions, business cycle fluctuations and growth at risk," Working Paper Series 2470, European Central Bank.

    Cited by:

    1. Luke Hartigan & Michelle Wright, 2021. "Financial Conditions and Downside Risk to Economic Activity in Australia," RBA Research Discussion Papers rdp2021-03, Reserve Bank of Australia.
    2. Tihana Škrinjarić & Maja Sabol, 2023. "Easier said than done: Predicting downside risks to house prices in Croatia," Working Papers 73, The Croatian National Bank, Croatia.
    3. Tihana Škrinjarić, 2023. "Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia," Working Papers 72, The Croatian National Bank, Croatia.
    4. Lang, Jan Hannes & Rusnák, Marek & Greiwe, Moritz, 2023. "Medium-term growth-at-risk in the euro area," Working Paper Series 2808, European Central Bank.

  6. Manganelli, Simone & Piras, Francesco & Agnoletti, Mauro, 2020. "Covid-19 and rural landscape: the case of Italy," Working Paper Series 2478, European Central Bank.

    Cited by:

    1. Fabrizio Natale & Stefano Maria Iacus & Alessandra Conte & Spyridon Spyratos & Francesco Sermi, 2021. "Territorial differences in the spread of COVID-19 in European regions and US counties," Papers 2103.08321, arXiv.org.
    2. Małgorzata Dudzińska & Marta Gwiaździńska-Goraj & Aleksandra Jezierska-Thöle, 2022. "Social Factors as Major Determinants of Rural Development Variation for Predicting Epidemic Vulnerability: A Lesson for the Future," IJERPH, MDPI, vol. 19(21), pages 1-24, October.
    3. Hossein Esfandyari & Shahla Choobchian & Yadgar Momenpour & Hossein Azadi, 2023. "Sustainable rural development in Northwest Iran: proposing a wellness-based tourism pattern using a structural equation modeling approach," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-15, December.
    4. Anne Goujon & Fabrizio Natale & Daniela Ghio & Alessandra Conte, 2022. "Demographic and territorial characteristics of COVID-19 cases and excess mortality in the European Union during the first wave," Journal of Population Research, Springer, vol. 39(4), pages 533-556, December.
    5. Yun Jo & Andy Hong & Hyungun Sung, 2021. "Density or Connectivity: What Are the Main Causes of the Spatial Proliferation of COVID-19 in Korea?," IJERPH, MDPI, vol. 18(10), pages 1-16, May.
    6. Nan Li & Muzi Chen & Difang Huang, 2022. "How Do Logistics Disruptions Affect Rural Households? Evidence from COVID-19 in China," Sustainability, MDPI, vol. 15(1), pages 1-17, December.
    7. Enrico Pomatto & Marco Devecchi & Federica Larcher, 2022. "Assessment of the Terraced Landscapes’ Integrity: A GIS-Based Approach in a Potential GIAHS-FAO Site (Northwest Piedmont, Italy)," Land, MDPI, vol. 11(12), pages 1-21, December.
    8. Karla Villarreal-Sotelo, 2021. "Suicide during the Covid-19 pandemic, a preliminary analysis in the State of Tamaulipas, Mexico," International Journal of Social Sciences, European Research Center, vol. 10(1), pages 88-101, March.
    9. Vincenzo Rusciano & Andrea Gatto, 2022. "Effects of the COVID-19 Outbreak on the Use and Perceptions of Metropolitan Agricultural Parks—Evidence from Milan and Naples of Urban and Environmental Resilience," Sustainability, MDPI, vol. 14(12), pages 1-19, June.
    10. Hanna Elisabet Åberg & Simona Tondelli, 2021. "Escape to the Country: A Reaction-Driven Rural Renaissance on a Swedish Island Post COVID-19," Sustainability, MDPI, vol. 13(22), pages 1-16, November.
    11. Christina Kakderi & Nicos Komninos & Anastasia Panori & Eleni Oikonomaki, 2021. "Next City: Learning from Cities during COVID-19 to Tackle Climate Change," Sustainability, MDPI, vol. 13(6), pages 1-21, March.
    12. Paolo Contiero & Alessandro Borgini & Martina Bertoldi & Anna Abita & Giuseppe Cuffari & Paola Tomao & Maria Concetta D’Ovidio & Stefano Reale & Silvia Scibetta & Giovanna Tagliabue & Roberto Boffi & , 2022. "An Epidemiological Study to Investigate Links between Atmospheric Pollution from Farming and SARS-CoV-2 Mortality," IJERPH, MDPI, vol. 19(8), pages 1-12, April.
    13. Raphael Ocelli Pinheiro & Luiza F. A. de Paula & Marco Giardino, 2022. "Agricultural Heritage: Contrasting National and International Programs in Brazil and Italy," Sustainability, MDPI, vol. 14(11), pages 1-24, May.
    14. Martina Aronica & Maria Francesca Cracolici & Debora Insolda & Davide Piacentino & Salvatore Tosi, 2021. "The Diversification of Sicilian Farms: A Way to Sustainable Rural Development," Sustainability, MDPI, vol. 13(11), pages 1-10, May.

  7. Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.

    Cited by:

    1. Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
    2. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2020. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," Working Papers 20-02R, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
    3. Falconio, Andrea & Manganelli, Simone, 2020. "Financial conditions, business cycle fluctuations and growth at risk," Working Paper Series 2470, European Central Bank.
    4. Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2023. "Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach," Working Paper Series 2833, European Central Bank.
    5. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Macroeconomic risks across the globe due to the Spanish Flu," Working Paper Series 2466, European Central Bank.
    6. Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2023. "Reassessing the dependence between economic growth and financial conditions since 1973," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 260-267, March.
    7. Marcellino, Massimiliano & Clark, Todd & Carriero, Andrea, 2021. "Nowcasting Tail Risk to Economic Activity at a Weekly Frequency," CEPR Discussion Papers 16496, C.E.P.R. Discussion Papers.
    8. Carlos Montes-Galdón & Eva Ortega, 2022. "Skewed SVARs: tracking the structural sources of macroeconomic tail risks," Working Papers 2208, Banco de España.
    9. Sokol, Andrej, 2021. "Fan charts 2.0: flexible forecast distributions with expert judgement," Working Paper Series 2624, European Central Bank.
    10. Hartwig, Benny & Meinerding, Christoph & Schüler, Yves S., 2021. "Identifying indicators of systemic risk," Journal of International Economics, Elsevier, vol. 132(C).
    11. Yang, Yao & Karali, Berna, 2024. "A Multivariate Quantile Approach for Testing Asymmetric Price Transmission in a Joint Production Process," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 0(Preprint), January.
    12. Brownlees, Christian & Souza, André B.M., 2021. "Backtesting global Growth-at-Risk," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 312-330.
    13. Marian Vavra, 2023. "Bias-Correction in Time Series Quantile Regression Models," Working and Discussion Papers WP 3/2023, Research Department, National Bank of Slovakia.
    14. Figueres, Juan Manuel & Jarociński, Marek, 2020. "Vulnerable growth in the euro area: Measuring the financial conditions," Economics Letters, Elsevier, vol. 191(C).
    15. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
    16. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions," Working Paper Series 2436, European Central Bank.
    17. Bochmann, Paul & Dieckelmann, Daniel & Fahr, Stephan & Ruzicka, Josef, 2023. "Financial stability considerations in the conduct of monetary policy," Working Paper Series 2870, European Central Bank.
    18. Leopoldo Catania & Alessandra Luati & Pierluigi Vallarino, 2021. "Economic vulnerability is state dependent," CREATES Research Papers 2021-09, Department of Economics and Business Economics, Aarhus University.
    19. Forni, Mario & Gambetti, Luca & Maffei-Faccioli, Nicolo & Sala, Luca, 2023. "The Impact of Financial Shocks on the Forecast Distribution of Output and Inflation," CEPR Discussion Papers 18076, C.E.P.R. Discussion Papers.
    20. Yunyun Wang & Tatsushi Oka & Dan Zhu, 2023. "Distributional Vector Autoregression: Eliciting Macro and Financial Dependence," Papers 2303.04994, arXiv.org.
    21. Laeven, Luc & Maddaloni, Angela & Mendicino, Caterina, 2022. "Monetary policy, macroprudential policy and financial stability," Working Paper Series 2647, European Central Bank.
    22. Schüler, Yves S., 2020. "The impact of uncertainty and certainty shocks," Discussion Papers 14/2020, Deutsche Bundesbank.
    23. Kremer, Manfred & Chavleishvili, Sulkhan, 2021. "Measuring Systemic Financial Stress and its Impact on the Macroeconomy," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242346, Verein für Socialpolitik / German Economic Association.
    24. 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).
    25. Botelho, Vasco & Foroni, Claudia & Renzetti, Andrea, 2023. "Labour at risk," Working Paper Series 2840, European Central Bank.
    26. Jack Fosten & Daniel Gutknecht & Marc-Oliver Pohle, 2023. "Testing Quantile Forecast Optimality," Papers 2302.02747, arXiv.org, revised Oct 2023.
    27. Lang, Jan Hannes & Rusnák, Marek & Greiwe, Moritz, 2023. "Medium-term growth-at-risk in the euro area," Working Paper Series 2808, European Central Bank.
    28. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A novel risk management perspective for macroprudential policy," Research Bulletin, European Central Bank, vol. 87.
    29. Nyholm, Juho & Voutilainen, Ville, 2021. "Quantiles of growth: Household debt and growth vulnerabilities in Finland," BoF Economics Review 2/2021, Bank of Finland.
    30. Alain Kabundi & Asithandile Mbelu, 2021. "Estimating a time-varying financial conditions index for South Africa," Empirical Economics, Springer, vol. 60(4), pages 1817-1844, April.
    31. Chavleishvili, Sulkhan & Kremer, Manfred, 2023. "Measuring systemic financial stress and its risks for growth," Working Paper Series 2842, European Central Bank.
    32. Hans Genberg & Özer Karagedikli, 2021. "Machine Learning and Central Banks: Ready for Prime Time?," Working Papers wp43, South East Asian Central Banks (SEACEN) Research and Training Centre.
    33. Beutel, Johannes & Emter, Lorenz & Metiu, Norbert & Prieto, Esteban & Schüler, Yves, 2022. "The global financial cycle and macroeconomic tail risks," Discussion Papers 43/2022, Deutsche Bundesbank.
    34. Tihana Skrinjaric, 2023. "Leading indicators of financial stress in Croatia: a regime switching approach," Public Sector Economics, Institute of Public Finance, vol. 47(2), pages 205-232.

  8. Bubeck, Johannes & Habib, Maurizio Michael & Manganelli, Simone, 2017. "The portfolio of euro area fund investors and ECB monetary policy announcements," Working Paper Series 2116, European Central Bank.

    Cited by:

    1. Banegas, Ayelen & Montes-Rojas, Gabriel & Siga, Lucas, 2022. "The effects of U.S. monetary policy shocks on mutual fund investing," Journal of International Money and Finance, Elsevier, vol. 123(C).
    2. Picón Aguilar, Carmen & Soares, Rodrigo Oliveira & Adalid, Ramón, 2020. "Revisiting the monetary presentation of the euro area balance of payments," Occasional Paper Series 238, European Central Bank.
    3. Gnabo, Jean-Yves & Soudant, Joey, 2022. "Monetary policy and portfolio rebalancing: Evidence from European equity mutual funds," Journal of Financial Stability, Elsevier, vol. 63(C).
    4. Hermans, Lieven & Kostka, Thomas & Vassallo, Danilo, 2023. "Asset allocation and risk taking under different interest rate regimes," Working Paper Series 2803, European Central Bank.
    5. Bua, Giovanna & Dunne, Peter G. & Sorbo, Jacopo, 2019. "Money Market Funds and Unconventional Monetary Policy," Research Technical Papers 7/RT/19, Central Bank of Ireland.
    6. Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).
    7. Bergant, Katharina & Fidora, Michael & Schmitz, Martin, 2018. "International capital flows at the security level � evidence from the ECB�s asset purchase programme," ECMI Papers 13926, Centre for European Policy Studies.
    8. Rafael Cezar & Maéva Silvestrini, 2021. "Impact of the ECB Quantitative Easing on the International Investment Position," International Economics, CEPII research center, issue 165, pages 241-263.
    9. Albertazzi, Ugo & Barbiero, Francesca & Marqués-Ibáñez, David & Popov, Alexander & Rodriguez d’Acri, Costanza & Vlassopoulos, Thomas, 2020. "Monetary policy and bank stability: the analytical toolbox reviewed," Working Paper Series 2377, European Central Bank.
    10. Jing Chen & Junxiong Fang & Chunqiu Zhang & Yi Zhou, 2023. "Homemade international diversification under economic policy uncertainty," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 31-62, February.
    11. Kaufmann, Christoph, 2021. "Investment funds, monetary policy, and the global financial cycle," ESRB Working Paper Series 119, European Systemic Risk Board.
    12. Mirza, Nawazish & Naqvi, Bushra & Rahat, Birjees & Rizvi, Syed Kumail Abbas, 2020. "Price reaction, volatility timing and funds’ performance during Covid-19," Finance Research Letters, Elsevier, vol. 36(C).
    13. Fidora, Michael & Schmitz, Martin & Bergant, Katharina, 2020. "International capital flows at the security level: evidence from the ECB’s Asset Purchase Programme," Working Paper Series 2388, European Central Bank.
    14. Giuzio, Margherita & Kaufmann, Christoph & Ryan, Ellen & Cappiello, Lorenzo, 2021. "Investment funds, risk-taking, and monetary policy in the euro area," Working Paper Series 2605, European Central Bank.
    15. Andras Lengyel & Massimo Giuliodoril, 2020. "Demand shocks for public debt in the Eurozone," Working Papers 674, DNB.
    16. Rafael Cezar & Maéva Silvestrini, 2018. "Impact of the ECB Quantitative Easing on the French International Investment Position," Working papers 701, Banque de France.

  9. G. Horny & M. Manganelli & B. Mojon, 2016. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," Working papers 582, Banque de France.

    Cited by:

    1. Zaghini, Andrea, 2016. "Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?," CFS Working Paper Series 530, Center for Financial Studies (CFS).
    2. Silvia Gabrieli & Claire Labonne, 2018. "Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015," Working papers 687, Banque de France.
    3. De Santis, Roberto A., 2018. "Unobservable country bond premia and fragmentation," Journal of International Money and Finance, Elsevier, vol. 82(C), pages 1-25.
    4. Henry Penikas, 2022. "Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022," Russian Journal of Money and Finance, Bank of Russia, vol. 81(2), pages 20-48, June.
    5. Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
    6. De Santis, Roberto A., 2016. "Credit spreads, economic activity and fragmentation," Working Paper Series 1930, European Central Bank.
    7. Andrea Zaghini, 2017. "A tale of fragmentation: corporate funding in the euro-area bond market," Temi di discussione (Economic working papers) 1104, Bank of Italy, Economic Research and International Relations Area.
    8. Xing (Alex) Zhou, 2020. "Corporate Debt," JRFM, MDPI, vol. 13(9), pages 1-2, September.
    9. Jan Kakes & Jan Willem van den End, 2023. "Identifying financial fragmentation: do sovereign spreads in the EMU reflect differences in fundamentals?," Working Papers 778, DNB.
    10. Serati, Massimiliano & Venegoni, Andrea, 2019. "The cross-country impact of ECB policies: Asymmetries in – Asymmetries out?," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 118-141.
    11. Bertrand Garbinti & Pierre Lamarche & Charlélie Lecanu & Frédérique Savignac, 2020. "Wealth effect on consumption during the sovereign debt crisis: Households heterogeneity in the Euro area," Working papers 751, Banque de France.
    12. Stijn Claessens, 2019. "Fragmentation in global financial markets: good or bad for financial stability?," BIS Working Papers 815, Bank for International Settlements.
    13. F. Koulischer, 2015. "Asymmetric shocks in a currency union: The role of central bank collateral policy," Working papers 554, Banque de France.
    14. Dimitrios Anastasiou & Helen Louri & Mike Tsionas, 2019. "Nonperforming loans in the euro area: Are core–periphery banking markets fragmented?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 97-112, January.
    15. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    16. Andrea Zaghini, 2017. "The CSPP at work: yield heterogeneity and the portfolio rebalancing channel," Temi di discussione (Economic working papers) 1157, Bank of Italy, Economic Research and International Relations Area.
    17. Gabriella Chiesa & José Manuel Mansilla-Fernández, 2021. "The dynamic effects of non-performing loans on banks’ cost of capital and lending supply in the Eurozone," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(2), pages 397-427, May.
    18. Martin Feldkircher & Karin Klieber, 2023. "Integration or fragmentation? A closer look at euro area financial markets," Papers 2310.07790, arXiv.org.
    19. Henry Penikas & Anastasia Skarednova & Mikhail Surkov, 2021. "How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?," Bank of Russia Working Paper Series wps74, Bank of Russia.
    20. Joost Bats, 2020. "Corporates dependence on banks: The impact of ECB corporate sector purchases," Working Papers 667, DNB.
    21. Boysen-Hogrefe, Jens & Fiedler, Salomon & Gern, Klaus-Jürgen & Groll, Dominik & Jannsen, Nils & Kooths, Stefan, 2021. "Vermögenspreise, Zinseffekte und die Robustheit der öffentlichen Finanzen in Deutschland - eine Szenario-Analyse," Kieler Beiträge zur Wirtschaftspolitik 36, Kiel Institute for the World Economy (IfW Kiel).
    22. Wang, Yabin & Wu, Sharon Xiaohui, 2023. "Local guarantees and SOE bond pricing in China," China Economic Review, Elsevier, vol. 78(C).
    23. Anna Burova & Alexey Ponomarenko & Svetlana Popova & Andrey Sinyakov & Yulia Ushakova, 2021. "Measuring heterogeneity in banks' interest rate setting in Russia," Bank of Russia Working Paper Series wps77, Bank of Russia.
    24. Horny, G. & Manganelli, S. & Mojon, B., 2016. "Changes in financial fragmentation in the euro area since 2008," Rue de la Banque, Banque de France, issue 28, july..

  10. Manganelli, Simone & Heider, Florian & Hoerova, Marie & Garcia-de-Andoain, Carlos, 2016. "Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro area," Working Paper Series 1886, European Central Bank.

    Cited by:

    1. Matteo Crosignani & Miguel Faria-e-Castro & Luis Fonseca, 2017. "The (Unintended?) Consequences of the Largest Liquidity Injection Ever," Working Papers 2017-039, Federal Reserve Bank of St. Louis.
    2. Koetter, Michael & Nguyen, Huyen, 2023. "European banking in transformational times: Regulation, crises, and challenges," IWH Studies 7/2023, Halle Institute for Economic Research (IWH).
    3. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2018. "Does a big bazooka matter? Central bank balance-sheet policies and exchange rates," Working Paper Series 2197, European Central Bank.
    4. Acharya, Viral V. & Imbierowicz, Björn & Steffen, Sascha & Teichmann, Daniel, 2015. "Does Lack of Financial Stability Impair the Transmission of Monetary Policy?," HIT-REFINED Working Paper Series 24, Institute of Economic Research, Hitotsubashi University.
    5. Philipp Hartman & Frank Smets, 2018. "The European Central Bank’s Monetary Policy during Its First 20 Years," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 1-146.
    6. Bindseil, Ulrich & Corsi, Marco & Sahel, Benjamin & Visser, Ad, 2017. "The Eurosystem collateral framework explained," Occasional Paper Series 189, European Central Bank.
    7. Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 2225, European Central Bank.
    8. Christophe Pérignon & David Thesmar & Guillaume Vuillemey, 2018. "Wholesale Funding Dry‐Ups," Journal of Finance, American Finance Association, vol. 73(2), pages 575-617, April.
    9. Antonis Kotidis & Dimitris Malliaropulos & Elias Papaioannou, 2022. "Public and private liquidity during crises times: evidence from Emergency Liquidity Assistance (ELA) to Greek banks," Working Papers 304, Bank of Greece.
    10. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," CEPR Discussion Papers 13411, C.E.P.R. Discussion Papers.
    11. Massimiliano Affinito & Matteo Piazza, 2021. "Always Look on the Bright Side? Central Counterparties and Interbank Markets during the Financial Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 231-283, March.
    12. Buchholz, Manuel & Schmidt, Kirsten & Tonzer, Lena, 2017. "Do conventional monetary policy instruments matter in unconventional times?," IWH Discussion Papers 12/2017, Halle Institute for Economic Research (IWH).
    13. Crosignani, Matteo, 2021. "Bank capital, government bond holdings, and sovereign debt capacity," Journal of Financial Economics, Elsevier, vol. 141(2), pages 693-704.
    14. Rainone, Edoardo, 2020. "The network nature of over-the-counter interest rates," Journal of Financial Markets, Elsevier, vol. 47(C).
    15. Garcia-Hiernaux, Alfredo & Gonzalez-Perez, Maria T. & Guerrero, David E., 2023. "Eurozone prices: A tale of convergence and divergence," Economic Modelling, Elsevier, vol. 126(C).
    16. Florian Heider & Farzad Saidi & Glenn Schepens, 2019. "Life below Zero: Bank Lending under Negative Policy Rates," Review of Financial Studies, Society for Financial Studies, vol. 32(10), pages 3728-3761.
    17. Quint, Dominic & Tristani, Oreste, 2018. "Liquidity provision as a monetary policy tool: The ECB’s non-standard measures after the financial crisis," Journal of International Money and Finance, Elsevier, vol. 80(C), pages 15-34.
    18. Laeven, Luc & Calomiris, Charles & Flandreau, Marc, 2016. "Political Foundations of the Lender of Last Resort: A Global Historical Narrative," CEPR Discussion Papers 11448, C.E.P.R. Discussion Papers.
    19. Müller, Alexander & Paulick, Jan, 2020. ""The devil is in the details, but so is salvation": Different approachesin money market measurement," Discussion Papers 66/2020, Deutsche Bundesbank.
    20. Heider, Florian & Saidi, Farzad & Schepens, Glenn, 2021. "Banks and negative interest rates," Working Paper Series 2549, European Central Bank.
    21. Ranaldo, Angelo & Wrampelmeyer, Jan, 2016. "Unsecured and Secured Funding," Working Papers on Finance 1616, University of St. Gallen, School of Finance.
    22. Anne-Marie Rieu-Foucault, 2018. "Les interventions de crise de la FED et de la BCE diffèrent-elles ?," EconomiX Working Papers 2018-31, University of Paris Nanterre, EconomiX.
    23. Alves, Nuno & Bonfim, Diana & Soares, Carla, 2021. "Surviving the perfect storm: The role of the lender of last resort☆," Journal of Financial Intermediation, Elsevier, vol. 47(C).
    24. Miklos Vari, 2020. "Monetary Policy Transmission with Interbank Market Fragmentation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 409-440, March.
    25. António Afonso & Jorge Silva, 2019. "Effects of euro area monetary policy on institutional sectors: the case of Portugal," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 42(120), pages 219-236, Diciembre.
    26. Narayan Bulusu & Pierre Guérin, 2018. "What Drives Interbank Loans? Evidence from Canada," Staff Working Papers 18-5, Bank of Canada.
    27. Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020. "Interbank risk assessment: A simulation approach," Discussion Papers 23/2020, Deutsche Bundesbank.
    28. Andreas Beyer & Benoît Coeuré & Caterina Mendicino, 2017. "Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 494-495-4, pages 45-64.
    29. Kok, Seng Kiong & Akwei, Cynthia & Giorgioni, Gianluigi & Farquhar, Stuart, 2022. "On the regulation of the intersection between religion and the provision of financial services: Conversations with market actors within the global Islamic financial services sector," Research in International Business and Finance, Elsevier, vol. 59(C).
    30. Garcia-de-Andoain, Carlos & Heider, Florian & Hoerova, Marie & Manganelli, Simone, 2016. "Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area," Journal of Financial Intermediation, Elsevier, vol. 28(C), pages 32-47.
    31. Matteo Crosignani, 2015. "Why Are Banks Not Recapitalized During Crises?," Working Papers 203, Oesterreichische Nationalbank (Austrian Central Bank).
    32. Edoardo Rainone, 2021. "Identifying deposits' outflows in real-time," Temi di discussione (Economic working papers) 1319, Bank of Italy, Economic Research and International Relations Area.
    33. Alyssa G. Anderson & John Kandrac, 2016. "Monetary Policy Implementation and Private Repo Displacement : Evidence from the Overnight Reverse Repurchase Facility," Finance and Economics Discussion Series 2016-096, Board of Governors of the Federal Reserve System (U.S.).
    34. Chundakkadan, Radeef & Sasidharan, Subash, 2019. "Liquidity pull-back and predictability of government security yield volatility," Economic Modelling, Elsevier, vol. 77(C), pages 124-132.
    35. Lartey, Theophilus & James, Gregory A. & Danso, Albert, 2021. "Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
    36. Casavecchia, Lorenzo & Loudon, Geoffrey F. & Wu, Eliza, 2018. "What moves benchmark money market rates? Evidence from the BBSW market," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 137-154.
    37. Carpinelli, Luisa & Crosignani, Matteo, 2021. "The design and transmission of central bank liquidity provisions," Journal of Financial Economics, Elsevier, vol. 141(1), pages 27-47.
    38. J. Barthélemy & V. Bignon & B. Nguyen, 2018. "Monetary Policy and Collateral Constraints since the European Debt Crisis," Working papers 669, Banque de France.
    39. Ranaldo, Angelo & Rupprecht, Matthias, 2016. "The Forward Premium in Short-Term Rates," Working Papers on Finance 1619, University of St. Gallen, School of Finance, revised Sep 2019.
    40. Yang Xu, 2019. "Intervention on default contagion under partial information in a financial network," PLOS ONE, Public Library of Science, vol. 14(1), pages 1-60, January.
    41. António Afonso & Jorge Silva, 2018. "Debt crisis and 10-year sovereign yields in Ireland and in Portugal," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 217-222, February.
    42. Littke, Helge & Ossandon Busch, Matias, 2021. "Banks fearing the drought? Liquidity hoarding as a response to idiosyncratic interbank funding dry-ups," Discussion Papers 16/2021, Deutsche Bundesbank.
    43. Carla Soares & Diana Bonfim & Nuno Alves, 2016. "Surviving the perfect storm: the role of the lender of last resort," Working Papers w201617, Banco de Portugal, Economics and Research Department.
    44. Ashoka Mody & Milan Nedeljkovic, 2018. "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis," CESifo Working Paper Series 7400, CESifo.
    45. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2017. "Structural Factor Analysis of Interest Rate Pass Through In Four Large Euro Area Economies," Working Papers in Economics 17/07, University of Canterbury, Department of Economics and Finance.
    46. Heider, Florian & Leonello, Agnese, 2021. "Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking," Working Paper Series 2593, European Central Bank.
    47. Dwyer, Gerald P. & Gilevska, Biljana & Nieto, Maria J. & Samartín, Margarita, 2023. "The effects of the ECB’s unconventional monetary policies from 2011 to 2018 on banking assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 87(C).
    48. Laeven, Luc & Maddaloni, Angela & Mendicino, Caterina, 2022. "Monetary policy, macroprudential policy and financial stability," Working Paper Series 2647, European Central Bank.
    49. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2020. "Does a big bazooka matter? Quantitative easing policies and exchange rates," Research Bulletin, European Central Bank, vol. 76.
    50. Breckenfelder, Johannes & Hoerova, Marie, 2023. "Do non-banks need access to the lender of last resort? Evidence from fund runs," Working Paper Series 2805, European Central Bank.
    51. Corradin, Stefano & Eisenschmidt, Jens & Hoerova, Marie & Linzert, Tobias & Schepens, Glenn & Sigaux, Jean-David, 2020. "Money markets, central bank balance sheet and regulation," Working Paper Series 2483, European Central Bank.
    52. Wedow, Michael & Koetter, Michael & Podlich, Natalia, 2017. "Inside asset purchase programs: the effects of unconventional policy on banking competition," Working Paper Series 2017, European Central Bank.
    53. Massimiliano Affinito, 2019. "What do almost 20 years of micro data and two crises say about the relationship between central bank and interbank market liquidity? Evidence from Italy," Temi di discussione (Economic working papers) 1238, Bank of Italy, Economic Research and International Relations Area.
    54. Eleftheria Kostika & Nikiforos T. Laopodis, 2022. "Assessing the effectiveness of the emergency liquidity assistance tool in the euro area," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4142-4153, October.
    55. Ashoka Mody & Milan Nedeljkovic, 2018. "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis," Working Papers 253, Princeton University, Department of Economics, Center for Economic Policy Studies..
    56. Hattori, Takahiro, 2019. "Do liquidity enhancement auctions improve the market liquidity in the JGB market?," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
    57. Jan Kolesnik, 2021. "The Contagion Effect and its Mitigation in the Modern Banking System," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 1009-1024.
    58. Radeef Chundakkadan & Subash Sasidharan, 2021. "Central bank's money market operations and daily stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 136-152, January.
    59. Edoardo Rainone, 2017. "Pairwise trading in the money market during the European sovereign debt crisis," Temi di discussione (Economic working papers) 1160, Bank of Italy, Economic Research and International Relations Area.
    60. Ferrando, Annalisa & Popov, Alexander & Udell, Gregory F., 2021. "Unconventional monetary policy, funding expectations, and firm decisions," Working Paper Series 2598, European Central Bank.
    61. Corradin, Stefano & Hoerova, Marie & Schepens, Glenn, 2021. "Euro area money markets over the past 15 years: changes, driving factors and implications for monetary policy," Research Bulletin, European Central Bank, vol. 82.
    62. Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.

  11. Heider, Florian & Manganelli, Simone & Hoerova, Marie & Garcia-de-Andoain, Carlos, 2015. "Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in," CEPR Discussion Papers 10901, C.E.P.R. Discussion Papers.

    Cited by:

    1. Laeven, Luc & Calomiris, Charles & Flandreau, Marc, 2016. "Political Foundations of the Lender of Last Resort: A Global Historical Narrative," CEPR Discussion Papers 11448, C.E.P.R. Discussion Papers.
    2. Carla Soares & Diana Bonfim & Nuno Alves, 2016. "Surviving the perfect storm: the role of the lender of last resort," Working Papers w201617, Banco de Portugal, Economics and Research Department.

  12. Yener Altunbas & Simone Manganelli & David Marques-Ibanez, 2015. "Realized Bank Risk during the Great Recession," International Finance Discussion Papers 1140, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Tang, Ning & Kamar, Amina & Lin, Chih-Yung & Lu, Chien-Lin, 2023. "Bank safety-oriented culture and lending decisions," Journal of Financial Stability, Elsevier, vol. 66(C).
    2. Saqib Aziz & Michael Dowling & Jean-Jacques Lilti, 2016. "Bank Acquisitiveness and Financial Crisis Vulnerability," Post-Print halshs-01360952, HAL.
    3. Yener Altunbas & Michiel van Leuvensteijn & David Marques-Ibanez, 2013. "Competition And Bank Risk: The Role Of Securitization And Bank Capital," Working Papers 13005, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    4. Camba-Méndez, Gonzalo & Mongelli, Francesco Paolo, 2021. "Risk aversion and bank loan pricing," Working Paper Series 2514, European Central Bank.
    5. Jones, Laurence & Alsakka, Rasha & ap Gwilym, Owain & Mantovan, Noemi, 2022. "The impact of regulatory reforms on European bank behaviour: A dynamic structural estimation," European Economic Review, Elsevier, vol. 150(C).
    6. Theresa Schäfer & Sebastian Utz, 2022. "Values-Based and Global Systemically Important Banks: Their Stability and the Impact of Regulatory Changes After the Financial Crisis on it," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 5-32, March.
    7. Chiaramonte, Laura & Casu, Barbara, 2017. "Capital and liquidity ratios and financial distress. Evidence from the European banking industry," The British Accounting Review, Elsevier, vol. 49(2), pages 138-161.
    8. Yuanyuan Chang & Dena Firoozi & David Benatia, 2023. "Large Banks and Systemic Risk: Insights from a Mean-Field Game Model," Papers 2305.17830, arXiv.org, revised Aug 2023.
    9. Halit Gonenc & Bert Scholtens, 2019. "Responsibility and Performance Relationship in the Banking Industry," Sustainability, MDPI, vol. 11(12), pages 1-49, June.
    10. Lucas Avezum, 2023. "To use or not to use? Capital buffers and lending during a crisis," Working Papers w202308, Banco de Portugal, Economics and Research Department.
    11. Elona Dushku & Antje Hildebrandt & Erjona Suljoti, 2019. "The impact of housing markets on banks’ risk-taking behavior: evidence from CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q3/19, pages 55-75.
    12. Sclip, Alex & Girardone, Claudia & Miani, Stefano, 2019. "Large EU banks’ capital and liquidity: Relationship and impact on credit default swap spreads," The British Accounting Review, Elsevier, vol. 51(4), pages 438-461.
    13. Yener Altunbaş & John Thornton & Yurtsev Uymaz, 2021. "Money laundering and bank risk: Evidence from U.S. banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 4879-4894, October.
    14. Mihail Yanchev, 2022. "Deep Growth-at-Risk Model: Nowcasting the 2020 Pandemic Lockdown Recession in Small Open Economies," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 7, pages 20-41.
    15. Robert DeYoung & Lei Li, 2019. "Publicly Traded Versus Privately Held Commercial Banks: Sensitivity to Growth Opportunities," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(1), pages 39-71, August.
    16. He, Chengying & Huang, Ke & Lin, Jianwu & Wang, Tianqi & Zhang, Zuominyang, 2023. "Explain systemic risk of commodity futures market by dynamic network," International Review of Financial Analysis, Elsevier, vol. 88(C).
    17. Caterina Di Tommaso & John Thornton, 2020. "Do ESG scores effect bank risk taking and value? Evidence from European banks," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 27(5), pages 2286-2298, September.
    18. Md Abdul Wasi & Thu Phuong Pham & Ralf Zurbruegg, 2023. "Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 50(1-2), pages 411-440, January.
    19. Cristina-Georgiana Zeldea & Mihai Nițoi, 2021. "Macroprudential tools, credit growth and financial stability: Lessons from Central and Eastern European countries," Journal of Financial Studies, Institute of Financial Studies, vol. 11(6), pages 156-178, December.
    20. Zongyuan Li & Rose Neng Lai, 2022. "Interbank borrowing and bank liquidity risk," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(1), pages 53-91, March.
    21. Manthoulis, Georgios & Doumpos, Michalis & Zopounidis, Constantin & Galariotis, Emilios, 2020. "An ordinal classification framework for bank failure prediction: Methodology and empirical evidence for US banks," European Journal of Operational Research, Elsevier, vol. 282(2), pages 786-801.
    22. Song, Fenghua & Thakor, Anjan V., 2019. "Bank culture," Journal of Financial Intermediation, Elsevier, vol. 39(C), pages 59-79.
    23. Spokeviciute, Laima & Keasey, Kevin & Vallascas, Francesco, 2019. "Do financial crises cleanse the banking industry? Evidence from US commercial bank exits," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 222-236.
    24. Ferrari Minesso, Massimo, 2020. "Bank contagion in general equilibrium," Working Paper Series 2432, European Central Bank.
    25. Altunbas, Yener & Marques-Ibanez, David & van Leuvensteijn, Michiel & Zhao, Tianshu, 2022. "Market power and bank systemic risk: Role of securitization and bank capital," Journal of Banking & Finance, Elsevier, vol. 138(C).
    26. Thaer Alhalabi & Vitor Castro & Justine Wood, 2023. "The relationship between excessive lending, risk premium and risk‐taking: Evidence from European banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 448-471, January.
    27. Wu, Meng-Wen & Shen, Chung Hua, 2019. "Effects of shadow banking on bank risks from the view of capital adequacy," International Review of Economics & Finance, Elsevier, vol. 63(C), pages 176-197.
    28. Ashraf, Badar Nadeem & Zheng, Changjun & Jiang, Chonghui & Qian, Ningyu, 2020. "Capital regulation, deposit insurance and bank risk: International evidence from normal and crisis periods," Research in International Business and Finance, Elsevier, vol. 52(C).
    29. Altunbaş, Yener & Thornton, John & Uymaz, Yurtsev, 2020. "The effect of CEO power on bank risk: Do boards and institutional investors matter?✰," Finance Research Letters, Elsevier, vol. 33(C).
    30. Dung Viet Tran, 2019. "Ownership structure and bank lending," Economics Bulletin, AccessEcon, vol. 39(4), pages 3011-3023.

  13. Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2015. "VAR for VaR: measuring tail dependence using multivariate regression quantiles," Working Paper Series 1814, European Central Bank.

    Cited by:

    1. Hu, Genhua & Wang, Xiangjin & Qiu, Hong, 2023. "Analyzing a dynamic relation between RMB exchange rate onshore and offshore during the extreme market conditions," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 408-417.
    2. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
    3. Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers No 06/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    4. Bouri, Elie & Shahzad, Syed Jawad Hussain & Raza, Naveed & Roubaud, David, 2018. "Oil volatility and sovereign risk of BRICS," Energy Economics, Elsevier, vol. 70(C), pages 258-269.
    5. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
    6. Jian, Zhihong & Wu, Shuai & Zhu, Zhican, 2018. "Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach," Emerging Markets Review, Elsevier, vol. 37(C), pages 98-113.
    7. Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    8. Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    9. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
    10. Falconio, Andrea & Manganelli, Simone, 2020. "Financial conditions, business cycle fluctuations and growth at risk," Working Paper Series 2470, European Central Bank.
    11. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
    12. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    13. Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020. "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers 2020-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    14. Taylor, James W., 2022. "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, vol. 140(C).
    15. Bierth, Christopher & Irresberger, Felix & Weiß, Gregor N.F., 2015. "Systemic risk of insurers around the globe," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 232-245.
    16. Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2022. "Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    17. Christian Meine & Hendrik Supper & Gregor N. F. Weiß, 2016. "Is Tail Risk Priced in Credit Default Swap Premia?," Review of Finance, European Finance Association, vol. 20(1), pages 287-336.
    18. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
    19. Jozef Barun'ik & Tobias Kley, 2015. "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers 1510.06946, arXiv.org, revised Dec 2018.
    20. van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017. "Network, market, and book-based systemic risk rankings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
    21. Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
    22. Axel Per Hedström & Gazi Salah Uddin & Md Lutfur Rahman & Bo Sjö, 2024. "Systemic risk in the Scandinavian banking sector," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 581-608, January.
    23. Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
    24. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
      • Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    25. Chebbi, Ali & Hedhli, Amel, 2022. "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 430-445.
    26. Pradhan, Ashis Kumar & Tiwari, Aviral Kumar, 2021. "Estimating the market risk of clean energy technologies companies using the expected shortfall approach," Renewable Energy, Elsevier, vol. 177(C), pages 95-100.
    27. Wen, Danyan & Wang, Yudong & Ma, Chaoqun & Zhang, Yaojie, 2020. "Information transmission between gold and financial assets: Mean, volatility, or risk spillovers?," Resources Policy, Elsevier, vol. 69(C).
    28. Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).
    29. Resul Aydemir & Huzeyfe Zahit Atan & Bulent Guloglu, 2022. "How do the global equity and bond markets affect Islamic and conventional banks? A comparative cross-country analysis using multivariate regression quantiles," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 95-114, March.
    30. Algieri, Bernardina & Leccadito, Arturo, 2019. "Ask CARL: Forecasting tail probabilities for energy commodities," Energy Economics, Elsevier, vol. 84(C).
    31. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis," Emerging Markets Review, Elsevier, vol. 31(C), pages 32-46.
    32. Foglia, Matteo & Angelini, Eliana, 2020. "The diabolical sovereigns/banks risk loop: A VAR quantile design," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    33. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
    34. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021. "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
    35. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, Institute of Labor Economics (IZA).
    36. Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.
    37. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288, Elsevier.
    38. Beatrice Foroni & Luca Merlo & Lea Petrella, 2023. "Expectile hidden Markov regression models for analyzing cryptocurrency returns," Papers 2301.09722, arXiv.org, revised Jan 2024.
    39. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
    40. Michal Franta, 2023. "The Application of Multiple-Output Quantile Regression on the US Financial Cycle," Working Papers 2023/2, Czech National Bank.
    41. Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
    42. Kwon, Ji Ho, 2019. "Tail risk and the consumption CAPM," Finance Research Letters, Elsevier, vol. 30(C), pages 69-75.
    43. Xuening Zhu & Wolfgang K. Härdle & Weining Wang & Hangsheng Wang, 2016. "Network Quantile Autoregression," SFB 649 Discussion Papers SFB649DP2016-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    44. Dagli , Suzette & Mariano, Paul & Salvanera, Arjan Paulo, 2022. "Quantile Debt Fan Charts," ADB Economics Working Paper Series 664, Asian Development Bank.
    45. Carlos Castro & Stijn Ferrari, 2012. "Measuring and testing for the systemically important financial institutions," Working Paper Research 228, National Bank of Belgium.
    46. Weiß, Gregor N.F. & Mühlnickel, Janina, 2014. "Why do some insurers become systemically relevant?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 95-117.
    47. Tae-Hwan Kim & Dong Jin Lee & Paul Mizen, 2020. "Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy," Working papers 2020rwp-164, Yonsei University, Yonsei Economics Research Institute.
    48. Bonaccolto, Giovanni & Caporin, Massimiliano & Paterlini, Sandra, 2019. "Decomposing and backtesting a flexible specification for CoVaR," Journal of Banking & Finance, Elsevier, vol. 108(C).
    49. Syed Jawad Hussain Shahzad & Naveed Raza & David Roubaud & Jose Arreola Hernandez & Stelios Bekiros, 2019. "Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit," Post-Print hal-02352004, HAL.
    50. Christophe Boucher & Sessi Tokpavi, 2019. "Stocks and Bonds: Flight-to-Safety for Ever?," Post-Print hal-02067096, HAL.
    51. Gabauer, David & Gupta, Rangan, 2020. "Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 167-173.
    52. Shen, Yifan & Shi, Xunpeng & Variam, Hari Malamakkavu Padinjare, 2018. "Risk transmission mechanism between energy markets: A VAR for VaR approach," Energy Economics, Elsevier, vol. 75(C), pages 377-388.
    53. Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2015. "The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk," Working Papers 201564, University of Pretoria, Department of Economics.
    54. Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
    55. An Cheng & Tonghui Chen & Guogang Jiang & Xinru Han, 2021. "Can Major Public Health Emergencies Affect Changes in International Oil Prices?," IJERPH, MDPI, vol. 18(24), pages 1-13, December.
    56. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Gurcan Aygun & Mark E. Wohar, 2022. "Effectiveness of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies," Empirical Economics, Springer, vol. 63(4), pages 1741-1769, October.
    57. Corbet, Shaen & Katsiampa, Paraskevi & Lau, Chi Keung Marco, 2020. "Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    58. Moratis, Georgios & Sakellaris, Plutarchos, 2021. "Measuring the systemic importance of banks," Journal of Financial Stability, Elsevier, vol. 54(C).
    59. Ostap Okhrin & Alexander Ristig & Jeffrey Sheen & Stefan Trück, 2015. "Conditional Systemic Risk with Penalized Copula," SFB 649 Discussion Papers SFB649DP2015-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    60. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
    61. María Edo & Walter Sosa Escudero & Marcela Svarc, 2021. "A multidimensional approach to measuring the middle class," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 19(1), pages 139-162, March.
    62. Altınkeski, Buket Kırcı & Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2022. "Financial stress transmission between the U.S. and the Euro Area," Journal of Financial Stability, Elsevier, vol. 60(C).
    63. Weihuan Huang, 2023. "Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method," Papers 2310.18658, arXiv.org.
    64. Daragh Clancy & Carmine Gabriele & Diana Zigraiova, 2020. "Sovereign bond market spillovers from crisis-time developments in Greece," Working Papers 45, European Stability Mechanism.
    65. Nikolaos A. Kyriazis, 2019. "A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets," JRFM, MDPI, vol. 12(4), pages 1-17, November.
    66. Brownlees, Christian & Souza, André B.M., 2021. "Backtesting global Growth-at-Risk," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 312-330.
    67. Yuting Gong & Zhongzhi He & Wenjun Xue, 2023. "EPU spillovers and sovereign CDS spreads: A cross‐country study," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1770-1806, December.
    68. Christophe Boucher & Sessi Tokpavi, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," Working Papers hal-04141705, HAL.
    69. Rhys M. Bidder & Andrew McKenna, 2015. "Robust stress testing," Working Paper Series 2015-13, Federal Reserve Bank of San Francisco.
    70. Bostandzic, Denefa & Weiß, Gregor N.F., 2018. "Why do some banks contribute more to global systemic risk?," Journal of Financial Intermediation, Elsevier, vol. 35(PA), pages 17-40.
    71. Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
    72. Chiu, Ching-Wai (Jeremy) & Hacioglu Hoke, Sinem, 2016. "Macroeconomic tail events with non-linear Bayesian VARs," Bank of England working papers 611, Bank of England.
    73. Mikhail Stolbov & Maria Shchepeleva, 2021. "Macrofinancial linkages in Europe: Evidence from quantile local projections," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5557-5569, October.
    74. Dai, Xingyu & Wang, Qunwei & Zha, Donglan & Zhou, Dequn, 2020. "Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach," Energy Economics, Elsevier, vol. 88(C).
    75. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
    76. Bonaccolto, Giovanni & Borri, Nicola & Consiglio, Andrea, 2023. "Breakup and default risks in the great lockdown," Journal of Banking & Finance, Elsevier, vol. 147(C).
    77. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
    78. Andrei Rusu, 2020. "Multivariate VaR: A Romanian Market study," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 12(1), pages 79-95, June.
    79. De Sola Perea, Maite & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2019. "Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 33-52.
    80. Balcilar, Mehmet & Elsayed, Ahmed H. & Hammoudeh, Shawkat, 2023. "Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis1," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    81. Hussain Shahzad, Syed Jawad & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017. "Dependence of stock markets with gold and bonds under bullish and bearish market states," Resources Policy, Elsevier, vol. 52(C), pages 308-319.
    82. Bochmann, Paul & Dieckelmann, Daniel & Fahr, Stephan & Ruzicka, Josef, 2023. "Financial stability considerations in the conduct of monetary policy," Working Paper Series 2870, European Central Bank.
    83. Kok, Christoffer & Gross, Marco, 2013. "Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR," Working Paper Series 1570, European Central Bank.
    84. Leopoldo Catania & Alessandra Luati & Pierluigi Vallarino, 2021. "Economic vulnerability is state dependent," CREATES Research Papers 2021-09, Department of Economics and Business Economics, Aarhus University.
    85. František Čech & Jozef Baruník, 2019. "Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1167-1189, September.
    86. Zongwu Cai & Xiyuan Liu, 2020. "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202017, University of Kansas, Department of Economics, revised Oct 2020.
    87. Wang, Gang-Jin & Xie, Chi & Wen, Danyan & Zhao, Longfeng, 2019. "When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin," Finance Research Letters, Elsevier, vol. 31(C).
    88. Cheng-Der Fuh & Yanwei Jia & Steven Kou, 2023. "A General Framework for Importance Sampling with Latent Markov Processes," Papers 2311.12330, arXiv.org.
    89. Restrepo, Natalia & Uribe, Jorge M. & Manotas, Diego, 2018. "Financial risk network architecture of energy firms," Applied Energy, Elsevier, vol. 215(C), pages 630-642.
    90. Shen, Yifan, 2018. "International risk transmission of stock market movements," Economic Modelling, Elsevier, vol. 69(C), pages 220-236.
    91. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
    92. Ouyang, Zisheng & Chen, Shili & Lai, Yongzeng & Yang, Xite, 2022. "The correlations among COVID-19, the effect of public opinion, and the systemic risks of China’s financial industries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    93. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    94. di Mauro, Filippo & Fornari, Fabio & Mannucci, Dario, 2011. "Stock market firm-level information and real economic activity," Working Paper Series 1366, European Central Bank.
    95. Storti, Giuseppe & Wang, Chao, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper 115266, University Library of Munich, Germany.
    96. Yunmi Kim & Lijuan Huo & Tae-Hwan Kim, 2020. "Dealing with Markov-Switching Parameters in Quantile Regression Models," Working papers 2020rwp-166, Yonsei University, Yonsei Economics Research Institute.
    97. Khalifa, Ahmed & Caporin, Massimiliano & Hammoudeh, Shawkat, 2017. "The relationship between oil prices and rig counts: The importance of lags," Energy Economics, Elsevier, vol. 63(C), pages 213-226.
    98. Yunyun Wang & Tatsushi Oka & Dan Zhu, 2023. "Distributional Vector Autoregression: Eliciting Macro and Financial Dependence," Papers 2303.04994, arXiv.org.
    99. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
    100. Fabio Busetti & Michele Caivano & Lisa Rodano, 2015. "On the conditional distribution of euro area inflation forecast," Temi di discussione (Economic working papers) 1027, Bank of Italy, Economic Research and International Relations Area.
    101. Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2019. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers hal-02292323, HAL.
    102. Cheng, Sheng & Deng, MingJie & Liang, Ruibin & Cao, Yan, 2023. "Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies," Resources Policy, Elsevier, vol. 82(C).
    103. Julio Gálvez & Javier Mencía, 2018. "Conditional Return Asymmetries in the Sovereign-Bank Nexus," Working Papers wp2018_1813, CEMFI.
    104. Dongming Jiang & Fang Jia, 2022. "Extreme Spillover between Green Bonds and Clean Energy Markets," Sustainability, MDPI, vol. 14(10), pages 1-15, May.
    105. Dong Jin Lee & Tae-Hwan Kim & Paul Mizen, 2020. "Impulse response analysis in conditional quantile models with an application to monetary policy," Discussion Papers 2020/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    106. Helena Chuliá & Rangan Gupta & Jorge M. Uribe & Mark E. Wohar, 2016. "Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach," Working Papers 201656, University of Pretoria, Department of Economics.
    107. Gong, Yuting & Li, Xiao & Xue, Wenjun, 2023. "The impact of EPU spillovers on the bond market volatility: Global evidence," Finance Research Letters, Elsevier, vol. 55(PB).
    108. Haojianxiong Yu & Jianjian Shen & Chuntian Cheng & Jia Lu & Huaxiang Cai, 2023. "Multi-Objective Optimal Long-Term Operation of Cascade Hydropower for Multi-Market Portfolio and Energy Stored at End of Year," Energies, MDPI, vol. 16(2), pages 1-21, January.
    109. Su, Tong & Zhang, Zuopeng (Justin) & Lin, Boqiang, 2022. "Green bonds and conventional financial markets in China: A tale of three transmission modes," Energy Economics, Elsevier, vol. 113(C).
    110. Ophélie Couperier & Jérémy Leymarie, 2020. "Backtesting Expected Shortfall via Multi-Quantile Regression," Working Papers halshs-01909375, HAL.
    111. Christis Katsouris, 2023. "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers 2305.11282, arXiv.org, revised Jul 2023.
    112. Schüler, Yves S., 2020. "The impact of uncertainty and certainty shocks," Discussion Papers 14/2020, Deutsche Bundesbank.
    113. Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan, 2015. "Factorisable Sparse Tail Event Curves," SFB 649 Discussion Papers SFB649DP2015-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    114. Ghysels, Eric & Liu, Hanwei, 2017. "Downside Risk in the Chinese Stock Market - Has it Fundamentally Changed?," CEPR Discussion Papers 12180, C.E.P.R. Discussion Papers.
    115. Çevik, Emre & Çevik, Emrah İsmail & Dibooglu, Sel & Cergibozan, Raif & Bugan, Mehmet Fatih & Destek, Mehmet Akif, 2022. "Connectedness and risk spillovers between crude oil and clean energy stock markets," MPRA Paper 117558, University Library of Munich, Germany.
    116. Sessi Tokpavi & Christophe Boucher, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," EconomiX Working Papers 2018-39, University of Paris Nanterre, EconomiX.
    117. Liu, Bing-Yue & Fan, Ying & Ji, Qiang & Hussain, Nazim, 2022. "High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system," Energy Economics, Elsevier, vol. 105(C).
    118. Weijia Xu & Aihua Li & Lu Wei, 2022. "The Impact of COVID-19 on China’s Capital Market and Major Industry Sectors," Annals of Data Science, Springer, vol. 9(5), pages 983-1007, October.
    119. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    120. Su, Ender & Wong, Kai Wen, 2018. "Measuring bank downside systemic risk in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 172-193.
    121. Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
    122. Kanga, Désiré & Soumaré, Issouf & Amenounvé, Edoh, 2023. "Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market," Emerging Markets Review, Elsevier, vol. 55(C).
    123. G'abor Petneh'azi, 2019. "Quantile Convolutional Neural Networks for Value at Risk Forecasting," Papers 1908.07978, arXiv.org, revised Sep 2020.
    124. Timo Dimitriadis & Tobias Fissler & Johanna Ziegel, 2020. "The Efficiency Gap," Papers 2010.14146, arXiv.org, revised Sep 2022.
    125. Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
    126. Li, Yanshuang & Zhuang, Xintian & Wang, Jian & Dong, Zibing, 2021. "Analysis of the impact of COVID-19 pandemic on G20 stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    127. Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022. "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    128. Tan, Xueping & Geng, Yong & Vivian, Andrew & Wang, Xinyu, 2021. "Measuring risk spillovers between oil and clean energy stocks: Evidence from a systematic framework," Resources Policy, Elsevier, vol. 74(C).
    129. Sam Langfield, 2020. "Bridge over Troubled Monetary Union: A Reply to De Grauwe & Ji," Journal of Common Market Studies, Wiley Blackwell, vol. 58(S1), pages 1-10, September.
    130. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    131. Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Jammazi, Rania, 2019. "Spillovers from oil to precious metals: Quantile approaches," Resources Policy, Elsevier, vol. 61(C), pages 508-521.
    132. Jean-Paul Chavas, 2021. "The dynamics and volatility of prices in multiple markets: a quantile approach," Empirical Economics, Springer, vol. 60(4), pages 1607-1628, April.
    133. Dong, Xiyong & Li, Changhong & Yoon, Seong-Min, 2020. "Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    134. Jiang, Wen & Xu, Qiuhua & Zhang, Ruige, 2022. "Tail-event driven network of cryptocurrencies and conventional assets," Finance Research Letters, Elsevier, vol. 46(PB).
    135. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "The risk management approach to macro-prudential policy," Working Paper Series 2565, European Central Bank.
    136. Montes-Rojas, Gabriel, 2017. "Reduced form vector directional quantiles," Journal of Multivariate Analysis, Elsevier, vol. 158(C), pages 20-30.
    137. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A novel risk management perspective for macroprudential policy," Research Bulletin, European Central Bank, vol. 87.
    138. Giuseppe Storti & Chao Wang, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," Papers 2207.04595, arXiv.org, revised Feb 2023.
    139. Sulkhan Chavleishvili & Simone Manganelli, 2024. "Forecasting and stress testing with quantile vector autoregression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
    140. Panagiotis Tzouvanas & Renatas Kizys & Ioannis Chatziantoniou & Roza Sagitova, 2019. "Can Variations in Temperature Explain the Systemic Risk of European Firms?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(4), pages 1723-1759, December.
    141. Geraci, Marco Valerio & Garbaravičius, Tomas & Veredas, David, 2018. "Short selling in extreme events," Journal of Financial Stability, Elsevier, vol. 39(C), pages 90-103.
    142. Zongwu Cai & Ying Fang & Dingshi Tian, 2024. "CAViaR Model Selection Via Adaptive Lasso," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202403, University of Kansas, Department of Economics, revised Jan 2024.
    143. Uribe, Jorge M. & Chuliá, Helena & Guillén, Montserrat, 2017. "Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 52-68.
    144. Lin Han & Ivor Cribben & Stefan Trueck, 2022. "Extremal Dependence in Australian Electricity Markets," Papers 2202.09970, arXiv.org.
    145. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Aygun, Gurcan & Wohar, Mark E., 2021. "Effectives of Monetary Policy under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies," IZA Discussion Papers 14420, Institute of Labor Economics (IZA).
    146. Massaporn Cheuathonghua & Chaiyuth Padungsaksawasdi & Pattana Boonchoo & Jittima Tongurai, 2019. "Extreme spillovers of VIX fear index to international equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 1-38, March.
    147. Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    148. Baruník, Jozef & Čech, František, 2021. "Measurement of common risks in tails: A panel quantile regression model for financial returns," Journal of Financial Markets, Elsevier, vol. 52(C).
    149. Donald Lien & Zijun Wang, 2019. "Quantile information share," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 38-55, January.
    150. Cho, Dooyeon & Han, Heejoon, 2021. "The tail behavior of safe haven currencies: A cross-quantilogram analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    151. Feng, Haoyuan & Liu, Yue & Wu, Jie & Guo, Kun, 2023. "Financial market spillovers and macroeconomic shocks: Evidence from China," Research in International Business and Finance, Elsevier, vol. 65(C).
    152. Zhou, Dong-hai & Liu, Xiao-xing & Tang, Chun & Yang, Guang-yi, 2023. "Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    153. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    154. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 21(1), pages 1-72.
    155. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Leibniz Institute for Financial Research SAFE.
    156. Jean‐Paul Chavas & Fanghui Pan, 2020. "The Dynamics and Volatility of Prices in a Vertical Sector," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(1), pages 353-369, January.
    157. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2021. "Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).
    158. Nikolaos A. Kyriazis, 2021. "The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation," Sustainability, MDPI, vol. 13(10), pages 1-25, May.

  14. Manganelli, Simone & Hoffmann, Peter & Garcia-de-Andoain, Carlos, 2014. "Fragmentation in the euro overnight unsecured money market," Working Paper Series 1755, European Central Bank.

    Cited by:

    1. Zaghini, Andrea, 2016. "Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?," CFS Working Paper Series 530, Center for Financial Studies (CFS).
    2. Fecht, Falko & Peydró, José-Luis & Abbassi, Puriya & Bräuning, Falk, 2015. "Cross-Border Liquidity, Relationships and Monetary Policy: Evidence from the Euro Area Interbank Crisis," CEPR Discussion Papers 10479, C.E.P.R. Discussion Papers.
    3. Silvia Gabrieli & Claire Labonne, 2018. "Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015," Working papers 687, Banque de France.
    4. Wolski, Marcin & van de Leur, Michiel, 2016. "Interbank loans, collateral and modern monetary policy," Working Paper Series 1959, European Central Bank.
    5. Co-Pierre Georg & Silvia Gabrieli, 2015. "A Network View on Interbank Market Freezes," Working Papers 488, Economic Research Southern Africa.
    6. Jean-Christophe Poutineau & Gauthier Vermandel, 2018. "Global banking and the conduct of macroprudential policy in a monetary union," Post-Print halshs-01525396, HAL.
    7. Andrea Zaghini, 2017. "A tale of fragmentation: corporate funding in the euro-area bond market," Temi di discussione (Economic working papers) 1104, Bank of Italy, Economic Research and International Relations Area.
    8. Jan Kakes & Jan Willem van den End, 2023. "Identifying financial fragmentation: do sovereign spreads in the EMU reflect differences in fundamentals?," Working Papers 778, DNB.
    9. Noth, Felix & Ossandon Busch, Matias, 2019. "Banking globalization, local lending, and labor market effects: Micro-level evidence from Brazil," IWH Discussion Papers 7/2017, Halle Institute for Economic Research (IWH), revised 2019.
    10. Ranaldo, Angelo & Wrampelmeyer, Jan, 2016. "Unsecured and Secured Funding," Working Papers on Finance 1616, University of St. Gallen, School of Finance.
    11. Badarau, Cristina & Carias, Marcos & Figuet, Jean-Marc, 2020. "Cross-border spillovers of macroprudential policy in the Euro area," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 1-13.
    12. Blattner Tobias S. & Swarbrick Jonathan M., 2021. "Monetary Policy and Cross-Border Interbank Market Fragmentation: Lessons from the Crisis," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(1), pages 323-368, January.
    13. Kolev, Atanas & Maurin, Laurent & Ségol, Matthieu, 2019. "What firms don't like about bank loans: New evidence from survey data," EIB Working Papers 2019/07, European Investment Bank (EIB).
    14. A. Colangelo & D. Giannone & M. Lenza & H. Pill & L. Reichlin, 2017. "The national segmentation of euro area bank balance sheets during the financial crisis," Empirical Economics, Springer, vol. 53(1), pages 247-265, August.
    15. Philip R. Lane & Gian Maria Milesi-Ferretti, 2018. "The External Wealth of Nations Revisited: International Financial Integration in the Aftermath of the Global Financial Crisis," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(1), pages 189-222, March.
    16. Ehrmann, Michael & Fratzscher, Marcel, 2017. "Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 26-44.
    17. Robert L. Hetzel, 2016. "What Caused the Great Recession in the Eurozone?," Working Paper 16-10, Federal Reserve Bank of Richmond.
    18. Michael Ehrmann & Marcel Fratzscher, 2015. "Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis," Discussion Papers of DIW Berlin 1479, DIW Berlin, German Institute for Economic Research.
    19. Susanna Saroyan & Lilit Popoyan, 2017. "Bank-sovereign ties against interbank market integration: the case of the Italian segment," LEM Papers Series 2017/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    20. Chang, Kai & Chen, Rongda & Chevallier, Julien, 2018. "Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots," Energy Economics, Elsevier, vol. 75(C), pages 249-260.
    21. Edoardo Rainone, 2017. "Pairwise trading in the money market during the European sovereign debt crisis," Temi di discussione (Economic working papers) 1160, Bank of Italy, Economic Research and International Relations Area.
    22. Abbassi, Puriya & Bräuning, Falk & Fecht, Falko & Peydró, José-Luis, 2022. "Cross-border interbank liquidity, crises, and monetary policy," Journal of International Economics, Elsevier, vol. 139(C).
    23. Guo, Wen & Liu, Xiaorui, 2022. "Market fragmentation of energy resource prices and green total factor energy efficiency in China," Resources Policy, Elsevier, vol. 76(C).
    24. Atanas Kolev & Laurent Maurin & Matthieu Segol, 2022. "What Makes Firms Dissatisfied with Their Bank Loans: New Evidence from Survey Data," Journal of Financial Services Research, Springer;Western Finance Association, vol. 61(3), pages 407-430, June.
    25. Baldo, Luca & Heider, Florian & Hoffmann, Peter & Sigaux, Jean-David & Vergote, Olivier, 2022. "How do banks manage liquidity? Evidence from the ECB’s tiering experiment," Working Paper Series 2732, European Central Bank.

  15. Ghysels, Eric & Manganelli, Simone & , & Idier, Julien, 2013. "A high frequency assessment of the ECB Securities Markets Programme," CEPR Discussion Papers 9778, C.E.P.R. Discussion Papers.

    Cited by:

    1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
    2. António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Working Papers REM 2017/02, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    3. Christoph Trebesch & Jeromin Zettelmeyer, 2014. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," CESifo Working Paper Series 4731, CESifo.
    4. Anastasios Evgenidis & Stephanos Papadamou, 2021. "The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5684-5703, October.
    5. Antal, Mark & Kaszab, Lorant, 2022. "Spillovers from the European Central Bank's asset purchases to countries in Central and Eastern Europe," Economic Modelling, Elsevier, vol. 113(C).
    6. Francesco Paolo Mongelli & Gonzalo Camba-Mendez, 2018. "The Financial Crisis and Policy Responses in Europe (2007–2018)," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(4), pages 531-558, December.
    7. Demetrio Lacava & Luca Scaffidi Domianello, 2021. "The Incidence of Spillover Effects during the Unconventional Monetary Policies Era," JRFM, MDPI, vol. 14(6), pages 1-18, May.
    8. Dirk Broeders & Leo de Haan & Jan Willem van den End, 2022. "How QE changes the nature of sovereign risk," Working Papers 737, DNB.
    9. Marco Casiraghi & Eugenio Gaiotti & Lisa Rodano & Alessandro Secchi, 2013. "The impact of unconventional monetary policy on the Italian economy during the sovereign debt crisis," Questioni di Economia e Finanza (Occasional Papers) 203, Bank of Italy, Economic Research and International Relations Area.
    10. Kristina Bluwstein & Fabio Canova, 2016. "Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures," International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 69-120, September.
    11. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2021. "Are all Central Bank Asset Purchases the Same? Different Rationales, Different Effects," SciencePo Working papers Main hal-03554141, HAL.
    12. Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "The bond market impact of the South African Reserve Bank bond purchase programme," Working Papers 11024, South African Reserve Bank.
    13. Pateiro-Rodríguez, Carlos & Freire-Seoane, María Jesús & López-Bermúdez, Beatriz & Pateiro-López, Carlos, 2020. "Análisis de la tendencia a la liquidez del agregado monetario M3 en la eurozona: 1997-2018," El Trimestre Económico, Fondo de Cultura Económica, vol. 87(345), pages 171-201, enero-mar.
    14. Mark Antal & Lorant Kaszab, 2021. "Spillover Effects of the European Central Bank's Expanded Asset Purchase Program to Non-eurozone Countries in Central and Eastern Europe," MNB Occasional Papers 2021/140, Magyar Nemzeti Bank (Central Bank of Hungary).
    15. Christophe Blot & Paul Hubert & Jérôme Creel & Caroline Bozou, 2023. "The conditionality of monetary policy instruments," Working Papers hal-04159848, HAL.
    16. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    17. Falagiarda, Matteo & Reitz, Stefan, 2015. "Announcements of ECB unconventional programs: Implications for the sovereign spreads of stressed euro area countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 276-295.
    18. P.A.V.B. Swamy & Stephen G. Hall & George S. Tavlas & I-Lok Chang & Heather D. Gibson & William H. Greene & Jatinder S. Mehta, 2016. "A Method for Measuring Treatment Effects on the Treated without Randomization," Econometrics, MDPI, vol. 4(2), pages 1-23, March.
    19. Ortmans, Aymeric & Tripier, Fabien, 2021. "COVID-induced sovereign risk in the euro area: When did the ECB stop the spread?," European Economic Review, Elsevier, vol. 137(C).
    20. Petra Gerlach-Kristen, 2015. "The impact of ECB crisis measures on euro-area CDS spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(2), pages 149-168, May.
    21. Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 2225, European Central Bank.
    22. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," CEPR Discussion Papers 13411, C.E.P.R. Discussion Papers.
    23. Antonio Afonso & Mina Kazemi, 2018. "Euro Area Sovereign Yields and the Power of Unconventional Monetary Policy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(2), pages 100-119, April.
    24. Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The Effect of ECB Monetary Policies on Interest Rates and Volumes," Sciences Po publications 2015-26, Sciences Po.
    25. Giannone, Domenico & Altavilla, Carlo & Lenza, Michele, 2014. "The financial and macroeconomic effects of OMT announcements," Working Paper Series 1707, European Central Bank.
    26. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series 90, European Systemic Risk Board.
    27. Kerstin Bernoth & Marcel Fratzscher & Philipp König, 2014. "Schwache Preisentwicklung und Deflationsgefahr im Euroraum: Grenzen der konventionellen Geldpolitik," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 81(12), pages 235-249.
    28. Marco Bernardini & Annalisa De Nicola, 2020. "The market stabilization role of central bank asset purchases: high-frequency evidence from the COVID-19 crisis," Temi di discussione (Economic working papers) 1310, Bank of Italy, Economic Research and International Relations Area.
    29. Jäger, Jannik & Grigoriadis, Theocharis, 2016. "Soft budget constraints, European Central Banking and the financial crisis," Discussion Papers 2016/7, Free University Berlin, School of Business & Economics.
    30. Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015. "The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012," Working Papers 199, Bank of Greece.
    31. R.J. Galema & S. Lugo, 2017. "When central banks buy corporate bonds:: Target selection and impact of the European Corporate Sector Purchase Program," Working Papers 17-16, Utrecht School of Economics.
    32. John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers 1101, Board of Governors of the Federal Reserve System (U.S.).
    33. Albertazzi, Ugo & Barbiero, Francesca & Marqués-Ibáñez, David & Popov, Alexander & Rodriguez d’Acri, Costanza & Vlassopoulos, Thomas, 2020. "Monetary policy and bank stability: the analytical toolbox reviewed," Working Paper Series 2377, European Central Bank.
    34. Renaud Beaupain & Alexandre Girard, 2020. "The value of understanding central bank communication," Post-Print hal-02509297, HAL.
    35. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Leibniz Institute for Financial Research SAFE, revised 2018.
    36. Havlik, Annika & Heinemann, Friedrich & Helbig, Samuel & Nover, Justus, 2021. "Dispelling the shadow of fiscal dominance? Fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic," ZEW Discussion Papers 21-050, ZEW - Leibniz Centre for European Economic Research.
    37. G.M. Gallo & D. Lacava & E. Otranto, 2020. "Measuring the Effects of Unconventional Policies on Stock Market Volatility," Working Paper CRENoS 202006, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    38. Daragh Clancy & Carmine Gabriele & Diana Zigraiova, 2020. "Sovereign bond market spillovers from crisis-time developments in Greece," Working Papers 45, European Stability Mechanism.
    39. Carnazza, Giovanni & Liberati, Paolo, 2021. "The asymmetric impact of the pandemic crisis on interest rates on public debt in the Eurozone," Journal of Policy Modeling, Elsevier, vol. 43(3), pages 521-542.
    40. Reuven Glick & Sylvain Leduc, 2018. "Unconventional Monetary Policy and the Dollar: Conventional Signs, Unconventional Magnitudes," International Journal of Central Banking, International Journal of Central Banking, vol. 14(5), pages 103-152, December.
    41. Andreas Beyer & Benoît Coeuré & Caterina Mendicino, 2017. "Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 494-495-4, pages 45-64.
    42. Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
    43. Hülsewig, Oliver & Rottmann, Horst, 2021. "Euro area periphery countries' fiscal policy and monetary policy surprises," Weidener Diskussionspapiere 81, University of Applied Sciences Amberg-Weiden (OTH).
    44. Urszula Szczerbowicz, 2012. "The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments?," Working Papers 2012-36, CEPII research center.
    45. Bletzinger, Tilman & Greif, William & Schwaab, Bernd, 2022. "Can EU bonds serve as euro-denominated safe assets?," Working Paper Series 2712, European Central Bank.
    46. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2022. "The Conditional Path of Central Bank Asset Purchases," Working papers 885, Banque de France.
    47. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    48. Metrick, Andrew, 2019. "European Central Bank Tools and Policy Actions B: Asset Purchase Programs," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 1(3), pages 82-112, March.
    49. Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
    50. W. Arrata & B. Nguyen, 2017. "Price impact of bond supply shocks: Evidence from the Eurosystem's asset purchase program," Working papers 623, Banque de France.
    51. Oussama Kchaou & Makram Bellalah & Sofiane Tahi, 2022. "Transmission of the Greek crisis on the sovereign debt markets in the euro area," Annals of Operations Research, Springer, vol. 313(2), pages 1117-1139, June.
    52. Dwyer, Gerald P. & Gilevska, Biljana & Nieto, Maria J. & Samartín, Margarita, 2023. "The effects of the ECB’s unconventional monetary policies from 2011 to 2018 on banking assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 87(C).
    53. Rossi, Barbara, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?," CEPR Discussion Papers 14064, C.E.P.R. Discussion Papers.
    54. Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto, 2022. "Unconventional policies effects on stock market volatility: The MAP approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1245-1265, November.
    55. Gibran Watfe, 2015. "The Impact of the ECB's Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area," Bruges European Economic Research Papers 35, European Economic Studies Department, College of Europe.
    56. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
    57. Jäger, Jannik & Grigoriadis, Theocharis, 2017. "The effectiveness of the ECB’s unconventional monetary policy: Comparative evidence from crisis and non-crisis Euro-area countries," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 21-43.
    58. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
    59. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2017. "Eurozone bond market dynamics, ECB monetary policy and financial stress," Working Papers hal-03458554, HAL.
    60. Florens Odendahl & Maria Sole Pagliari & Adrian Penalver & Barbara Rossi & Giulia Sestieri, 2023. "Euro Area Monetary Policy Effects. Does the Shape of the Yield Curve Matter?," Working papers 912, Banque de France.
    61. Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae, 2013. "Unconventional Monetary Policy of the ECB during the Financial Crisis: An Assessment and New Evidence," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 4, pages 117-156, SUERF - The European Money and Finance Forum.
    62. Jakob Korbinian Eberl, 2016. "The Collateral Framework of the Eurosystem and Its Fiscal Implications," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69.
    63. Arthur Korus, 2019. "Spillover Effects from the ECB's Unconventional Monetary Policies: The Case of Denmark, Norway and Sweden," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 5(1), pages 53-78, January.
    64. Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
    65. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
    66. Wedow, Michael & Koetter, Michael & Podlich, Natalia, 2017. "Inside asset purchase programs: the effects of unconventional policy on banking competition," Working Paper Series 2017, European Central Bank.
    67. Michael Ehrmann & Marcel Fratzscher, 2015. "Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis," Discussion Papers of DIW Berlin 1479, DIW Berlin, German Institute for Economic Research.
    68. Lubomira Gertler, 2015. "Interactions of Unconventional Monetary Policy Measures with the Euro Area Yield Curve," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(2), pages 106-126, March.
    69. policy, Work stream on macroprudential & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas, 2021. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
    70. Aymeric Ortmans & Fabien Tripier, 2020. "COVID-Induced Sovereign Risk in the Euro Area: When Did the ECB Stop the Contagion?," Working Papers 2020-11, CEPII research center.
    71. Doran, David & Dunne, Peter & Monks, Allen & O'Reilly, Gerard, 2013. "Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?," Research Technical Papers 07/RT/13, Central Bank of Ireland.
    72. Francesco Molteni, 2015. "Liquidity, Government Bonds and Sovereign Debt Crises," Working Papers 2015-32, CEPII research center.
    73. Goodhead, Robert, 2018. "The Effect of ECB Policy Announcements on Sovereign Yields: A Return to Normal Transmission?," Economic Letters 4/EL/18, Central Bank of Ireland.
    74. Fuertes, Ana-Maria & Kalotychou, Elena & Saka, Orkun, 2014. "ECB Policy and Eurozone Fragility: Was De Grauwe Right?," CEPS Papers 9414, Centre for European Policy Studies.
    75. Francisco Gomes Pereira, 2023. "Balance Sheet Expansionary Policies in the Euro Area: Macroeconomic Impacts and a Vulnerable versus Non-Vulnerable Comparison - A Bayesian Structural VAR Approach," Working Papers REM 2023/0259, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    76. Juan Ángel García & Ricardo Gimeno, 2014. "Flight-to-liquidity flows in the euro area sovereign debt crisis," Working Papers 1429, Banco de España.
    77. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Leibniz Institute for Financial Research SAFE.
    78. Smith, Ariel, 2020. "The European Central Bank's Securities Markets Programme (ECB GFC)," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 2(3), pages 369-381, April.
    79. Motto, Roberto & Özen, Kadir, 2022. "Market-stabilization QE," Working Paper Series 2640, European Central Bank.
    80. Schwaab, Bernd & Eser, Fabian, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
    81. António Afonso, & Manish K. Singh, 2016. "Is the supply of long-term debt independent of the term premia? Evidence from Portugal," Working Papers Department of Economics 2016/11, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    82. Eser, Fabian & Schwaab, Bernd, 2016. "Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme," Journal of Financial Economics, Elsevier, vol. 119(1), pages 147-167.
    83. De Santis, Roberto A. & Holm-Hadulla, Fédéric, 2017. "Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment," Working Paper Series 2052, European Central Bank.
    84. Zhang, Hanyu & Dufour, Alfonso, 2019. "Modeling intraday volatility of European bond markets: A data filtering application," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 131-146.
    85. Houssam Bouzgarrou & Tarek Chebbi, 2016. "The reaction of sovereign CDS spread volatilities to news announcements," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 347-360, September.
    86. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2017. "Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 14-31.

  16. Yener Altunbas & Simone Manganelli & David Marques-Ibanez, 2012. "Bank Risk during the Financial Crisis: Do business models matter?," Working Papers 12003, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).

    Cited by:

    1. Foly Ananou & Dimitris Chronopoulos & Amine Tarazi & John O S Wilson, 2023. "Liquidity Regulation and Bank Risk," Working Papers hal-03366418, HAL.
    2. Jiang, Hai & Yuan, Chao, 2022. "Monetary policy, capital regulation and bank risk-taking:Evidence from China," Journal of Asian Economics, Elsevier, vol. 82(C).
    3. Baselga-Pascual, Laura & Trujillo-Ponce, Antonio & Cardone-Riportella, Clara, 2015. "Factors influencing bank risk in Europe: Evidence from the financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 138-166.
    4. Abou-El-Sood, Heba, 2021. "Board gender diversity, power, and bank risk taking," International Review of Financial Analysis, Elsevier, vol. 75(C).
    5. Vincent Bouvatier & Michael Brei & Xi Yang, 2014. "Bank Failures and the Source of Strength Doctrine," Working Papers hal-04141351, HAL.
    6. Vincenzo D’Apice & Giovanni Ferri & Punziana Lacitignola, 2016. "Rating Performance and Bank Business Models: Is There a Change with the 2007–2009 Crisis?," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 2(3), pages 385-420, November.
    7. Rustam Sultanov & Umidjon Duskobilov, 2021. "Bank Risk Profile and Horizons in Financing Investment Projects: A Case Study of Selected Banks in Uzbekistan," International Journal of Management Science and Business Administration, Inovatus Services Ltd., vol. 7(5), pages 38-42, July.
    8. Yener Altunbas & Michiel van Leuvensteijn & David Marques-Ibanez, 2013. "Competition And Bank Risk: The Role Of Securitization And Bank Capital," Working Papers 13005, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    9. Mergaerts, Frederik & Vander Vennet, Rudi, 2016. "Business models and bank performance: A long-term perspective," Journal of Financial Stability, Elsevier, vol. 22(C), pages 57-75.
    10. Paul Ovidiu Handro, 2019. "Business Models and Banking Regulation Are Going Forward," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 168-178.
    11. Alin Marius Andries & Andreas M. Fischer & Dr. Pinar Yesin, 2015. "The impact of international swap lines on stock returns of banks in emerging markets," Working Papers 2015-07, Swiss National Bank.
    12. Simona Galletta & Sebastiano Mazzù & Valeria Naciti & Carlo Vermiglio, 2021. "Sustainable development and financial institutions: Do banks' environmental policies influence customer deposits?," Business Strategy and the Environment, Wiley Blackwell, vol. 30(1), pages 643-656, January.
    13. Michal Skorepa & Jakub Seidler, 2014. "Capital Buffers Based on Banks' Domestic Systemic Importance: Selected Issues," Research and Policy Notes 2014/01, Czech National Bank.
    14. Badunenko, Oleg & Kumbhakar, Subal C. & Lozano‐Vivas, Ana, 2021. "Achieving a sustainable cost-efficient business model in banking: The case of European commercial banks," European Journal of Operational Research, Elsevier, vol. 293(2), pages 773-785.
    15. Košak, Marko & Li, Shaofang & Lončarski, Igor & Marinč, Matej, 2015. "Quality of bank capital and bank lending behavior during the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 168-183.
    16. Alistair Milne, 2013. "Distance to Default and the Financial Crisis," Discussion Paper Series 2013_03, Department of Economics, Loughborough University, revised Jun 2013.
    17. Roberto Ercegovac & Mario Pečarić & Ivica Klinac, 2020. "Bank Risk Profiles and Business Model Characteristics," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(3), pages 107-121.
    18. Jorge E. Galán, 2021. "CREWS: a CAMELS-based early warning system of systemic risk in the banking sector," Occasional Papers 2132, Banco de España.
    19. Robert M. Bushman & Bradley E. Hendricks & Christopher D. Williams, 2016. "Bank Competition: Measurement, Decision‐Making, and Risk‐Taking," Journal of Accounting Research, Wiley Blackwell, vol. 54(3), pages 777-826, June.
    20. González, Luis Otero & Razia, Alaa & Búa, Milagros Vivel & Sestayo, Rubén Lado, 2017. "Competition, concentration and risk taking in Banking sector of MENA countries," Research in International Business and Finance, Elsevier, vol. 42(C), pages 591-604.
    21. Bogdan Căpraru & Iulian Ihnatov & Nicoleta-Livia Pintilie, 2021. "Bank Competition And Risk-Taking In The European Union: Evidence Of A Non-Linear Relationship," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 66(230), pages 35-66, July – Se.
    22. Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah, 2017. "Are Non-Conventional Banks More Resilient than Conventional Ones to Financial Crisis?," Working Papers hal-01455752, HAL.
    23. Luigi Infante & Stefano Piermattei & Raffaele Santioni & Bianca Sorvillo, 2020. "Diversifying away risks through derivatives: an analysis of the Italian banking system," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 621-657, July.
    24. Harald Hau & Sam Langfield & David Marques-Ibanez, 2013. "Bank ratings: what determines their quality? [Bank risk during the financial crisis: do business models matter?]," Economic Policy, CEPR;CES;MSH, vol. 28(74), pages 289-333.
    25. Michelangelo Puliga & Andrea Flori & Giuseppe Pappalardo & Alessandro Chessa & Fabio Pammolli, 2016. "The Accounting Network: How Financial Institutions React to Systemic Crisis," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-14, October.
    26. Diana Zigraiova, 2016. "NManagement Board Composition of Banking Institutions and Bank Risk-Taking: The Case of the Czech Republic," Working Papers IES 2016/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2016.
    27. Gambacorta, Leonardo & Altunbas, Yener & Marqués-Ibáñez, David, 2012. "Do bank characteristics influence the effect of monetary policy on bank risk?," Working Paper Series 1427, European Central Bank.
    28. Eva A. Arnold & Ingrid Größl & Philipp Koziol, 2015. "Market Discipline Across Bank Governance Models. Empirical Evidence from German Depositors," Macroeconomics and Finance Series 201502, University of Hamburg, Department of Socioeconomics.
    29. Karolina Puławska, 2021. "The Effect of Bank Levy Introduction on Commercial Banks in Europe," JRFM, MDPI, vol. 14(6), pages 1-26, June.
    30. Andries, Alin Marius & Brown, Martin, 2014. "Credit Booms and Busts in Emerging Markets: The Role of Bank Governance and Risk Managment," Working Papers on Finance 1414, University of St. Gallen, School of Finance.
    31. Katarzyna Sum, 2015. "Banking regulation and bank performance in the EU – what should be the scope of the regulatory reform?," Bank i Kredyt, Narodowy Bank Polski, vol. 46(3), pages 207-236.
    32. Theoharry Grammatikos & Robert Vermeulen, 2014. "The 2007--2009 financial crisis: changing market dynamics and the impact of credit supply and aggregate demand sensitivity," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 895-911, March.
    33. María Cantero Sáiz & Sergio Sanfilippo Azofra & Begoña Torre Olmo, 2019. "The single supervision mechanism and contagion between bank and sovereign risk," Journal of Regulatory Economics, Springer, vol. 55(1), pages 67-106, February.
    34. Roberto Savona, 2022. "Bank business models, negative policy rates, and prudential regulation," Annals of Finance, Springer, vol. 18(3), pages 355-392, September.
    35. Jordan van Rijn & Shuwei Zeng & Brent Hueth, 2023. "Do credit unions have distinct objectives? Evidence from executive compensation structures," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 94(1), pages 5-38, March.
    36. Apergis, Nicholas, 2014. "The long-term role of non-traditional banking in profitability and risk profiles: Evidence from a panel of U.S. banking institutions," Journal of International Money and Finance, Elsevier, vol. 45(C), pages 61-73.
    37. Michael Brei & Blaise Gadanecz, 2012. "Have public bailouts made banks' loan books safer?," BIS Quarterly Review, Bank for International Settlements, September.
    38. De Bruyckere, V. & Gerhardt, M. & Schepens, G., 2012. "Bank/sovereign Risk Spillovers in the European Debt Crisis," Other publications TiSEM 71b16c7d-81a7-4572-afcb-b, Tilburg University, School of Economics and Management.
    39. Adonis Antoniades, 2015. "Commercial bank failures during The Great Recession: the real (estate) story," BIS Working Papers 530, Bank for International Settlements.
    40. Nicolas Soenen & Rudi Vander Vennet, 2020. "ECB Monetary Policy and Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/997, Ghent University, Faculty of Economics and Business Administration.
    41. Ghosh, Saibal, 2017. "Does central bank governors term in office matter for macroprudential policies? Evidence from MENA banks," Research in International Business and Finance, Elsevier, vol. 40(C), pages 34-51.
    42. Rungporn Roengpitya & Nikola Tarashev & Kostas Tsatsaronis & Alan Villegas, 2017. "Bank business models: popularity and performance," BIS Working Papers 682, Bank for International Settlements.
    43. Wilko Bolt & David B. Humphrey, 2013. "Competition in bank-provided payment services," Working Papers 13-17, Federal Reserve Bank of Philadelphia.
    44. Soenen, Nicolas & Vander Vennet, Rudi, 2022. "ECB monetary policy and bank default risk☆," Journal of International Money and Finance, Elsevier, vol. 122(C).
    45. Hryckiewicz, Aneta & Kozłowski, Łukasz, 2017. "Banking business models and the nature of financial crisis," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 1-24.
    46. Dima, Bogdan & Dincă, Marius Sorin & Spulbăr, Cristi, 2014. "Financial nexus: Efficiency and soundness in banking and capital markets," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 100-124.
    47. AAlessio Reghezza & Jonathan Williams & Alessio Bongiovanni & Riccardo Santamaria, 2019. "Do Negative Interest Rates Affect Bank Risk-Taking?," Working Papers 19012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    48. H. Dewachter & G. de Walque & M. Emiris & P. Ilbas & J. Mitchell & R. Wouters, 2012. "Endogenous financial risk : The seventh international conference of the NBB," Economic Review, National Bank of Belgium, issue iii, pages 135-146, December.
    49. A. Burietz & L. Ureche-Rangau, 2020. "Better the devil you know: Home and sectoral biases in bank lending," International Economics, CEPII research center, issue 164, pages 69-85.
    50. Alzuabi, Raslan & Caglayan, Mustafa & Mouratidis, Kostas, 2020. "The Risk-Taking Channel in the US: A GVAR Approach," MPRA Paper 101391, University Library of Munich, Germany.
    51. Moratis, Georgios & Sakellaris, Plutarchos, 2021. "Measuring the systemic importance of banks," Journal of Financial Stability, Elsevier, vol. 54(C).
    52. Emilia Bonaccorsi di Patti & Francesco Palazzo, 2020. "Bank profitability and macroeconomic conditions: Are business models different?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    53. Thuy Thu Nguyen & Hai Hong Ho & Duy Van Nguyen & Anh Cam Pham & Trang Thu Nguyen, 2021. "The Effects of Business Model on Bank’s Stability," IJFS, MDPI, vol. 9(3), pages 1-12, August.
    54. Anani, Makafui & Owusu, Felix, 2023. "Regulatory capital and bank risk-resilience amid the Covid-19 pandemic: How are the Basel reforms faring?," Finance Research Letters, Elsevier, vol. 52(C).
    55. Wu, Ji & Chen, Limei & Chen, Minghua & Jeon, Bang Nam, 2020. "Diversification, efficiency and risk of banks: Evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 45(C).
    56. Mohsni, Sana & Otchere, Isaac, 2018. "Does regulatory regime matter for bank risk taking? A comparative analysis of US and Canada," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 1-16.
    57. Biron Miguel & Felipe Córdova & Antonio Lemus, 2019. "Banks’ Business Model and Credit Supply in Chile: The Role of a State-Owned Bank," EconomiX Working Papers 2019-11, University of Paris Nanterre, EconomiX.
    58. Stefano Cosma & Riccardo Ferretti & Elisabetta Gualandri & Andrea Landi & Valeria Venturelli, 2017. "How Does Financial Market Evaluate Business Models? Evidence From European Banks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0063, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    59. Gamze Ozturk Danisman & Amine Tarazi, 2021. "Economic policy uncertainty and bank stability," Working Papers hal-03259298, HAL.
    60. Nguyen, Thanh Cong, 2023. "Wholesale funding and bank stability: The impact of economic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 65(C).
    61. Lartey, Theophilus & James, Gregory A. & Danso, Albert & Boateng, Agyenim, 2022. "Bank business models, failure risk and earnings opacity: A short- versus long-term perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
    62. Thomas J. Carter, 2017. "Optimal Interbank Regulation," Staff Working Papers 17-48, Bank of Canada.
    63. Teixeira, João C.A. & Matos, Tiago F.A. & da Costa, Gui L.P. & Fortuna, Mário J.A., 2020. "Investor protection, regulation and bank risk-taking behavior," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    64. Buch, Claudia M. & Hilberg, Björn & Tonzer, Lena, 2014. "Taxing banks: An evaluation of the German bank levy," Discussion Papers 38/2014, Deutsche Bundesbank.
    65. Juha-Pekka Niinimäki, 2014. "Relationship Lending, Bank Competition and Financial Stability," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 8(3), pages 102-124, December.
    66. Francesco Cusano & Giuseppe Marinelli & Stefano Piermattei, 2021. "Learning from revisions: a tool for detecting potential errors in banks' balance sheet statistical reporting," Questioni di Economia e Finanza (Occasional Papers) 611, Bank of Italy, Economic Research and International Relations Area.
    67. Matthias Köhler, 2014. "Does non‐interest income make banks more risky? Retail‐ versus investment‐oriented banks," Review of Financial Economics, John Wiley & Sons, vol. 23(4), pages 182-193, November.
    68. Aamir Aijaz Syed & Muhammad Abdul Kamal & Assad Ullah & Simon Grima, 2022. "An Asymmetric Analysis of the Influence That Economic Policy Uncertainty, Institutional Quality, and Corruption Level Have on India’s Digital Banking Services and Banking Stability," Sustainability, MDPI, vol. 14(6), pages 1-21, March.
    69. Pak, Olga, 2019. "The impact of state ownership and business models on bank stability: Empirical evidence from the Eurasian Economic Union," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 161-175.
    70. Elekdag, Selim & Malik, Sheheryar & Mitra, Srobona, 2020. "Breaking the Bank? A Probabilistic Assessment of Euro Area Bank Profitability," Journal of Banking & Finance, Elsevier, vol. 120(C).
    71. Lagasio, Valentina & Quaranta, Anna Grazia, 2022. "Cluster analysis of bank business models: The connection with performance, efficiency and risk," Finance Research Letters, Elsevier, vol. 47(PA).
    72. Handro Paul Ovidiu, 2018. "Opinions Regarding Business Model In The European Banking System," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 0, pages 193-197, December.
    73. Keiichiro Koda & Kazuo Yamada, 2018. "Determinants of Underwriting Fees by New Entrant Banks: Evidence from the Japanese IPO Underwriting Market," Financial Management, Financial Management Association International, vol. 47(2), pages 285-307, June.
    74. Khan, Safi Ullah, 2022. "Financing constraints and firm-level responses to the COVID-19 pandemic: International evidence," Research in International Business and Finance, Elsevier, vol. 59(C).
    75. Götz, Martin & Krahnen, Jan Pieter & Tröger, Tobias, 2017. "Five years after the Liikanen Report: What have we learned?," SAFE White Paper Series 50, Leibniz Institute for Financial Research SAFE.
    76. Frederik Mergaerts & Rudi Vander Vennet, 2015. "Business Models And Their Impact On Bank Performance: A Long-Term Perspective," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/908, Ghent University, Faculty of Economics and Business Administration.
    77. Alin Marius Andries & Martin Brown, 2017. "Credit booms and busts in emerging markets," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 25(3), pages 377-437, July.
    78. Thomas Conlon & John Cotter, 2014. "Anatomy of a Bail-In," Papers 1403.7628, arXiv.org.
    79. Besma Hamdi & Mohamed Abdouli & Afifa Ferhi & Mouna Aloui & Sami Hammami, 2019. "The Stability of Islamic and Conventional Banks in the MENA Region Countries During the 2007–2012 Financial Crisis," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 10(1), pages 365-379, March.
    80. Mr. Selim A Elekdag & Sheheryar Malik & Ms. Srobona Mitra, 2019. "Breaking the Bank? A Probabilistic Assessment of Euro Area Bank Profitability," IMF Working Papers 2019/254, International Monetary Fund.
    81. Sascha Tobias Wengerek & Benjamin Hippert & André Uhde, 2019. "Risk allocation through securitization - Evidence from non-performing loans," Working Papers Dissertations 58, Paderborn University, Faculty of Business Administration and Economics.
    82. Ben Bouheni, Faten & Hasnaoui, Amir, 2017. "Cyclical behavior of the financial stability of eurozone commercial banks," Economic Modelling, Elsevier, vol. 67(C), pages 392-408.
    83. Köhler, Matthias, 2014. "Does non-interest income make banks more risky? Retail- versus investment-oriented banks," Review of Financial Economics, Elsevier, vol. 23(4), pages 182-193.
    84. Purificación Parrado-Martínez & Antonio Partal-Ureña & Pilar Gómez Fernández-Aguado, 2016. "Banking Soundness Indicators and Sovereign Risk in Time of Crisis: The Case of the European Union," The World Economy, Wiley Blackwell, vol. 39(8), pages 1172-1193, August.
    85. Paola Bongini & Małgorzata Iwanicz-Drozdowska & Paweł Smaga & Bartosz Witkowski, 2018. "In search of a measure of banking sector distress: empirical study of CESEE banking sectors," Risk Management, Palgrave Macmillan, vol. 20(3), pages 242-257, August.
    86. Konstantinos Drakos & Ioannis Malandrakis, 2021. "Global Versus Non-Global Banks: A Capital Ratios-Based Analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(2), pages 5-22.
    87. Shaddady, Ali & Moore, Tomoe, 2019. "Investigation of the effects of financial regulation and supervision on bank stability: The application of CAMELS-DEA to quantile regressions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 96-116.
    88. Davide Avino & Thomas Conlon & John Cotter, 2016. "Credit Default Swaps as Indicators of Bank financial Distress," Working Papers 201601, Geary Institute, University College Dublin.
    89. Bushman, Robert M. & Davidson, Robert H. & Dey, Aiyesha & Smith, Abbie, 2018. "Bank CEO materialism: Risk controls, culture and tail risk," Journal of Accounting and Economics, Elsevier, vol. 65(1), pages 191-220.
    90. Gómez, Esteban & Murcia, Andrés & Lizarazo, Angélica & Mendoza, Juan Carlos, 2020. "Evaluating the impact of macroprudential policies on credit growth in Colombia," Journal of Financial Intermediation, Elsevier, vol. 42(C).
    91. Brunella Bruno & Immacolata Marino & Giacomo Nocera, 2023. "Internal Ratings, Non-Performing Loans, and Bank Opacity: Evidence from Analysts’ Forecasts," BAFFI CAREFIN Working Papers 23195, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    92. David Grossmann & Peter Scholz, 2019. "The golden rule of banking: funding cost risks of bank business models," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(2), pages 174-196, June.
    93. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Determinants of CDS trading on major banks," Working Papers Dissertations 51, Paderborn University, Faculty of Business Administration and Economics.
    94. Altunbas, Yener & van Leuvensteijn, Michiel & Marqués-Ibáñez, David, 2014. "Competition and bank risk: the effect of securitization and bank capital," Working Paper Series 1678, European Central Bank.
    95. Laura Baselga-Pascual & Olga Del Orden-Olasagasti & Antonio Trujillo-Ponce, 2018. "Toward a More Resilient Financial System: Should Banks Be Diversified?," Sustainability, MDPI, vol. 10(6), pages 1-16, June.
    96. Köhler, Matthias, 2015. "Which banks are more risky? The impact of business models on bank stability," Journal of Financial Stability, Elsevier, vol. 16(C), pages 195-212.
    97. Oktofa Yudha Sudrajad & Georges Hübner, 2019. "Empirical evidence on bank market power, business models, stability and performance in the emerging economies," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 213-245, June.
    98. Andrieș, Alin Marius & Fischer, Andreas M. & Yeșin, Pınar, 2017. "Reprint of: The asymmetric effect of international swap lines on banks in emerging markets," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 153-172.
    99. Szybisz, Martin Andres, 2018. "Banking net income and macroeconomics, from multicollinearity to Granger causality using US data," MPRA Paper 90473, University Library of Munich, Germany.
    100. Andrieș, Alin Marius & Fischer, Andreas M. & Yeșin, Pınar, 2017. "The asymmetric effect of international swap lines on banks in emerging markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 215-234.
    101. Leo Haan & Jan Kakes, 2020. "European banks after the global financial crisis: peak accumulated losses, twin crises and business models," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(3), pages 197-211, September.
    102. Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2016. "Bank Business Models at Zero Interest Rates," Tinbergen Institute Discussion Papers 16-066/IV, Tinbergen Institute.
    103. Raslan Alzuabi & Mustafa Caglayan & Kostas Mouratidis, 2021. "The risk‐taking channel in the United States: A GVAR approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5826-5849, October.
    104. Bolt, Wilko & Humphrey, David, 2015. "A frontier measure of U.S. banking competition," European Journal of Operational Research, Elsevier, vol. 246(2), pages 450-461.
    105. Michiel Bijlsma & Jasper Lukkezen & Kristina Marinova, 2014. "Measuring too-big-to-fail funding advantages from small banks’ CDS spreads," CPB Discussion Paper 268, CPB Netherlands Bureau for Economic Policy Analysis.
    106. Mimoza Shabani & Carmela D'Avino, 2020. "A new approach to measuring universal banking," Bulletin of Economic Research, Wiley Blackwell, vol. 72(4), pages 353-379, October.
    107. Köhler, Matthias, 2013. "Does non-interest income make banks more risky? Retail- versus investment-oriented banks," Discussion Papers 17/2013, Deutsche Bundesbank.
    108. Simona Galletta & Sebastiano Mazzù, 2019. "Liquidity Risk Drivers and Bank Business Models," Risks, MDPI, vol. 7(3), pages 1-18, August.
    109. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "State - owned banks from Romania," MPRA Paper 52768, University Library of Munich, Germany, revised Jan 2013.
    110. Ajay Palvia & Emilia Vähämaa & Sami Vähämaa, 2015. "Are Female CEOs and Chairwomen More Conservative and Risk Averse? Evidence from the Banking Industry During the Financial Crisis," Journal of Business Ethics, Springer, vol. 131(3), pages 577-594, October.
    111. Giuliana Birindelli & Paola Ferretti & Marco Savioli, 2016. "Basel 3: Does One Size Really Fit All Banks' Business Models?," Working Paper series 16-20, Rimini Centre for Economic Analysis.
    112. Dutra, Tiago M. & Teixeira, João C.A. & Dias, José Carlos, 2023. "Banking regulation and banks’ risk-taking behavior: The role of investors’ protection," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 124-148.
    113. Biron Miguel & Felipe Córdova & Antonio Lemus, 2019. "Banks’ Business Model and Credit Supply in Chile: The Role of a State-Owned Bank," Working Papers hal-04141896, HAL.
    114. M. Bijlsma & J.H.J. Lukkezen & K. Marinova, 2014. "Measuring too-big-to-fail funding advantages from small banks’ CDS spreads," Working Papers 14-03, Utrecht School of Economics.
    115. Giovanna Paladino & Zeno Rotondi, 2020. "Banking business models and risk: Findings from the ECB's comprehensive assessment," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(2), July.
    116. Köhler, Matthias, 2018. "An analysis of non-traditional activities at German savings banks: Does the type of fee and commission income matter?," Discussion Papers 01/2018, Deutsche Bundesbank.
    117. Muhammad Ali & Chin-Hong Puah, 2018. "Does Bank Size and Funding Risk Effect Banks’ Stability? A Lesson from Pakistan," Global Business Review, International Management Institute, vol. 19(5), pages 1166-1186, October.
    118. Alberto Dreassi & Stefano Miani & Andrea Paltrinieri & Alex Sclip, 2018. "Bank-Insurance Risk Spillovers: Evidence from Europe," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(1), pages 72-96, January.
    119. Emanuel Barnea & Moshe Kim, 2014. "Dynamics of Banks' Capital Accumulation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 779-816, June.
    120. Rungporn Roengpitya & Nikola Tarashev & Kostas Tsatsaronis, 2014. "Bank business models," BIS Quarterly Review, Bank for International Settlements, December.
    121. Robert Ferstl & David Seres, 2012. "Clustering Austrian Banks’ Business Models and Peer Groups in the European Banking Sector," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24, pages 79-95.
    122. Xuewen Liu, 2023. "A Model of Systemic Bank Runs," Journal of Finance, American Finance Association, vol. 78(2), pages 731-793, April.

  17. Beirne, John & Tapking, Jens & Sahel, Benjamin & Sušec, Matjaž & Monar, Fernando & Manganelli, Simone & Grothe, Magdalena & Ejsing, Jacob & Dalitz, Lars & Vong, Tana, 2011. "The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets," Occasional Paper Series 122, European Central Bank.

    Cited by:

    1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
    2. Yunus Aksoy & Henriqu S Basso, 2012. "Liquidity, Term Spreads and Monetary Policy," Birkbeck Working Papers in Economics and Finance 1211, Birkbeck, Department of Economics, Mathematics & Statistics.
    3. Kristina Bluwstein & Fabio Canova, 2016. "Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures," International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 69-120, September.
    4. Philipp Hartman & Frank Smets, 2018. "The European Central Bank’s Monetary Policy during Its First 20 Years," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 1-146.
    5. Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2016. "Asset Encumbrance, Bank Funding, and Financial Fragility," VfS Annual Conference 2016 (Augsburg): Demographic Change 145782, Verein für Socialpolitik / German Economic Association.
    6. Ali Rıza Güngen, 2016. "Whatever it takes? The European Central Bank's Sovereign Debt Interventions in the Eurozone Crisis," Yildiz Social Science Review, Yildiz Technical University, vol. 2(2), pages 39-52.
    7. João M. Pinto & Mafalda C. Correia, 2017. "Are Covered Bonds Different from Asset Securitization Bonds?," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
    8. Falagiarda, Matteo & Reitz, Stefan, 2013. "Announcements of ECB unconventional programs: Implications for the sovereign risk of Italy," Kiel Working Papers 1866, Kiel Institute for the World Economy (IfW Kiel).
    9. Falagiarda, Matteo & Reitz, Stefan, 2015. "Announcements of ECB unconventional programs: Implications for the sovereign spreads of stressed euro area countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 276-295.
    10. Boneva, Lena & de Roure, Calebe & Morley, Ben, 2018. "The impact of the Bank of England’s Corporate Bond Purchase Scheme on yield spreads," Bank of England working papers 719, Bank of England.
    11. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," CEPR Discussion Papers 13411, C.E.P.R. Discussion Papers.
    12. Adrian van Rixtel & Luna Romo González & Jing Yang, 2016. "The determinants of long-term debt issuance by European banks: evidence of two crises," Working Papers 1621, Banco de España.
    13. Torój, Andrzej & Bednarek, Elżbieta & Bęza-Bojanowska, Joanna & Osińska, Joanna & Waćko, Katarzyna & Witkowski, Dariusz, 2012. "EMU: the (post-)crisis perspective. Literature survey and implications for the euro-candidates," MF Working Papers 12, Ministry of Finance in Poland, revised 06 Mar 2012.
    14. Florentina Melnic, 2017. "The Financial Crisis Response. Comparative Analysis Between European Union And Usa," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 19, pages 129-155, June.
    15. Luna Azahara Romo González, 2016. "The drivers of European banks’ US dollar debt issuance: opportunistic funding in times of crisis?," Working Papers 1611, Banco de España.
    16. Garcia-Appendini, Emilia & Gatti, Stefano & Nocera, Giacomo, 2023. "Does asset encumbrance affect bank risk? Evidence from covered bonds," Journal of Banking & Finance, Elsevier, vol. 146(C).
    17. Cawley, Cormac & Finnegan, Marie, 2019. "Transmission channels of central bank asset purchases in the Irish economy," MPRA Paper 96547, University Library of Munich, Germany.
    18. Kenji Suganuma & Yoichi Ueno, 2018. "The Effects of the Bank of Japan's Corporate and Government Bond Purchases on Credit Spreads," IMES Discussion Paper Series 18-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
    19. Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015. "The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012," Working Papers 199, Bank of Greece.
    20. McQuade, Peter & Falagiarda, Matteo & Tirpák, Marcel, 2015. "Spillovers from the ECB's non-standard monetary policies on non-euro area EU countries: evidence from an event-study analysis," Working Paper Series 1869, European Central Bank.
    21. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    22. Cormac Cawley & Marie Finnegan, 2019. "Transmission Channels of Central Bank Asset Purchases in the Irish Economy," Economies, MDPI, vol. 7(4), pages 1-25, September.
    23. Kristóf Lehmann, 2012. "International experiences with unconventional central bank instruments," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 7(2), pages 24-30, June.
    24. Boneva, Lena & Islami, Mevlud & Schlepper, Kathi, 2021. "Liquidity in the German corporate bond market: Has the CSPP made a difference?," Discussion Papers 08/2021, Deutsche Bundesbank.
    25. Adam Elbourne & Kan Ji & Sem Duijndam, 2018. "The effects of unconventional monetary policy in the euro area," CPB Discussion Paper 371, CPB Netherlands Bureau for Economic Policy Analysis.
    26. Helberg, Stig & Lindset, Snorre, 2016. "Risk protection from risky collateral: Evidence from the euro bond market," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 193-213.
    27. Kartik Anand & James Chapman & Prasanna Gai, 2012. "Covered bonds, core markets, and financial stability," SFB 649 Discussion Papers SFB649DP2012-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    28. Andreas Beyer & Benoît Coeuré & Caterina Mendicino, 2017. "Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 494-495-4, pages 45-64.
    29. Smith, Ariel, 2020. "The European Central Bank's Covered Bond Purchase Programs I and II (ECB GFC)," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 2(3), pages 382-404, April.
    30. Eva Liebmann & Joe Peek, 2015. "Global standards for liquidity regulation," Current Policy Perspectives 15-3, Federal Reserve Bank of Boston.
    31. Martina Cecioni & Giuseppe Ferrero & Alessandro Secchi, 2011. "Unconventional Monetary Policy in Theory and in Practice," Questioni di Economia e Finanza (Occasional Papers) 102, Bank of Italy, Economic Research and International Relations Area.
    32. Claudio Borio & Anna Zabai, 2018. "Unconventional monetary policies: a re-appraisal," Chapters, in: Peter Conti-Brown & Rosa M. Lastra (ed.), Research Handbook on Central Banking, chapter 20, pages 398-444, Edward Elgar Publishing.
    33. Urszula Szczerbowicz, 2012. "The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments?," Working Papers 2012-36, CEPII research center.
    34. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    35. Kristóf Lehmann & Róbert Mátrai & György Pulai, 2013. "Measures taken by the Federal Reserve System and the European Central Bank during the crisis," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 8(Special), pages 98-107, October.
    36. Adam Elbourne, 2019. "SVARs, the central bank balance sheet and the effects of unconventional monetary policy in the euro area," CPB Discussion Paper 407, CPB Netherlands Bureau for Economic Policy Analysis.
    37. Zaghini, Andrea, 2014. "Bank bonds: Size, systemic relevance and the sovereign," CFS Working Paper Series 454, Center for Financial Studies (CFS).
    38. Lena Boneva & David Elliott & Iryna Kaminska & Oliver Linton & Nick McLaren & Ben Morley, 2022. "The Impact of Corporate QE on Liquidity: Evidence from the UK," The Economic Journal, Royal Economic Society, vol. 132(648), pages 2615-2643.
    39. Metrick, Andrew, 2019. "European Central Bank Tools and Policy Actions B: Asset Purchase Programs," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 1(3), pages 82-112, March.
    40. LUPU, Radu & CALIN, Adrian Cantemir, 2014. "Co-Movements Of Regime Shifts In Gbp Currency Pairs Around Boe Quantitative Easing Announcements," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(3), pages 89-101.
    41. Giulia RIVOLTA, 2014. "An Event Study Analysis of ECB Unconventional Monetary Policy," Departmental Working Papers 2014-02, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    42. Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2017. "Asset encumbrance, bank funding and fragility," ESRB Working Paper Series 52, European Systemic Risk Board.
    43. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2017. "Structural Factor Analysis of Interest Rate Pass Through In Four Large Euro Area Economies," Working Papers in Economics 17/07, University of Canterbury, Department of Economics and Finance.
    44. Ewald Nowotny, 2012. "Der Euro - Vergangenheit, Gegenwart, Zukunft," Wirtschaft und Gesellschaft - WuG, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik, vol. 38(2), pages 273-284.
    45. Eser, Fabian & Carmona Amaro, Marta & Iacobelli, Stefano & Rubens, Marc, 2012. "The use of the Eurosystem's monetary policy instruments and operational framework since 2009," Occasional Paper Series 135, European Central Bank.
    46. Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae, 2013. "Unconventional Monetary Policy of the ECB during the Financial Crisis: An Assessment and New Evidence," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 4, pages 117-156, SUERF - The European Money and Finance Forum.
    47. Jakob Korbinian Eberl, 2016. "The Collateral Framework of the Eurosystem and Its Fiscal Implications," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69.
    48. Gil Nogueira & Luísa Farinha & Laura Blattner, 2016. "The Effect of Quantitative Easing on Lending Conditions," Working Papers w201608, Banco de Portugal, Economics and Research Department.
    49. Jens Dick-Nielsen & Jacob Gyntelberg, 2019. "Highly Liquid Mortgage Bonds Using the Match Funding Principle," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-37, December.
    50. Puonti, Päivi, 2019. "Data-driven structural BVAR analysis of unconventional monetary policy," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
    51. Bank for International Settlements, 2015. "Central bank operating frameworks and collateral markets," CGFS Papers, Bank for International Settlements, number 53, december.
    52. Markmann, Holger & Zietz, Joachim, 2017. "Determining the effectiveness of the Eurosystem’s Covered Bond Purchase Programs on secondary markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 314-327.
    53. Adam Elbourne & Kan Ji, 2019. "Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?," CPB Discussion Paper 391, CPB Netherlands Bureau for Economic Policy Analysis.
    54. Manfred Kremer, 2016. "Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area," International Economics and Economic Policy, Springer, vol. 13(1), pages 105-138, January.
    55. Borrallo Egea, Fructuoso & Hierro, Luis Ángel, 2019. "Transmission of monetary policy in the US and EU in times of expansion and crisis," Journal of Policy Modeling, Elsevier, vol. 41(4), pages 763-783.
    56. Pablo Burriel & Alessandro Galesi, 2016. "Uncovering the heterogeneous effects of ecb unconventional monetary policies across euro area countries," Working Papers 1631, Banco de España.
    57. Brett W. Fawley & Christopher J. Neely, 2013. "Four stories of quantitative easing," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 51-88.
    58. Marco Passarella, 2013. "Financial Integration in the European Union: an Analysis of ECB’s role," Working papers wpaper04, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    59. Schuster, Philipp & Uhrig-Homburg, Marliese, 2015. "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 143-159.

  18. Lutz KILIAN & Simone MANGANELLI, 2010. "Quantifying the Risk of Deflation," EcoMod2004 330600076, EcoMod.

    Cited by:

    1. Eric Ghysels & Leonardo Iania & Jonas Striaukas, 2018. "Quantile-based Inflation Risk Models," Working Paper Research 349, National Bank of Belgium.
    2. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss," Working Papers 201903, University of Pretoria, Department of Economics.
    3. Lutz Kilian & Simone Manganelli, 2008. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1103-1129, September.
    4. Knüppel, Malte & Schultefrankenfeld, Guido, 2011. "How informative are central bank assessments of macroeconomic risks?," Discussion Paper Series 1: Economic Studies 2011,13, Deutsche Bundesbank.
    5. Christiane Baumeister & Lutz Kilian, 2012. "Real-Time Analysis of Oil Price Risks Using Forecast Scenarios," Staff Working Papers 12-1, Bank of Canada.
    6. Nicholas Apergis, 2023. "Forecasting energy prices: Quantile‐based risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 17-33, January.
    7. Ryan Niladri Banerjee & Juan Contreras & Aaron Mehrotra & Fabrizio Zampolli, 2020. "Inflation at risk in advanced and emerging economies," BIS Working Papers 883, Bank for International Settlements.
    8. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
    9. Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
    10. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2011. "Extracting deflation probability forecasts from Treasury yields," Working Paper Series 2011-10, Federal Reserve Bank of San Francisco.
    11. Akhand Hossain, 2014. "Monetary policy, inflation, and inflation volatility in Australia," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 36(4), pages 745-780.
    12. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
    13. Yamin Ahmad & Olena Mykhaylova, 2015. "Exploring International Differences in Inflation Dynamics," Working Papers 15-01, UW-Whitewater, Department of Economics, revised Mar 2017.
    14. Jean-François Bégin, 2016. "Deflation Risk and Implications for Life Insurers," Risks, MDPI, vol. 4(4), pages 1-36, December.
    15. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    16. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
    17. Gimeno, Ricardo & Ibáñez, Alfredo, 2018. "The eurozone (expected) inflation: An option's eyes view," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 70-92.
    18. Akhand Akhtar Hossain, 2015. "The Evolution of Central Banking and Monetary Policy in the Asia-Pacific," Books, Edward Elgar Publishing, number 14611.
    19. Anthony Garratt & Ivan Petrella, 2022. "Commodity prices and inflation risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.
    20. Bob Nobay & Ivan Paya & David A. Peel, 2010. "Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 135-150, February.
    21. Constantin Anghelache & Marius Popovici & Alina – Georgiana Solomon & Emilia Stanciu, 2017. "Aggregates in Real Expression and Price Indices by Deflation," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(6), pages 1053-1060, June.
    22. Arize, Augustine C. & Malindretos, John, 2012. "Nonstationarity and nonlinearity in inflation rate: Some further evidence," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 224-234.

  19. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2010. "VAR for VaR: measuring systemic risk using multivariate regression quantiles," MPRA Paper 35372, University Library of Munich, Germany.

    Cited by:

    1. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
    2. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    3. Adams, Zeno & Füss, Roland & Gropp, Reint, 2014. "Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 575-598, June.
    4. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    5. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2013. "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers SFB649DP2013-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Carlos Castro & Stijn Ferrari, 2012. "Measuring and testing for the systemically important financial institutions," Working Paper Research 228, National Bank of Belgium.
    7. Wuyi Ye & Kebing Luo & Shaofu Du, 2014. "Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-12, June.
    8. Kok, Christoffer & Gross, Marco, 2013. "Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR," Working Paper Series 1570, European Central Bank.
    9. Li Wang, 2019. "The Risk Spillover Effects of Securities Companies in China’s Capital Market with the CoVaR Method," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(3), pages 1-7.
    10. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," JRFM, MDPI, vol. 9(3), pages 1-25, July.
    11. Kraft, Holger & Schmidt, Alexander, 2013. "Systemic risk in the financial sector: What can se learn from option markets?," SAFE Working Paper Series 25, Leibniz Institute for Financial Research SAFE.
    12. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.

  20. Cappiello, Lorenzo & Manganelli, Simone & Kadareja, Arjan, 2008. "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series 906, European Central Bank.

    Cited by:

    1. Mevlud Islami & Paul Welfens, 2013. "Financial market integration, stock markets and exchange rate dynamics in Eastern Europe," International Economics and Economic Policy, Springer, vol. 10(1), pages 47-79, March.
    2. Bussière, M. & Chudik, A. & Mehl, A., 2011. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro's creation?," Working papers 336, Banque de France.
    3. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2011. "The euro and corporate financing," Bank of Finland Research Discussion Papers 6/2011, Bank of Finland.
    4. Abdurofi, Ilmas, 2021. "Capital Gain Predictability Using Financial Ratios: A Case Study of Agribusiness Stocks," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 9(4), October.
    5. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2011. "The Euro and Corporate Financing," CEPR Discussion Papers 8227, C.E.P.R. Discussion Papers.

  21. Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2008. "Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR," Working Paper Series 957, European Central Bank.

    Cited by:

    1. Bouri, Elie & Shahzad, Syed Jawad Hussain & Raza, Naveed & Roubaud, David, 2018. "Oil volatility and sovereign risk of BRICS," Energy Economics, Elsevier, vol. 70(C), pages 258-269.
    2. Charle Augusto Londoño, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 62-109, July.
    3. Katarzyna Kopczewska, 2014. "L-moments skewness and kurtosis as measures of regional convergence and cohesion," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(4), pages 251-266, November.
    4. Habert white & Tae-Hwan Kim & Simone Manganelli, 2012. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers 2012rwp-45, Yonsei University, Yonsei Economics Research Institute.
    5. Krishnakumar, Jaya & Kabili, Andi & Roko, Ilir, 2012. "Estimation of SEM with GARCH errors," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3153-3181.
    6. Lee, Sangyeol & Meintanis, Simos G. & Pretorius, Charl, 2022. "Monitoring procedures for strict stationarity based on the multivariate characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    7. Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2013. "Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV [A GARCH model with autor," MPRA Paper 46328, University Library of Munich, Germany.
    8. Pradhan, Ashis Kumar & Tiwari, Aviral Kumar, 2021. "Estimating the market risk of clean energy technologies companies using the expected shortfall approach," Renewable Energy, Elsevier, vol. 177(C), pages 95-100.
    9. Wuyi Ye & Kebing Luo & Shaofu Du, 2014. "Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-12, June.
    10. Syed Jawad Hussain Shahzad & Naveed Raza & David Roubaud & Jose Arreola Hernandez & Stelios Bekiros, 2019. "Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit," Post-Print hal-02352004, HAL.
    11. Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
    12. Moratis, Georgios & Sakellaris, Plutarchos, 2021. "Measuring the systemic importance of banks," Journal of Financial Stability, Elsevier, vol. 54(C).
    13. Huo, Lijuan & Kim, Tae-Hwan & Kim, Yunmi, 2012. "Robust estimation of covariance and its application to portfolio optimization," Finance Research Letters, Elsevier, vol. 9(3), pages 121-134.
    14. Tae-Hwan Kim & Christophe Muller, 2012. "Bias Transmission and Variance Reduction in Two-Stage Quantile Regression," Working Papers halshs-00793372, HAL.
    15. Zongwu Cai & Xiyuan Liu, 2020. "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202017, University of Kansas, Department of Economics, revised Oct 2020.
    16. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," JRFM, MDPI, vol. 9(3), pages 1-25, July.
    17. Ashoka Mody & Milan Nedeljkovic, 2018. "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis," CESifo Working Paper Series 7400, CESifo.
    18. Santos, Carlos, 2011. "The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis," MPRA Paper 31341, University Library of Munich, Germany.
    19. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
    20. Hubner, Stefan, 2016. "Topics in nonparametric identification and estimation," Other publications TiSEM 08fce56b-3193-46e0-871b-0, Tilburg University, School of Economics and Management.
    21. Ophélie Couperier & Jérémy Leymarie, 2020. "Backtesting Expected Shortfall via Multi-Quantile Regression," Working Papers halshs-01909375, HAL.
    22. Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan, 2015. "Factorisable Sparse Tail Event Curves," SFB 649 Discussion Papers SFB649DP2015-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    23. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2010. "VAR for VaR: measuring systemic risk using multivariate regression quantiles," MPRA Paper 35372, University Library of Munich, Germany.
    24. Ashoka Mody & Milan Nedeljkovic, 2018. "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis," Working Papers 253, Princeton University, Department of Economics, Center for Economic Policy Studies..
    25. Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Jammazi, Rania, 2019. "Spillovers from oil to precious metals: Quantile approaches," Resources Policy, Elsevier, vol. 61(C), pages 508-521.
    26. Durán-Vázquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2012. "Un modelo GARCH con asimetría condicional autorregresiva para modelar series de tiempo: Una aplicación para el Indice de Precios y Cotizaciones [A GARCH model with autorregresive conditional asymme," MPRA Paper 42548, University Library of Munich, Germany.
    27. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 21(1), pages 1-72.
    28. Massimiliano Frezza & Sergio Bianchi & Augusto Pianese, 2022. "Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process," Computational Management Science, Springer, vol. 19(1), pages 99-132, January.

  22. De Santis, Roberto A. & Cappiello, Lorenzo & Baltzer, Markus & Manganelli, Simone, 2008. "Measuring financial integration in new EU Member States," Occasional Paper Series 81, European Central Bank.

    Cited by:

    1. di Mauro, Filippo & Kaufmann, Robert K. & Karadeloglou, Pavlos, 2008. "Will oil prices decline over the long run?," Occasional Paper Series 98, European Central Bank.
    2. Pungulescu, Crina, 2013. "Measuring financial market integration in the European Union: EU15 vs. New Member States," Emerging Markets Review, Elsevier, vol. 17(C), pages 106-124.
    3. Haug, Peter (Ed.) & Rosenfeld, Martin T. W. (Ed.) & Weiß, Dominik (Ed.), 2012. "Zur Zukunft der kommunalen Wohnungspolitik in Deutschland und Europa. Tagungsband: Referate und Diskussionen im Rahmen des 3. Halleschen Kolloquiums zur Kommunalen Wirtschaft am 5. und 6. November 200," IWH-Sonderhefte 3/2012, Halle Institute for Economic Research (IWH).
    4. Irina Bunda, 2008. "The Changing Role of the Exchange Rate in a Globalised Economy," Post-Print halshs-00285807, HAL.
    5. Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(1), pages 3-22.
    6. Gómez-Salvador, Ramón & Leiner-Killinger, Nadine, 2008. "An analysis of youth unemployment in the euro area," Occasional Paper Series 89, European Central Bank.
    7. Hoffmann, Peter & Kremer, Manfred & Zaharia, Sonia, 2020. "Financial integration in Europe through the lens of composite indicators," Economics Letters, Elsevier, vol. 194(C).
    8. Delphine Lahet, 2009. "Les Banques Étrangères En Asie Du Sud-Est : Le Rôle Des Local Claims," Working Papers hal-00616577, HAL.
    9. Dorrucci, Ettore & Meyer-Cirkel, Alexis & Santabárbara, Daniel, 2009. "Domestic financial development in emerging economies: evidence and implications," Occasional Paper Series 102, European Central Bank.
    10. Sturm, Michael & Adolf, Petra & Peschel, Dominik & Stráský, Jan, 2008. "The Gulf Cooperation Council countries: economic structures, recent developments and role in the global economy," Occasional Paper Series 92, European Central Bank.
    11. Trabandt, Mathias & Attinasi, Maria Grazia & Stark, Jürgen & Lalouette, Laure & Nickel, Christiane & Valenta, Vilém & van Riet, Ad & Leiner-Killinger, Nadine & Afonso, António & Warmedinger, Thomas & , 2010. "Euro area fiscal policies and the crisis," Occasional Paper Series 109, European Central Bank.
    12. Indermit S Gill & Naotaka Sugawara & Juan Zalduendo, 2014. "The Center Still Holds: Financial Integration in the Euro Area," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(3), pages 351-375, September.
    13. Taglioni, Daria & Straub, Roland & Bussière, Matthieu & Pérez-Barreiro, Emilia, 2010. "Protectionist responses to the crisis – global trends and implications," Occasional Paper Series 110, European Central Bank.
    14. Blattner, Tobias Sebastian & Catenaro, Marco & Ehrmann, Michael & Strauch, Rolf & Turunen, Jarkko, 2008. "The predictability of monetary policy," Occasional Paper Series 83, European Central Bank.
    15. Krzysztof Beck & Piotr Stanek, 2019. "Globalization or Regionalization of Stock Markets? the Case of Central and Eastern European Countries," Eastern European Economics, Taylor & Francis Journals, vol. 57(4), pages 317-330, July.
    16. Ritter, Raymond, 2009. "Transnational governance in global finance: the principles for stable capital flows and fair debt restructuring in emerging markets," Occasional Paper Series 103, European Central Bank.
    17. Hubrich, Kirstin & Karlsson, Tohmas, 2010. "Trade consistency in the context of the Eurosystem projection exercises - an overview," Occasional Paper Series 108, European Central Bank.
    18. Van Nieuwenhuyze, Christophe & Benk, Szilard & Rünstler, Gerhard & Cristadoro, Riccardo & Den Reijer, Ard & Jakaitiene, Audrone & Jelonek, Piotr & Rua, António & Ruth, Karsten & Barhoumi, Karim, 2008. "Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise," Occasional Paper Series 84, European Central Bank.
    19. Ovidiu Stoica & Mark J. Perry & Seyed Mehdian, 2015. "An Empirical Analysis of the Diffusion of Information across Stock Markets of Central and Eastern Europe," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(2), pages 192-210.
    20. König, Jörg & Ohr, Renate, 2012. "Messung ökonomischer Integration in der Europäischen Union: Entwicklung eines EU-Integrationsindexes," University of Göttingen Working Papers in Economics 135, University of Goettingen, Department of Economics.
    21. Vitale, Giovanni & Moutot, Philippe, 2009. "Monetary policy strategy in a global environment," Occasional Paper Series 106, European Central Bank.
    22. Strauch, Rolf & Gómez-Salvador, Ramón & Ward-Warmedinger, Melanie & Turunen, Jarkko & Leiner-Killinger, Nadine & Masuch, Klaus, 2008. "Labour supply and employment in the euro area countries: developments and challenges," Occasional Paper Series 87, European Central Bank.
    23. Filippo Di Mauro & Katrin Forster, "undated". "Globalisation and the competitiveness of the Euro area," Working Papers 5, Department of the Treasury, Ministry of the Economy and of Finance.
    24. Roland Beck & Michael Fidora, 2008. "The impact of sovereign wealth funds on global financial markets," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 43(6), pages 349-358, November.
    25. Cappiello, Lorenzo & Ferrucci, Gianluigi, 2008. "The sustainability of China's exchange rate policy and capital account liberalisation," Occasional Paper Series 82, European Central Bank.
    26. Sturm, Michael & Gurtner, François & González Alegre, Juan, 2009. "Fiscal policy challenges in oil-exporting countries: a review of key issues," Occasional Paper Series 104, European Central Bank.
    27. Le Breton, Gwenaël & Be Duc, Louis, 2009. "Flow-of-funds analysis at the ECB: framework and applications," Occasional Paper Series 105, European Central Bank.
    28. Adalbert Winkler, 2010. "The Financial Crisis : A Wake-Up Call for Strengthening Regional Monitoring of Financial Markets and Regional Coordination of Financial Sector Policies?," Finance Working Papers 22022, East Asian Bureau of Economic Research.
    29. Giuseppe Bruno & Riccardo De Bonis, 2009. "Do financial systems converge? New evidence from household financial assets in selected OECD countries," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring financial innovation and its impact", Basel, 26-27 August 2008, volume 31, pages 383-401, Bank for International Settlements.
    30. Jan Babecký & Aleš Bulíř & Kateřina šmídková, 2009. "Sustainable real exchange rates in the new EU Member States: Is FDI a mixed blessing?," European Economy - Economic Papers 2008 - 2015 368, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    31. Hautsch, Nikolaus & Herrera, Rodrigo, 2015. "Multivariate dynamic intensity peaks-over-threshold models," CFS Working Paper Series 516, Center for Financial Studies (CFS).
    32. Winkler, Adalbert & Schokker, Hubert & Cocozza, Emidio & Herzberg, Valerie & Móré, Csaba & de Lannoy, Anthony & Gardó, Sándor & Chmielewski, Tomasz & Polgár, Éva Katalin & Habib, Maurizio Michael & Br, 2008. "Financial stability challenges in candidate countries managing the transition to deeper and more market-oriented financial systems," Occasional Paper Series 95, European Central Bank.
    33. Gabrisch, Hubert & Orlowski, Lucjan T., 2009. "A Dynamic Approach to Interest Rate Convergence in Selected Euro-candidate Countries," IWH Discussion Papers 10/2009, Halle Institute for Economic Research (IWH).
    34. Wohlmann, Monika, 2015. "Finanzmarktintegration in Mittelosteuropa: Eine empirische Analyse der integrativen Wirkung des Euro," Arbeitspapiere der FOM 55, FOM Hochschule für Oekonomie & Management.
    35. Stavarek, Daniel & Repkova, Iveta & Gajdosova, Katarina, 2011. "Theory of financial integration and achievements in the European Union," MPRA Paper 34393, University Library of Munich, Germany.
    36. Ivan Todorov & Nikolay Patonov, 2012. "A Few Regressions Onbusiness Cycle Synchronization Between Thenew Member States And The Euro Area," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 8(2), pages 9-22.
    37. Mayerlen, Frank & Sola, Pierre & Be Duc, Louis, 2008. "The monetary presentation of the euro area balance of payments," Occasional Paper Series 96, European Central Bank.
    38. Rughoo, Aarti & You, Kefei, 2016. "Asian financial integration: Global or regional? Evidence from money and bond markets," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 419-434.
    39. Caporale, Guglielmo Maria & You, Kefei & Chen, Lei, 2019. "Global and regional stock market integration in Asia: A panel convergence approach," International Review of Financial Analysis, Elsevier, vol. 65(C).
    40. Winkler, Adalbert & Polański, Zbigniew, 2008. "Russia, EU enlargement and the euro," Occasional Paper Series 93, European Central Bank.
    41. Roxana Badîrcea & Alina Manta & Ramona Pîrvu & Nicoleta Florea, 2016. "Banking Integration in European Context," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 18(42), pages 317-317, May.
    42. Poloni, Paolo & Agresti, Anna Maria & Baudino, Patrizia, 2008. "The ECB and IMF indicators for the macro-prudential analysis of the banking sector: a comparison of the two approaches," Occasional Paper Series 99, European Central Bank.
    43. Kennickell, Arthur & Fitzpatrick, Trevor & Ehrmann, Michael & Bonci, Riccardo & Museux, Jean-Marc & Honkkila, Juha & Vilmunen, Jouko & Herrala, Risto & Komprej, Irena & Jeran, Matjaž & Geršak, Uroš & , 2009. "Survey data on household finance and consumption: research summary and policy use," Occasional Paper Series 100, European Central Bank.
    44. Gianluca Gucciardi, 2022. "Measuring the relative development and integration of EU countries’ capital markets using composite indicators and cluster analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 158(4), pages 1043-1083, November.
    45. Gabrisch, Hurbert & Orlowski, Lucjan, 2009. "Interest Rate Convergence in the Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields," Working Papers 2009001, Sacred Heart University, John F. Welch College of Business.
    46. Nurboja, Bashkim & Košak, Marko, 2017. "Banking efficiency in South East Europe: Evidence for financial crises and the gap between new EU members and candidate countries," Economic Systems, Elsevier, vol. 41(1), pages 122-138.
    47. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2018. "Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 389-425, June.
    48. Dogus Emin, 2016. "Effects of Global Incidents on Dynamic Correlations of Emerging European Countries," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 4(1), pages 1-23.
    49. Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.
    50. Eirini Syngelaki, 2010. "Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance," Economics Department Working Paper Series n209-10.pdf, Department of Economics, National University of Ireland - Maynooth.
    51. Radman Peša, Anita & Brajković, Ana, 2015. "Testing The ‘Black Swan Effect’ on Croatian Stock Market Between 2000 and 2013," MPRA Paper 69223, University Library of Munich, Germany, revised 2015.
    52. Köhler-Ulbrich, Petra & Asimakopoulos, Yannis & Doyle, Nicola & Magono, Ruth & Zachary, Marie-Denise & Walko, Zoltan & Stoess, Elmar & Kok, Christoffer & Wagner, Karin & Valckx, Nico & Martínez Pagés,, 2009. "Housing finance in the euro area," Occasional Paper Series 101, European Central Bank.
    53. TOMULEASA, Ioana-Iuliana & COCRIŞ, Vasile, 2014. "Measuring The Financial Performance Of The European Systemically Important Banks," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(4), pages 31-51.
    54. Anita Radman Peša & Mejra Festić, 2012. "Testing the "EU Announcement Effect" on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010," Prague Economic Papers, Prague University of Economics and Business, vol. 2012(4), pages 450-469.
    55. Morgese Borys, Magdalena & Polgár, Éva Katalin & Zlate, Andrei, 2008. "Real convergence and the determinants of growth in EU candidate and potential candidate countries: a panel data approach," Occasional Paper Series 86, European Central Bank.
    56. Răileanu-Szeles, Monica & Albu, Lucian, 2015. "Nonlinearities and divergences in the process of European financial integration," Economic Modelling, Elsevier, vol. 46(C), pages 416-425.
    57. Slawomir Ireneusz Bukowski, 2013. "The Degree of the Polish and Slovak equity market integration with the euro area equity market," Quaderni del Dipartimento di Economia, Finanza e Statistica 115/2013, Università di Perugia, Dipartimento Economia.
    58. Burcu Erdogan, 2009. "How Does European Integration Affect the European Stock Markets?," Working Paper / FINESS 1.1a, DIW Berlin, German Institute for Economic Research.
    59. Anita Radman Peša & Elżbieta Wrońska-Bukalska & Jurica Bosna, 2017. "ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(3), pages 205-221, December.

  23. Kilian, Lutz & Manganelli, Simone, 2007. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," CEPR Discussion Papers 6031, C.E.P.R. Discussion Papers.

    Cited by:

    1. Suarez, Javier, 2022. "Growth-at-risk and macroprudential policy design," Journal of Financial Stability, Elsevier, vol. 60(C).
    2. Christian Pierdzioch & Jan-Christoph Rülke & Peter Tillmann, 2013. "Using forecasts to uncover the loss function of FOMC members," MAGKS Papers on Economics 201302, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    3. Luci Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon M. Potter, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Staff Reports 680, Federal Reserve Bank of New York.
    4. Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2023. "Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach," Working Paper Series 2833, European Central Bank.
    5. Richard G. Anderson & Kevin L. Kliesen, 2010. "FOMC learning and productivity growth (1985-2003): a reading of the record," Review, Federal Reserve Bank of St. Louis, vol. 92(Mar), pages 129-154.
    6. Andrade, P. & Fourel, V. & Ghysels, E. & Idier, I., 2013. "The financial content of inflation risks in the euro area," Working papers 437, Banque de France.
    7. Francesca Loria & Christian Matthes & Donghai Zhang, 2019. "Assessing Macroeconomic Tail Risk," Finance and Economics Discussion Series 2019-026, Board of Governors of the Federal Reserve System (U.S.).
    8. Cour-Thimann, Philippine & Jung, Alexander, 2020. "Interest rate setting and communication at the ECB," Working Paper Series 2443, European Central Bank.
    9. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
    10. Suarez, Javier, 2021. "Growth-at-risk and macroprudential policy design JEL Classification: G01, G20, G28," ESRB Occasional Paper Series 19, European Systemic Risk Board.
    11. Charles L. Evans & Jonas D. M. Fisher & François Gourio & Spencer D. Krane, 2015. "Risk Management for Monetary Policy Near the Zero Lower Bound," Working Paper Series WP-2015-3, Federal Reserve Bank of Chicago.
    12. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    13. Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2024. "Quantifying financial stability risks for monetary policy," Research Bulletin, European Central Bank, vol. 115.
    14. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the Euro Area," NBER Working Papers 14529, National Bureau of Economic Research, Inc.
    15. Nima Nonejad, 2022. "New Findings Regarding the Out-of-Sample Predictive Impact of the Price of Crude Oil on the United States Industrial Production," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 1-35, March.
    16. Ryan Niladri Banerjee & Juan Contreras & Aaron Mehrotra & Fabrizio Zampolli, 2020. "Inflation at risk in advanced and emerging economies," BIS Working Papers 883, Bank for International Settlements.
    17. Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
    18. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
    19. Petrella, Ivan & Antolin-Diaz, Juan & Rubio-Ramírez, Juan Francisco, 2018. "Structural Scenario Analysis with SVARs," CEPR Discussion Papers 12579, C.E.P.R. Discussion Papers.
    20. Andreas Beyer & Benoît Coeuré & Caterina Mendicino, 2017. "Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 494-495-4, pages 45-64.
    21. Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
    22. Alessandro Riboni & Francisco Ruge-Murcia, 2020. "The Power of the Federal Reserve Chair," Cahiers de recherche 20-2020, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    23. Bochmann, Paul & Dieckelmann, Daniel & Fahr, Stephan & Ruzicka, Josef, 2023. "Financial stability considerations in the conduct of monetary policy," Working Paper Series 2870, European Central Bank.
    24. Moccero, Diego & Gnabo, Jean-Yves, 2015. "The risk management approach to monetary policy, nonlinearity and aggressiveness: the case of the US Fed," Working Paper Series 1792, European Central Bank.
    25. Ryan Banerjee & Aaron Mehrotra, 2023. "Unanticipated and Backward-Looking: Deflations and the Behavior of Inflation Expectations," International Journal of Central Banking, International Journal of Central Banking, vol. 19(4), pages 41-83, October.
    26. Francois Gourio & Jonas Fisher, 2015. "Risk Management for Monetary Policy at the Zero Lower Bound," 2015 Meeting Papers 665, Society for Economic Dynamics.
    27. Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
    28. Akhand Hossain, 2014. "Monetary policy, inflation, and inflation volatility in Australia," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 36(4), pages 745-780.
    29. Kirstin Hubrich & Simone Manganelli, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 506-509, October.
    30. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
    31. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
    32. Manzan, Sebastiano & Zerom, Dawit, 2009. "Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?," MPRA Paper 14387, University Library of Munich, Germany.
    33. Gnabo, Jean-Yves & Moccero, Diego Nicolas, 2015. "Risk management, nonlinearity and aggressiveness in monetary policy: The case of the US Fed," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 281-294.
    34. Manzan, Sebastiano & Zerom, Dawit, 2013. "Are macroeconomic variables useful for forecasting the distribution of U.S. inflation?," International Journal of Forecasting, Elsevier, vol. 29(3), pages 469-478.
    35. Lucia Alessi & Carsten Detken, 2009. "Global liquidity as an early warning indicator for asset price boom/bust cycles," Research Bulletin, European Central Bank, vol. 8, pages 7-9.
    36. Yamin Ahmad & Olena Mykhaylova, 2015. "Exploring International Differences in Inflation Dynamics," Working Papers 15-01, UW-Whitewater, Department of Economics, revised Mar 2017.
    37. Baghestani, Hamid & Khallaf, Ashraf, 2012. "Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 222-229.
    38. Tobias Rühl, 2015. "Taylor rules revisited: ECB and Bundesbank in comparison," Empirical Economics, Springer, vol. 48(3), pages 951-967, May.
    39. Akhand Akhtar Hossain, 2015. "The Evolution of Central Banking and Monetary Policy in the Asia-Pacific," Books, Edward Elgar Publishing, number 14611.
    40. Anthony Garratt & Ivan Petrella, 2022. "Commodity prices and inflation risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.
    41. Bob Nobay & Ivan Paya & David A. Peel, 2010. "Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 135-150, February.
    42. Cour-Thimann, Philippine & Jung, Alexander, 2021. "Interest-rate setting and communication at the ECB in its first twenty years," European Journal of Political Economy, Elsevier, vol. 70(C).
    43. Jung, Alexander & Mongelli, Francesco, 2013. "Monetary policy decision-making when information search is costly," MPRA Paper 80517, University Library of Munich, Germany, revised 25 May 2016.
    44. Nima Nonejad, 2020. "A detailed look at crude oil price volatility prediction using macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1119-1141, November.
    45. David Marqués Ibañez, 2009. "Banks, credit and the transmission mechanism of monetary policy," Research Bulletin, European Central Bank, vol. 8, pages 2-4.
    46. Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    47. Francesco Ravazzolo & Philip Rothman, 2015. "Oil-Price Density Forecasts of U.S. GDP," Working Papers No 10/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    48. Große Steffen, Christoph, 2021. "Anchoring of long-term inflation expectations: Do inflation target formulations matter?," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242466, Verein für Socialpolitik / German Economic Association.
    49. Ryan Niladri Banerjee & Valerie Boctor & Aaron Mehrotra & Fabrizio Zampolli, 2023. "Fiscal sources of inflation risk in EMDEs: the role of the external channel," BIS Working Papers 1110, Bank for International Settlements.
    50. Michal Franta & Jan Libich, 2021. "Holding the Economy by the Tail: Analysis of Short- and Long-run Macroeconomic Risks," Working Papers 2021/3, Czech National Bank.
    51. Xiaochun Liu, 2018. "How is the Taylor Rule Distributed under Endogenous Monetary Regimes?," International Review of Finance, International Review of Finance Ltd., vol. 18(2), pages 305-316, June.
    52. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
    53. Arize, Augustine C. & Malindretos, John, 2012. "Nonstationarity and nonlinearity in inflation rate: Some further evidence," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 224-234.

  24. Manganelli, Simone, 2007. "Asset allocation by penalized least squares," Working Paper Series 723, European Central Bank.

    Cited by:

    1. Edgars Jakobsons & Steven Vanduffel, 2015. "Dependence Uncertainty Bounds for the Expectile of a Portfolio," Risks, MDPI, vol. 3(4), pages 1-25, December.
    2. Gonzalo, J. & Olmo, J., 2008. "Testing Downside Risk Efficiency Under Market Distress," Working Papers 08/11, Department of Economics, City University London.

  25. Manganelli, Simone & Wolswijk, Guido, 2007. "Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?," Working Paper Series 745, European Central Bank.

    Cited by:

    1. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    2. Schulz, Alexander & Wolff, Guntram B., 2009. "Sovereign bond market integration: the euro, trading platforms and financial crises," MPRA Paper 16900, University Library of Munich, Germany.
    3. Ioannidou, V. & Ongena, S. & Peydro, J.L., 2009. "Monetary Policy, Risk-Taking, and Pricing : Evidence from a Quasi-Natural Experiment," Discussion Paper 2009-31 S, Tilburg University, Center for Economic Research.
    4. Fratzscher, Marcel & Beirne, John, 2012. "The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis," CEPR Discussion Papers 9249, C.E.P.R. Discussion Papers.
    5. Jiménez, Gabriel & Ongena, Steven & Peydró, José-Luis & Saurina, Jesús, 2014. "Hazardous times for monetary policy: what do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 82(2), pages 463-505.
    6. Charles B. Blankart & Erik R. Fasten & Jörn Axel Kämmerer & Hans-Bernd Schäfer & Jörg Asmussen & Christian Tietje & Michael Kühl & Renate Ohr, 2010. "Exploding national debts, imminent state bankruptcies: What lies ahead?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(04), pages 03-23, February.
    7. Rülke, Jan-Christoph & Frenkel, Michael & Lis, Eliza, 2013. "Do budget balance rules anchor budget balance expectations? -- Some international evidence," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80050, Verein für Socialpolitik / German Economic Association.
    8. Theologos Dergiades & Costas Milas & Theodore Panagiotidis, 2013. "Tweets, Google Trends and Sovereign Spreads in the GIIPS," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 78, Hellenic Observatory, LSE.
    9. António Afonso & João Tovar Jalles, 2019. "Fiscal Rules and Government Financing Costs," Fiscal Studies, John Wiley & Sons, vol. 40(1), pages 71-90, March.
    10. Mark M. Spiegel, 2012. "Developing Asian Local Currency Bond Markets: Why and How?," Chapters, in: Masahiro Kawai & David G. Mayes & Peter Morgan (ed.), Implications of the Global Financial Crisis for Financial Reform and Regulation in Asia, chapter 11, Edward Elgar Publishing.
    11. Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2008. "Government risk premiums in the bond market: EMU and Canada," Working Paper Series 879, European Central Bank.
    12. Beker, Victor, 2014. "On the European debt crisis," MPRA Paper 59869, University Library of Munich, Germany.
    13. Gabriel Jiménez & Steven Ongena & José-Luis Peydró & Jesús Saurina, 2017. "“In the Short Run Blasé, In the Long Run Risqué”," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 18(3), pages 181-226, August.
    14. Ehrmann, Michael & Fratzscher, Marcel & Swanson, Eric & Gürkaynak, Refet S., 2007. "Convergence and anchoring of yield curves in the euro area," Working Paper Series 817, European Central Bank.
    15. Dimitris A. Georgoutsos & Petros M. Migiakis, 2009. "Benchmark bonds interactions under regime shifts," Working Papers 103, Bank of Greece.
    16. Davide Furceri & Aleksandra Zdzienicka, 2010. "The Consequences of Banking Crises for Public Debt," OECD Economics Department Working Papers 801, OECD Publishing.
    17. Ejsing, Jacob & Lemke, Wolfgang, 2009. "The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09," Working Paper Series 1127, European Central Bank.
    18. Francesco Paolo Mongelli, 2008. "European Economic and Monetary Integration, and the Optimum Currency Area Theory," European Economy - Economic Papers 2008 - 2015 302, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    19. Miguel A. Segoviano & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?," IMF Working Papers 2010/120, International Monetary Fund.
    20. Mr. Marcos Poplawski Ribeiro & Jan-Christoph Rülke, 2011. "Fiscal Expectations Under the Stability and Growth Pact: Evidence from Survey Data," IMF Working Papers 2011/048, International Monetary Fund.
    21. Loewald, Christopher & Wörgötter, Andreas, 2019. "Do monetary unions dream of structural reforms?," ECON WPS - Working Papers in Economic Theory and Policy 01/2019, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
    22. Jiménez, Gabriel & Ongena, Steven & Peydró, José-Luis & Saurina, Jesús, 2017. "‘In the Short Run Blasé, in the Long Run Risqué’. On the Effects of Monetary Policy on Bank Credit Risk-Taking in the Short versus Long Run," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 18(3), pages 181-226.
    23. António Afonso & João Jalles, 2017. "Do Fiscal Rules Lower Government Financing Costs?," Working Papers REM 2017/15, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    24. Maltritz, Dominik, 2012. "Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 657-672.
    25. Eichler, Stefan & Maltritz, Dominik, 2013. "The term structure of sovereign default risk in EMU member countries and its determinants," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1810-1816.
    26. Montes, Gabriel Caldas & Acar, Tatiana, 2020. "Fiscal credibility, target revisions and disagreement in expectations about fiscal results," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 38-58.
    27. Ms. Franziska L Ohnsorge & Marcin Wolski & Ms. Yuanyan S Zhang, 2014. "Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices," IMF Working Papers 2014/081, International Monetary Fund.
    28. Enrique Alberola & Luis Molina & Pedro del Río, 2012. "Boom-bust cycles, imbalances and discipline in Europe," Working Papers 1220, Banco de España.
    29. Matthias Bauer & Martin Zenker, 2012. "Market Discipline Under A Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate," Global Financial Markets Working Paper Series 2012-35, Friedrich-Schiller-University Jena.
    30. Maltritz, Dominik & Molchanov, Alexander, 2014. "Country credit risk determinants with model uncertainty," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 224-234.
    31. Babalos, Vassilios & Stavroyiannis, Stavros, 2017. "Modelling correlation dynamics of EMU sovereign debt markets during the recent turmoil," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1021-1029.
    32. van Holle, Frederiek, 2017. "Essays in empirical finance and monetary policy," Other publications TiSEM 30d11a4b-7bc9-4c81-ad24-5, Tilburg University, School of Economics and Management.
    33. Salines, Marion & Glöckler, Gabriel & Gade, Thomas & Strodthoff, Steffen, 2013. ""Loose lips sinking markets?": the impact of political communication on sovereign bond spreads," Occasional Paper Series 150, European Central Bank.
    34. Salvador Barrios & Per Iversen & Magdalena Lewandowska & Ralph Setzer, 2009. "Determinants of intra-euro area government bond spreads during the financial crisis," European Economy - Economic Papers 2008 - 2015 388, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    35. Davide Furceri & Annabelle Mourougane, 2010. "The Effects of Fiscal Policy on Output: A DSGE Analysis," OECD Economics Department Working Papers 770, OECD Publishing.

  26. Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 584, European Central Bank.

    Cited by:

    1. Keck, Alexander & Raubold, Alexander, 2006. "Forecasting trade," WTO Staff Working Papers ERSD-2006-05, World Trade Organization (WTO), Economic Research and Statistics Division.
    2. Daniel Dias, 2006. "Measuring the Importance of the Uniform Nonsynchronization Hypothesis," Working Papers w200603, Banco de Portugal, Economics and Research Department.
    3. Hubrich, Kirstin & González, Andrés & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series 1363, European Central Bank.

  27. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank.

    Cited by:

    1. Coeurdacier, Nicolas & Guibaud, Stéphane, 2011. "International portfolio diversification is better than you think," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 289-308, March.
    2. Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(1), pages 3-22.
    3. Zagaglia, Paolo, 2008. "Money-market segmentation in the euro area: what has changed during the turmoil?," Bank of Finland Research Discussion Papers 23/2008, Bank of Finland.
    4. Delphine Lahet, 2009. "Les Banques Étrangères En Asie Du Sud-Est : Le Rôle Des Local Claims," Working Papers hal-00616577, HAL.
    5. Gábor Vadas, 2007. "Wealth portfolio of Hungarian households – Urban legends and facts," MNB Occasional Papers 2007/68, Magyar Nemzeti Bank (Central Bank of Hungary).
    6. Balázs Zsámboki, 2007. "Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 5," MNB Occasional Papers 2007/67, Magyar Nemzeti Bank (Central Bank of Hungary).
    7. Nicolas Coeurdacier & Philippe Martin, 2009. "The geography of asset trade and the euro: insiders and outsiders," SciencePo Working papers Main hal-03602444, HAL.
    8. Christos Savva & Nektarios Aslanidis, 2010. "Stock market integration between new EU member states and the Euro-zone," Empirical Economics, Springer, vol. 39(2), pages 337-351, October.
    9. Moshirian, Fariborz, 2007. "Globalisation and the role of effective international institutions," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1579-1593, June.
    10. Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2008. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," The Warwick Economics Research Paper Series (TWERPS) 849, University of Warwick, Department of Economics.
    11. Christiansen, Charlotte & Ranaldo, Angelo, 2009. "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1048-1057, June.
    12. Mr. Martin Cihak & Mr. Wim Fonteyne, 2009. "Five Years After: European Union Membership and Macro-Financial Stability in the New Member States," IMF Working Papers 2009/068, International Monetary Fund.
    13. Pirovano, Mara, 2012. "Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states," Economic Systems, Elsevier, vol. 36(3), pages 372-390.
    14. Roman Horvath & Dragan Petrovski, 2012. "International Stock Market Integration : Central and South Eastern Europe Compared," Working Papers 317, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    15. Bartram, Söhnke M. & Wang, Yaw-Huei, 2015. "European financial market dependence: An industry analysis," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 146-163.
    16. Boubaker, Sabri & Jouini, Jamel, 2014. "Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 322-335.
    17. Guglielmo Maria Caporale & Nicola Spagnolo, 2011. "Stock Market Integration between Three CEECs, Russia, and the UK," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 158-169, February.
    18. Baele, Lieven & Inghelbrecht, Koen, 2009. "Time-varying Integration and International diversification strategies," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 368-387, June.
    19. Moshirian, Fariborz, 2011. "The global financial crisis and the evolution of markets, institutions and regulation," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 502-511, March.
    20. Cappiello, Lorenzo & Manganelli, Simone & Kadareja, Arjan, 2008. "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series 906, European Central Bank.
    21. Adalbert Winkler, 2010. "The Financial Crisis : A Wake-Up Call for Strengthening Regional Monitoring of Financial Markets and Regional Coordination of Financial Sector Policies?," Finance Working Papers 22022, East Asian Bureau of Economic Research.
    22. Giuseppe Bruno & Riccardo De Bonis, 2009. "Do financial systems converge? New evidence from household financial assets in selected OECD countries," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring financial innovation and its impact", Basel, 26-27 August 2008, volume 31, pages 383-401, Bank for International Settlements.
    23. Dragan Tevdovski, 2014. "Extreme negative coexceedances in South Eastern European stock markets," CREATES Research Papers 2014-18, Department of Economics and Business Economics, Aarhus University.
    24. Ahmed, Osama, 2021. "Do future markets protect the spot markets in developing countries? The case of the Egyptian wheat market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 20(5), pages 65-83.
    25. Sebastian Missio, 2012. "Government bond market integration and the EMU: Correlation based evidence," Working Papers 125, Bavarian Graduate Program in Economics (BGPE).
    26. Moshirian, Fariborz, 2009. "Can an Asia Pacific Community, similar to the European Community, emerge?," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 2-8, January.
    27. Jan Babecký & Aleš Bulíř & Kateřina šmídková, 2009. "Sustainable real exchange rates in the new EU Member States: Is FDI a mixed blessing?," European Economy - Economic Papers 2008 - 2015 368, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    28. Eduard Baum??hl & ??tefan Ly??csa, 2014. "How smooth is the stock market integration of CEE-3?," William Davidson Institute Working Papers Series wp1079, William Davidson Institute at the University of Michigan.
    29. Baumöhl, Eduard, 2013. "Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach," MPRA Paper 43834, University Library of Munich, Germany.
    30. Martin Èihák & Srobona Mitra, 2009. "The Financial Crisis and European Emerging Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 541-553, December.
    31. Pilar Abad & Helena Chuliá, 2014. "“European government bond market integration in turbulent times”," IREA Working Papers 201424, University of Barcelona, Research Institute of Applied Economics, revised Oct 2014.
    32. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
    33. Stavarek, Daniel & Repkova, Iveta & Gajdosova, Katarina, 2011. "Theory of financial integration and achievements in the European Union," MPRA Paper 34393, University Library of Munich, Germany.
    34. Moshirian, Fariborz, 2008. "Globalisation, growth and institutions," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 472-479, April.
    35. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019. "Volatility-dependent correlations: further evidence of when, where and how," Empirical Economics, Springer, vol. 57(2), pages 505-540, August.
    36. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
    37. Christiansen, Charlotte, 2014. "Integration of European bond markets," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 191-198.
    38. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2014. "The euro and corporate financing before the crisis," Journal of Financial Economics, Elsevier, vol. 114(3), pages 554-575.
    39. Máté Csiki & Gábor Dávid Kiss, 2018. "Capital Market Contagion in the Stock Markets of Visegrád Countries Based on the Heckman Selection Model," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 17(4), pages 23-52.
    40. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2016. "Volatility Dependent Dynamic Equicorrelation," NCER Working Paper Series 111, National Centre for Econometric Research.
    41. Papaioannou, Elias, 2007. "Finance and growth: a macroeconomic assessment of the evidence from a European angle," Working Paper Series 787, European Central Bank.
    42. Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.
    43. Eirini Syngelaki, 2010. "Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance," Economics Department Working Paper Series n209-10.pdf, Department of Economics, National University of Ireland - Maynooth.
    44. Radman Peša, Anita & Brajković, Ana, 2015. "Testing The ‘Black Swan Effect’ on Croatian Stock Market Between 2000 and 2013," MPRA Paper 69223, University Library of Munich, Germany, revised 2015.
    45. Ivan Todorov, 2013. "The Monetary Integration of the New Member States before the Euro Area Debt Crisis," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 11(4 (Winter), pages 375-390.
    46. Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2018. "Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 391-412, March.
    47. Chan, Kalok & Covrig, Vicentiu & Ng, Lilian, 2009. "Does home bias affect firm value? Evidence from holdings of mutual funds worldwide," Journal of International Economics, Elsevier, vol. 78(2), pages 230-241, July.
    48. Nektarios Aslanidis & Christos S. Savva, 2011. "Are There Still Portfolio Diversification Benefits In Eastern Europe? Aggregate Versus Sectoral Stock Market Data," Manchester School, University of Manchester, vol. 79(6), pages 1323-1352, December.
    49. Ani Stoykova & Mariya Paskaleva, 2018. "Correlation Dynamics between Southeast European Capital Markets," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 49-82.
    50. Thomas Reininger & Zoltan Walko, 2006. "The Financial Situation and Financing of Nonfinancial Corporations in the Ten New EU Member States – A First Empirical Orientation," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 134-151.
    51. Anita Radman Peša & Mejra Festić, 2012. "Testing the "EU Announcement Effect" on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010," Prague Economic Papers, Prague University of Economics and Business, vol. 2012(4), pages 450-469.
    52. Moshirian, Fariborz, 2008. "Financial services in an increasingly integrated global financial market," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2288-2292, November.
    53. Tigran Poghosyan, 2009. "Are “new” and “old” EU members becoming more financially integrated? A threshold cointegration analysis," International Economics and Economic Policy, Springer, vol. 6(3), pages 259-281, October.
    54. Răileanu-Szeles, Monica & Albu, Lucian, 2015. "Nonlinearities and divergences in the process of European financial integration," Economic Modelling, Elsevier, vol. 46(C), pages 416-425.
    55. Burcu Erdogan, 2009. "How Does European Integration Affect the European Stock Markets?," Working Paper / FINESS 1.1a, DIW Berlin, German Institute for Economic Research.
    56. Eduard Baumöhl, 2014. "Determinanty integrácie akciových trhov krajín V4 [Determinants of CEE-4 Stock Market Integration]," Politická ekonomie, Prague University of Economics and Business, vol. 2014(3), pages 347-365.
    57. Anita Radman Peša & Elżbieta Wrońska-Bukalska & Jurica Bosna, 2017. "ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(3), pages 205-221, December.

  28. Cappiello, Lorenzo & Manganelli, Simone & Hördahl, Peter & Kadareja, Arjan, 2006. "The impact of the euro on financial markets," Working Paper Series 598, European Central Bank.

    Cited by:

    1. Kazusuke Tsujimura & Masako Tsujimura, 2009. "The consequences of the introduction of the euro: a nested mixed-effects analysis of the international banking positions," Empirical Economics, Springer, vol. 37(3), pages 583-597, December.
    2. Mongelli, Francesco Paolo & Vega, Juan Luis, 2006. "What effects is EMU having on the euro area and its member countries? An overview," Working Paper Series 599, European Central Bank.
    3. Giovanni Ferri & Punziana Lacuitignola, 2010. "Does Europe Need Its Own Rating Agencies?," SERIES 0033, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Jul 2010.
    4. Galvao, Ana Beatriz & Costa, Sonia, 2013. "Does the euro area forward rate provide accurate forecasts of the short rate?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 131-141.
    5. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
    6. Goddard, John & Molyneux, Philip & Wilson, John O.S. & Tavakoli, Manouche, 2007. "European banking: An overview," Journal of Banking & Finance, Elsevier, vol. 31(7), pages 1911-1935, July.
    7. Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS.
    8. Gupta, Priyanshi & Sehgal, Sanjay & Deisting, Florent, 2015. "Time-Varying Bond Market Integration in EMU," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 30(4), pages 708-760.
    9. Vitale, Paolo, 2006. "A market microstructure analysis of foreign exchange intervention," Working Paper Series 629, European Central Bank.
    10. Daniel Dias, 2006. "Measuring the Importance of the Uniform Nonsynchronization Hypothesis," Working Papers w200603, Banco de Portugal, Economics and Research Department.
    11. Stefano Schiavo, 2005. "Financial integration, GDP correlation and the endogeneity of optimum currency areas," Working Papers 25/2005, University of Verona, Department of Economics.
    12. Anca Tanasie, 2010. "A Brief Evaluation Of Inflation Targeting In Romania Envisaging The Euro Adoption," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 1(38), pages 180-189, May.
    13. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2009. "EMU and European government bond market integration," Working Paper Series 1079, European Central Bank.
    14. Kim Hiang Liow, 2012. "Volatility interdependence in European securitised real estate markets: who is the most influential?," ERES eres2012_020, European Real Estate Society (ERES).
    15. Lect. Anca Tănasie Ph.D, 2010. "A Brief Assesment Of The Monetary Situation In Romania During The Financial Crises And Facing The Euro Adoption," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(15S), pages 11-20, November.
    16. Agustín S. Bénétrix and Sébastien Wälti, 2008. "Indicators of regional financial integration," The Institute for International Integration Studies Discussion Paper Series iiisdp243, IIIS.
    17. Anton, Sorin Gabriel & Avadanei, Andreea, 2010. "The implications of European retail banking integration on small and medium-sized enterprises financing. An overview," MPRA Paper 28660, University Library of Munich, Germany.
    18. Sebastian Missio, 2012. "Government bond market integration and the EMU: Correlation based evidence," Working Papers 125, Bavarian Graduate Program in Economics (BGPE).
    19. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
    20. Miankhel, Adil Khan & Kalirajan, Kaliappa & Thangavelu, Shandre, 2010. "Integration, decoupling and the global financial crisis: A global perspective," MPRA Paper 22837, University Library of Munich, Germany.
    21. Casu, Barbara & Girardone, Claudia, 2010. "Integration and efficiency convergence in EU banking markets," Omega, Elsevier, vol. 38(5), pages 260-267, October.
    22. Assoc. Prof. Anca Tãnasie Ph.D & Lect. Rãzvan Tudor Tãnasie PhD, 2011. "An Algorithm Based Approach For Romania’S Road Towards The Euro-Area Membership Status. In Search Of A Suitable Example," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(17), pages 133-140, November.
    23. Wan, Jer-Yuh & Kao, Chung-Wei, 2008. "The euro and pound volatility dynamics: An investigation from conditional jump process," Research in International Business and Finance, Elsevier, vol. 22(2), pages 193-207, June.
    24. Wälti, Sébastien, 2009. "The myth of decoupling," MPRA Paper 20870, University Library of Munich, Germany.
    25. de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
    26. Lee, Eun-Joo, 2017. "Intra- and inter-regional portfolio diversification strategies under regional market integration: Evidence from U.S. global banks," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 1-22.
    27. Cândida Ferreira, 2011. "European integration and banking efficiency: a panel cost frontier approach," Working Papers Department of Economics 2011/04, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    28. Thomas D. Willett & Orawan Permpoon & Clas Wihlborg, 2010. "Endogenous OCA Analysis and the Early Euro Experience," The World Economy, Wiley Blackwell, vol. 33(7), pages 851-872, July.
    29. Chaipat Poonpatpibul & Vasuveerapat Ramdecha & Krittinan Wiengwangchai & Pawinee Jitmongkolsa-mer, 2008. "Border of Monetary Policy in the New Financial State," Working Papers 2008-01, Monetary Policy Group, Bank of Thailand.
    30. Wälti, Sébastien, 2009. "Business cycle synchronicity, amplitude and the euro: one size does not yet fit all," MPRA Paper 21065, University Library of Munich, Germany.
    31. Ray Yeutien Chou & Chun-Chou Wu & Yi-Nung yang, 2012. "The euro's impacts on the smooth transition dynamics of stock market volatilities," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 169-179, May.
    32. Koutsomanoli-Filippaki, Anastasia & Mamatzakis, Emmanuel C., 2010. "Estimating the speed of adjustment of European banking efficiency under a quadratic loss function," Economic Modelling, Elsevier, vol. 27(1), pages 1-11, January.
    33. Wälti, Sébastien, 2011. "Stock market synchronization and monetary integration," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 96-110, February.
    34. Mamatzakis, E & Koutsomanoli, A, 2009. "European Banking Integration under a Quadratic Loss Function," MPRA Paper 19379, University Library of Munich, Germany.

  29. Cappiello, Lorenzo & Manganelli, Simone & Gérard, Bruno, 2005. "Measuring comovements by regression quantiles," Working Paper Series 501, European Central Bank.

    Cited by:

    1. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
    2. Antonio Cosma & antonio.cosma@uni.lu & Michel Beine & Robert Vermeulen, 2009. "The Dark Side of Global Integration: Increasing Tail Dependence," LSF Research Working Paper Series 09-05, Luxembourg School of Finance, University of Luxembourg.
    3. Zagaglia, Paolo, 2008. "Money-market segmentation in the euro area: what has changed during the turmoil?," Bank of Finland Research Discussion Papers 23/2008, Bank of Finland.
    4. Vukovic, Darko B. & Lapshina, Kseniya A. & Maiti, Moinak, 2021. "Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    5. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    6. Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
    7. Massimiliano Marzo & Paolo Zagaglia, 2010. "Gold and the U.S. Dollar: Tales from the Turmoil," Working Paper series 08_10, Rimini Centre for Economic Analysis.
    8. Erica R. PEREGO & Wessel N. VERMEULEN, 2013. "Macroeconomic determinants of European stock and government bond correlations: A tale of two regions," LIDAM Discussion Papers IRES 2013013, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    9. Manner Hans, 2010. "Testing for Asymmetric Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-32, March.
    10. Adams, Zeno & Füss, Roland & Gropp, Reint, 2014. "Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 575-598, June.
    11. Cuadro-Sáez, Lucía & Fratzscher, Marcel & Thimann, Christian, 2009. "The transmission of emerging market shocks to global equity markets," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 2-17, January.
    12. Ando, Tomohiro & Bai, Jushan, 2018. "Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity," MPRA Paper 88765, University Library of Munich, Germany.
    13. Shekar Bose & Hafizur Rahman, 2022. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market," SAGE Open, , vol. 12(4), pages 21582440221, October.
    14. Xuening Zhu & Wolfgang K. Härdle & Weining Wang & Hangsheng Wang, 2016. "Network Quantile Autoregression," SFB 649 Discussion Papers SFB649DP2016-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    15. Paulo Horta & Carlos Mendes & Isabel Vieira, 2008. "Contagion effects of the US Subprime Crisis on Developed Countries," CEFAGE-UE Working Papers 2008_08, University of Evora, CEFAGE-UE (Portugal).
    16. Christophe Boucher & Sessi Tokpavi, 2019. "Stocks and Bonds: Flight-to-Safety for Ever?," Post-Print hal-02067096, HAL.
    17. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2009. "EMU and European government bond market integration," Working Paper Series 1079, European Central Bank.
    18. Christophe Boucher & Sessi Tokpavi, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," Working Papers hal-04141705, HAL.
    19. Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
    20. Cappiello, Lorenzo & Manganelli, Simone & Kadareja, Arjan, 2008. "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series 906, European Central Bank.
    21. Manner, H. & Candelon, B., 2007. "Testing for asset market linkages: a new approach based on time-varying copulas," Research Memorandum 052, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    22. Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009. "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Post-Print halshs-00389773, HAL.
    23. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank.
    24. Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, vol. 65(5), pages 1789-1816, October.
    25. Kok, Christoffer & Gross, Marco, 2013. "Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR," Working Paper Series 1570, European Central Bank.
    26. Nguyen, Linh Hoang & Lambe, Brendan John, 2021. "International tail risk connectedness: Network and determinants," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    27. Apostolos Thomadakis, 2012. "Measuring Financial Contagion with Extreme Coexceedances," School of Economics Discussion Papers 1112, School of Economics, University of Surrey.
    28. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    29. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
    30. Kolokolova, Olga & Lin, Ming-Tsung & Poon, Ser-Huang, 2020. "Too big to ignore? Hedge fund flows and bond yields," Journal of Banking & Finance, Elsevier, vol. 112(C).
    31. Lee, Chia-Hao & Chou, Pei-I, 2020. "Structural breaks in the correlations between Asian and US stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    32. Heejoon Han, 2016. "Quantile Dependence between Stock Markets and its Application in Volatility Forecasting," Papers 1608.07193, arXiv.org.
    33. Kadilli, Anjeza & Krishnakumar, Jaya, 2022. "Smooth Transition Simultaneous Equation Models," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
    34. Christophe Boucher & Gilles de Truchis & Elena Ivona Dumitrescu & Sessi Tokpavi, 2017. "Testing for Extreme Volatility Transmission with Realized Volatility Measures," Working Papers hal-04141651, HAL.
    35. Calabrese, Raffaella & Osmetti, Silvia Angela, 2019. "A new approach to measure systemic risk: A bivariate copula model for dependent censored data," European Journal of Operational Research, Elsevier, vol. 279(3), pages 1053-1064.
    36. Linh H. Nguyen & Linh X. D. Nguyen & Linzhi Tan, 2021. "Tail risk connectedness between US industries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3624-3650, July.
    37. Sessi Tokpavi & Christophe Boucher, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," EconomiX Working Papers 2018-39, University of Paris Nanterre, EconomiX.
    38. Christophe Boucher & Gilles de Truchis & Elena Dumitrescu & Sessi Tokpavi, 2017. "Testing for Extreme Volatility Transmission with Realized Volatility Measures," EconomiX Working Papers 2017-20, University of Paris Nanterre, EconomiX.
    39. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2011. "Liquidity Shocks and Hedge Fund Contagion," Working Paper Series 2011-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    40. Igor Kravchuk, 2017. "Interconnectedness and Contagion Effects in International Financial Instruments Markets," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 13(3), pages 161-174.
    41. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
    42. Baruník, Jozef & Čech, František, 2021. "Measurement of common risks in tails: A panel quantile regression model for financial returns," Journal of Financial Markets, Elsevier, vol. 52(C).

  30. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.

    Cited by:

    1. Sungyong Park & Wendun Wang & Naijing Huang, 2015. "Testing for Stock Market Contagion: A Quantile Regression Approach," Tinbergen Institute Discussion Papers 15-040/III, Tinbergen Institute.

  31. Kilian, Lutz & Manganelli, Simone, 2003. "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers 3918, C.E.P.R. Discussion Papers.

    Cited by:

    1. Atsushi Inoue & Barbara Rossi, 2008. "Monitoring and Forecasting Currency Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 523-534, March.
    2. Frank Smets & Raf Wouters, 2004. "Forecasting with a Bayesian DSGE Model: An Application to the Euro Area," Journal of Common Market Studies, Wiley Blackwell, vol. 42(4), pages 841-867, November.
    3. Vitor Gaspar, 2003. "The conduct of monetary policy under uncertainty," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 249-264.
    4. Wieland, Volker & Küster, Keith, 2005. "Insurance Policies for Monetary Policy in the Euro Area," CEPR Discussion Papers 4956, C.E.P.R. Discussion Papers.
    5. D. Sornette & W. -X. Zhou, 2003. "Evidence of Fueling of the 2000 New Economy Bubble by Foreign Capital Inflow: Implications for the Future of the US Economy and its Stock Market," Papers cond-mat/0306496, arXiv.org.
    6. Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, University Library of Munich, Germany.
    7. Lutz Kilian & Simone Manganelli, 2007. "Quantifying the Risk of Deflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 561-590, March.

  32. Hartmann, Philipp & Maddaloni, Angela & Manganelli, Simone, 2003. "The euro area financial system: structure, integration and policy initiatives," Working Paper Series 230, European Central Bank.

    Cited by:

    1. Zaghini, Andrea, 2016. "Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?," CFS Working Paper Series 530, Center for Financial Studies (CFS).
    2. Baeyens, K. & Manigart, S., 2006. "Who gets private equity? The role of debt capacity, growth and intangible assets," Vlerick Leuven Gent Management School Working Paper Series 2006-24, Vlerick Leuven Gent Management School.
    3. Can Sever, 2022. "Financial structure convergence," International Finance, Wiley Blackwell, vol. 25(1), pages 65-83, April.
    4. V. Bignon & R. Breton & M. Rojas Breu, 2015. "Monetary Union with A Single Currency and Imperfect Credit Market Integration," Working papers 541, Banque de France.
    5. Vincent Bignon & Régis Breton & Mariana Rojas Breu, 2019. "Currency union with or without banking union," Post-Print hal-02313956, HAL.
    6. Stefano Schiavo, 2005. "Euro bonds: in search of financial spillovers," Department of Economics Working Papers 0502, Department of Economics, University of Trento, Italia.
    7. Bruno, Giuseppe & De Bonis, Riccardo & Silvestrini, Andrea, 2012. "Do financial systems converge? New evidence from financial assets in OECD countries," Journal of Comparative Economics, Elsevier, vol. 40(1), pages 141-155.
    8. Lucjan T Orlowski & Anna Tsibulina, 2014. "Integration of Central and Eastern European and the Euro-Area Financial Markets: Repercussions from the Global Financial Crisis," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(3), pages 376-395, September.
    9. Hoffmann, Peter & Kremer, Manfred & Zaharia, Sonia, 2020. "Financial integration in Europe through the lens of composite indicators," Economics Letters, Elsevier, vol. 194(C).
    10. Sebnem Kalemli-Ozcan & Elias Papaioannou & José-Luis Peydró, 2009. "What Lies Beneath the Euro's Effect on Financial Integration: Currency Risk, Legal Harmonization, or Trade?," NBER Working Papers 15034, National Bureau of Economic Research, Inc.
    11. Agenor, Pierre-Richard & Aizenman, Joshua, 2008. "Capital Market Imperfections and the Theory of Optimum Currency Areas," Santa Cruz Department of Economics, Working Paper Series qt7668j94x, Department of Economics, UC Santa Cruz.
    12. Charlotte Christiansen, 2010. "Decomposing European bond and equity volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 105-122.
    13. Kazusuke Tsujimura & Masako Tsujimura, 2009. "The consequences of the introduction of the euro: a nested mixed-effects analysis of the international banking positions," Empirical Economics, Springer, vol. 37(3), pages 583-597, December.
    14. Michiel Bijlsma & Gijsbert T. J. Zwart, 2013. "The changing landscape of financial markets in Europe, the United States and Japan," Working Papers 774, Bruegel.
    15. Marco Pagano, 2004. "The European Bond Markets under EMU," Oxford Review of Economic Policy, Oxford University Press, vol. 20(4), pages 531-554, Winter.
    16. Giovanni Ferri & Punziana Lacuitignola, 2010. "Does Europe Need Its Own Rating Agencies?," SERIES 0033, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Jul 2010.
    17. Wolff, Guntram B. & Schulz, Alexander, 2008. "Sovereign bond market integration: the euro, trading platforms and globalization," Discussion Paper Series 1: Economic Studies 2008,12, Deutsche Bundesbank.
    18. Nicholas Apergis & Christina Christou & Stephen M. Miller, 2011. "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working Papers 1105, University of Nevada, Las Vegas , Department of Economics.
    19. José Campa & Ignacio Hernando, 2008. "The Reaction by Industry Insiders to M&As in the European Financial Industry," Journal of Financial Services Research, Springer;Western Finance Association, vol. 33(2), pages 127-146, April.
    20. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," CEPR Discussion Papers 13411, C.E.P.R. Discussion Papers.
    21. Massimiliano Affinito, 2011. "Convergence clubs, the euro-area rank and the relationship between banking and real convergence," Temi di discussione (Economic working papers) 809, Bank of Italy, Economic Research and International Relations Area.
    22. Goddard, John & Molyneux, Philip & Wilson, John O.S. & Tavakoli, Manouche, 2007. "European banking: An overview," Journal of Banking & Finance, Elsevier, vol. 31(7), pages 1911-1935, July.
    23. Andrea Zaghini, 2017. "A tale of fragmentation: corporate funding in the euro-area bond market," Temi di discussione (Economic working papers) 1104, Bank of Italy, Economic Research and International Relations Area.
    24. Ozkok, Zeynep, 2012. "Financial Harmonization and Industrial Growth: Evidence from Europe," MPRA Paper 58875, University Library of Munich, Germany, revised 25 Sep 2014.
    25. Gabe de Bondt & Jung-Duk Lichtenberger, 2004. "Empirical estimates of the impact of the euro on the corporate bond market in the euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 675-678.
    26. Anton Schautzer, 2005. "Albania: Country Profile and Recent Economic Developments," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 107-126.
    27. Korkeamäki, Timo, 2011. "Interest rate sensitivity of the European stock markets before and after the euro introduction," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 811-831.
    28. Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2008. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," The Warwick Economics Research Paper Series (TWERPS) 849, University of Warwick, Department of Economics.
    29. Allen, Franklin & Laura, Bartiloro & Oskar, Kowalewski, 2005. "The Financial System of the EU 25," MPRA Paper 652, University Library of Munich, Germany.
    30. Mayordomo, Sergio & Abascal, María & Alonso, Tatiana & Rodriguez-Moreno, Maria, 2015. "Fragmentation in the European interbank market: Measures, determinants, and policy solutions," Journal of Financial Stability, Elsevier, vol. 16(C), pages 1-12.
    31. Vincent Bignon & Régis Breton & Mariana Rojas Breu, 2018. "Currency Union with and without Banking Union," Working Papers hal-01685893, HAL.
    32. Gabriel Moser & Wolfgang Pointner, 2005. "Financial Globalization, Capital Account Liberalization and International Consumption Risk-Sharing," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 98-106.
    33. José Manuel Marqués & Fernando Nieto & Ana del Río, 2005. "Una aproximación a los determinantes de la financiación de las sociedades no financieras en España," Working Papers 0535, Banco de España.
    34. Antonin Rusek, 2004. "Financial integration and growth in the global economy," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 10(4), pages 278-288, November.
    35. Bartram, Söhnke M. & Wang, Yaw-Huei, 2015. "European financial market dependence: An industry analysis," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 146-163.
    36. Stefano Schiavo, 2005. "Financial integration, GDP correlation and the endogeneity of optimum currency areas," Working Papers 25/2005, University of Verona, Department of Economics.
    37. Mr. Thorvardur Tjoervi Olafsson & Ms. Julia Majaha-Jartby, 2005. "Regional Financial Conglomerates: A Case for Improved Supervision," IMF Working Papers 2005/124, International Monetary Fund.
    38. Maria Abascal & Tatiana Alonso & Sergio Mayordomo, 2013. "Fragmentation in European Financial Markets: Measures, Determinants, and Policy Solutions," Working Papers 1322, BBVA Bank, Economic Research Department.
    39. Campa, José Manuel & Hernando, Ignacio, 2005. "M&As Performance in the European Financial Industry," CEPR Discussion Papers 5204, C.E.P.R. Discussion Papers.
    40. Antonín Rusek, 2005. "Financial Integration and the New EU Member Countries: Challenges and Dilemmas," Prague Economic Papers, Prague University of Economics and Business, vol. 2005(1), pages 17-32.
    41. Gilles Dufrénot & Fredj Jawadi & Zied Ftiti, 2022. "Sovereign bond market integration in the euro area: a new empirical conceptualization," Annals of Operations Research, Springer, vol. 318(1), pages 147-161, November.
    42. Ascari, Guido & Rankin, Neil, 2007. "Perpetual youth and endogenous labor supply: A problem and a possible solution," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 708-723, December.
    43. Christian Gabriel & Christian Lau, 2014. "On the distribution of government bond returns: evidence from the EMU," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 181-203, May.
    44. Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice, 2010. "From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets," MPRA Paper 22430, University Library of Munich, Germany.
    45. José Manuel Campa, 2006. "Corporate restructuring and M&A activity," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 7(01), pages 17-21, April.
    46. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2003. "The Euro and Corporate Valuations," SSE/EFI Working Paper Series in Economics and Finance 525, Stockholm School of Economics, revised 23 Feb 2004.
    47. Chinn, Menzie David & Frankel, Jeffrey A., 2003. "The Euro Area and World Interest Rates," Santa Cruz Department of Economics, Working Paper Series qt2nb2h4zr, Department of Economics, UC Santa Cruz.
    48. Hornuf, Lars & Engert, Andreas, 2013. "Can Network Effects Impede Optimal Contracting in Debt Securities?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79867, Verein für Socialpolitik / German Economic Association.
    49. Shkolnyk, Inna & Kozmenko, Olha, 2008. "The peculiarities of the financial market development in Ukraine," MPRA Paper 50849, University Library of Munich, Germany.
    50. Veysov, Alexander & Stolbov, Mikhail, 2011. "Do financial systems converge? A Comprehensive panel data approach and new evidence from a dataset for 102 countries," MPRA Paper 36103, University Library of Munich, Germany.
    51. Lucrezia Reichlin, 2013. "Monetary policy and banks in the euro area: the tale of two crises," Special Conference Papers 26, Bank of Greece.
    52. C. Worthington, Andrew & Higgs, Helen, 2010. "Assessing Financial Integration in the European Union Equity Markets: Panel Unit Root and Multivariate Cointegration and Causality Evidence," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 25, pages 457-479.
    53. Giuseppe Bruno & Riccardo De Bonis, 2009. "Do financial systems converge? New evidence from household financial assets in selected OECD countries," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Measuring financial innovation and its impact", Basel, 26-27 August 2008, volume 31, pages 383-401, Bank for International Settlements.
    54. Baeyens,K. & Manigart,S., 2006. "Follow-on financing of venture capital backed companies: the choice between debt, equity, existing and new investors," Vlerick Leuven Gent Management School Working Paper Series 2006-05, Vlerick Leuven Gent Management School.
    55. Takalo, Tuomas & Schmiedel, Heiko & Martikainen, Emmi, 2013. "Convergence in European retail payments," Occasional Paper Series 147, European Central Bank.
    56. Engert, Andreas & Hornuf, Lars, 2018. "Market standards in financial contracting: The Euro’s effect on debt securities," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 145-162.
    57. Anton, Sorin Gabriel & Avadanei, Andreea, 2010. "The implications of European retail banking integration on small and medium-sized enterprises financing. An overview," MPRA Paper 28660, University Library of Munich, Germany.
    58. Melnik, Arie & Nissim, Doron, 2006. "Issue costs in the Eurobond market: The effects of market integration," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 157-177, January.
    59. A. Colangelo & D. Giannone & M. Lenza & H. Pill & L. Reichlin, 2017. "The national segmentation of euro area bank balance sheets during the financial crisis," Empirical Economics, Springer, vol. 53(1), pages 247-265, August.
    60. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
    61. Arie Melnik & Doron Nissim, 2004. "Liquidity and Issue Costs in the Eurobond Market: the Effects of Market Integration," ICER Working Papers 03-2004, ICER - International Centre for Economic Research.
    62. Rizkiah, Siti K. & Disli, Mustafa & Salim, Kinan & Razak, Lutfi A., 2021. "Switching costs and bank competition: Evidence from dual banking economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    63. Panayotis Kapopoulos & Sophia Lazaretou, 2005. "Does Corporate Ownership Structure Matter for Economic Growth? A Cross-Country Analysis," Working Papers 21, Bank of Greece.
    64. Massimiliano Affinito & Fabio Farabullini, 2009. "Does the Law of One Price Hold in Euro-Area Retail Banking? An Empirical Analysis of Interest Rate Differentials across the Monetary Union," International Journal of Central Banking, International Journal of Central Banking, vol. 5(1), pages 5-37, March.
    65. Juan Fernández De Guevara & Joaquín Maudos, 2007. "Explanatory Factors Of Market Power In The Banking System," Manchester School, University of Manchester, vol. 75(3), pages 275-296, June.
    66. Ozkok, Zeynep, 2013. "Financial Harmonization and Financial Development: An Application of Europe’s Financial Services Action Plan," MPRA Paper 58866, University Library of Munich, Germany, revised 25 Sep 2014.
    67. Panayiotis Alexakis & Anna Vasila, 2010. "Equity Interconnections in Major European Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 109-132.
    68. Casu, Barbara & Girardone, Claudia, 2010. "Integration and efficiency convergence in EU banking markets," Omega, Elsevier, vol. 38(5), pages 260-267, October.
    69. Denise Côté & Christopher Graham, 2007. "Corporate Balance Sheets in Developed Economies: Implications for Investment," Staff Working Papers 07-24, Bank of Canada.
    70. Olena Oliynyk & Viktor Adamenko & Ludmila Oliynyk, 2015. "The Comparative Analysis of Financial System of Czech Republic, Poland and Ukraine," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 2067-2076.
    71. Denise Côté & Christopher Graham, 2004. "Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization," Staff Working Papers 04-23, Bank of Canada.
    72. Axel Grossmann & Emiliano Giudici & Marc Simpson, 2014. "Euro conversion and return dynamics of European financial markets: a frequency domain approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 1-26, January.
    73. Bley, Jorg, 2009. "European stock market integration: Fact or fiction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 759-776, December.
    74. Christos S. Savva & Nektarios A. Michail, 2020. "What Determines Bank Lending Standards in Cyprus?," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 14(1), pages 16-26, June.
    75. Roxana Badîrcea & Alina Manta & Ramona Pîrvu & Nicoleta Florea, 2016. "Banking Integration in European Context," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 18(42), pages 317-317, May.
    76. Maddaloni, Angela & Pain, Darren, 2004. "Corporate "excesses" and financial market dynamics," Occasional Paper Series 17, European Central Bank.
    77. Cândida Ferreira, 2011. "European integration and banking efficiency: a panel cost frontier approach," Working Papers Department of Economics 2011/04, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    78. Koehler, Matthias, 2007. "Merger Control as Barrier to EU Banking Market Integration," ZEW Discussion Papers 07-082, ZEW - Leibniz Centre for European Economic Research.
    79. Schwarzbauer, Wolfgang, 2006. "Financial Structure and its Impact on the Convergence of Interest Rate Pass-through in Europe. A Time-varying Interest Rate Pass-through Model," Economics Series 191, Institute for Advanced Studies.
    80. Lucjan T. Orlowski & Kirsten Lommatzsch, 2005. "Bond Yield Compression in the Countries Converging to the Euro," William Davidson Institute Working Papers Series wp799, William Davidson Institute at the University of Michigan.
    81. Juan Pi??eiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan.
    82. Avadanei Andreea, "undated". "The Implications Of Economic And Monetary Union In Sustaining European Money Market Integration," Description: Managerial Challenges of the Contemporary Society 1, Faculty of Economics and Business Administration, Babes-Bolyai University.
    83. Papaioannou, Elias, 2007. "Finance and growth: a macroeconomic assessment of the evidence from a European angle," Working Paper Series 787, European Central Bank.
    84. Novo-Peteiro, Jos?A., 2009. "Bank mergers in spatially differentiated markets," Journal of Economics and Business, Elsevier, vol. 61(1), pages 90-96.
    85. Lublóy, Ágnes & Tóth, Eszter, 2010. "A közép-kelet-európai bankfúziók eredményessége [The success of the bank mergers in Central Eastern Europe]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 37-58.
    86. Philipp Hartmann & Stefan Straetmans & Casper de Vries, 2007. "Banking System Stability. A Cross-Atlantic Perspective," NBER Chapters, in: The Risks of Financial Institutions, pages 133-188, National Bureau of Economic Research, Inc.
    87. Köhler, Matthias, 2009. "Merger Control as Barrier to EU Banking Market Integration," ZEW Discussion Papers 07-082 [rev.], ZEW - Leibniz Centre for European Economic Research.
    88. Dimitris A. Georgoutsos & Petros Migiakis, 2010. "European sovereign bond spreads: monetary unification, market conditions and financial integration," Working Papers 115, Bank of Greece.
    89. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004.
    90. Tropeano, D., 2013. "Financial Fragility in the Current European crisis," CITYPERC Working Paper Series 2013-09, Department of International Politics, City University London.
    91. Francesca Arnaboldi & Barbara Casu, 2012. "Corporate Governance in European Banking," Chapters, in: James R. Barth & Chen Lin & Clas Wihlborg (ed.), Research Handbook on International Banking and Governance, chapter 31, Edward Elgar Publishing.
    92. Eirini Syngelaki, 2010. "Linkages between Excess Currency and Stock Market Returns:Granger Causality in Mean and Variance," Economics Department Working Paper Series n209-10.pdf, Department of Economics, National University of Ireland - Maynooth.
    93. Peree, Eric & Riess, Armin, 2003. "The transformation of finance in Europe:introduction and overview," EIB Papers 1/2003, European Investment Bank, Economics Department.
    94. Gia Zoidze, 2021. "Importance Of Euro-Atlantic Integration: Democracy, Security And Economic Development," Three Seas Economic Journal, Publishing house "Baltija Publishing", vol. 2(3).
    95. Filippidis, Michail & Filis, George & Kizys, Renatas, 2020. "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, vol. 86(C).
    96. Giuliano Iannotta & Marco Navone, 2008. "Which Factors Affect Bond Underwriting Fees? The Role of Banking Relationships," European Financial Management, European Financial Management Association, vol. 14(5), pages 944-961, November.
    97. Manuela CROCI, 2003. "An empirical analysis of international equity market co-movements: implications for informational efficiency," Working Papers 197, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    98. Manuela CROCI, 2004. "Country pair-correlations as a measure of financial integration: the case of the Euro equity markets," Working Papers 201, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    99. Lindman, Sebastian & Tuvhag, Tom & Jayasekera, Ranadeva & Uddin, Gazi Salah & Troster, Victor, 2020. "Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 42-73.
    100. Kok, Christoffer & Puigvert Gutiérrez, Josep Maria, 2006. "Euro area banking sector integration: using hierarchical cluster analysis techniques," Working Paper Series 627, European Central Bank.
    101. Rozália Pál & Roman Kozhan, 2006. "Firms' investment under financing constraints. An euro area investigation," CERS-IE WORKING PAPERS 0606, Institute of Economics, Centre for Economic and Regional Studies, revised 21 Jul 2006.
    102. Koutsomanoli-Filippaki, Anastasia & Mamatzakis, Emmanuel C., 2010. "Estimating the speed of adjustment of European banking efficiency under a quadratic loss function," Economic Modelling, Elsevier, vol. 27(1), pages 1-11, January.
    103. Tigran Poghosyan, 2009. "Are “new” and “old” EU members becoming more financially integrated? A threshold cointegration analysis," International Economics and Economic Policy, Springer, vol. 6(3), pages 259-281, October.
    104. Trauten, Andreas, 2004. "Zur Effizienz von Wertpapieremissionen über Internetplattformen," Working Papers 8, University of Münster, Competence Center Internet Economy and Hybrid Systems, European Research Center for Information Systems (ERCIS).
    105. Franz Pauer, 2005. "Financial Market Integration and Financial Stability," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 144-151.
    106. Walter Waschiczek, 2004. "The Role of Corporate Bonds for Finance in Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 39-52.
    107. Giuliano Iannotta, 2006. "Testing for Opaqueness in the European Banking Industry: Evidence from Bond Credit Ratings," Journal of Financial Services Research, Springer;Western Finance Association, vol. 30(3), pages 287-309, December.
    108. Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    109. Mamatzakis, E & Koutsomanoli, A, 2009. "European Banking Integration under a Quadratic Loss Function," MPRA Paper 19379, University Library of Munich, Germany.

  33. Ceci, Vladimiro & Manganelli, Simone & Vecchiato, Walter, 2002. "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series 194, European Central Bank.

    Cited by:

    1. Chrétien, Stéphane & Ortega, Juan-Pablo, 2014. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 210-236.
    2. Panayiotis F. Diamandis & Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2012. "Asset allocation in the Athens stock exchange: a variance sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(2), pages 167-181, April.
    3. St'ephane Chr'etien & Juan-Pablo Ortega, 2011. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Papers 1101.5475, arXiv.org.

  34. Manganelli, Simone, 2002. "Duration, volume and volatility impact of trades," Working Paper Series 125, European Central Bank.

    Cited by:

    1. Eleanor Xu, Xiaoqing & Chen, Peter & Wu, Chunchi, 2006. "Time and dynamic volume-volatility relation," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1535-1558, May.
    2. Panagiotis Schizas & Dimitrios D. Thomakos, 2015. "Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 285-298, February.
    3. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2013. "Semiparametric Vector Mem," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1067-1086, November.
    4. Guglielmo D'Amico & Filippo Petroni, 2017. "A new approach to the modeling of financial volumes," Papers 1709.05823, arXiv.org.
    5. Markus Engler & Vahidin Jeleskovic, 2016. "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics 201648, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    6. Nikolaus Hautsch & Vahidin Jeleskovic, 2008. "Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2008-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    7. Luintel, Kul B & Xu, Yongdeng, 2013. "Testing weak exogeneity in multiplicative error models," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
    8. DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David, 2004. "Testing weak exogeneity in the exponential family : an application to financial point processes," LIDAM Discussion Papers CORE 2004049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
    10. Perera, Indeewara & Silvapulle, Mervyn J., 2021. "Bootstrap based probability forecasting in multiplicative error models," Journal of Econometrics, Elsevier, vol. 221(1), pages 1-24.
    11. Ferriani, Fabrizio, 2010. "Informed and uninformed traders at work: evidence from the French market," MPRA Paper 24487, University Library of Munich, Germany.
    12. Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2012. "Local Adaptive Multiplicative Error Models for High-Frequency Forecasts," SFB 649 Discussion Papers SFB649DP2012-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    13. Ng, F.C. & Li, W.K. & Yu, Philip L.H., 2016. "Diagnostic checking of the vector multiplicative error model," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 86-97.
    14. Hallin, Marc & La Vecchia, Davide, 2020. "A Simple R-estimation method for semiparametric duration models," Journal of Econometrics, Elsevier, vol. 218(2), pages 736-749.
    15. Artur Sokolovsky & Luca Arnaboldi, 2020. "A Generic Methodology for the Statistically Uniform & Comparable Evaluation of Automated Trading Platform Components," Papers 2009.09993, arXiv.org, revised Jun 2022.
    16. Karanasos, Menelaos & Xu, Yongdeng & Yfanti, Stavroula, 2017. "Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Practicality of Matrix Inequalities," Cardiff Economics Working Papers E2017/14, Cardiff University, Cardiff Business School, Economics Section.
    17. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
    18. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
    19. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, vol. 5(2), pages 1-24, April.
    20. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    21. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    22. Feng, Yuanhua & Zhou, Chen, 2015. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," International Journal of Forecasting, Elsevier, vol. 31(2), pages 349-363.
    23. Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1332-1355.
    24. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive 2016_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    25. Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," OFRC Working Papers Series 2002fe04, Oxford Financial Research Centre.
    26. Katarzyna Bien-Barkowska, 2012. ""Does it take volume to move fx rates?" Evidence from quantile regressions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 35-52.
    27. Zhang Zongxin & Zhang Xiao, 2011. "Trading duration, mutual funds behavior and stock market shock," China Finance Review International, Emerald Group Publishing Limited, vol. 1(3), pages 220-240, July.
    28. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
    29. Fabrizio Cipollini & Robert F. Engle & Giampiero Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," Econometrics Working Papers Archive wp2006_15, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    30. Cipollini, Fabrizio & Gallo, Giampiero M., 2010. "Automated variable selection in vector multiplicative error models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2470-2486, November.
    31. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
    32. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," SFB 649 Discussion Papers SFB649DP2007-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    33. Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, vol. 160(1), pages 272-279, January.
    34. Bialkowski, Jedrzej & Darolles, Serge & Le Fol, Gaëlle, 2008. "Improving VWAP strategies: A dynamic volume approach," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1709-1722, September.
    35. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
    36. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
    37. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
    38. Hira L. Koul & Indeewara Perera & Narayana Balakrishna, 2023. "A class of Minimum Distance Estimators in Markovian Multiplicative Error Models," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 87-115, May.
    39. Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
    40. Xinyue He & Teresa Serra & Philip Garcia, 2021. "Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 743-764, March.
    41. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2009. "Quantifying high-frequency market reactions to real-time news sentiment announcements," CFS Working Paper Series 2009/31, Center for Financial Studies (CFS).
    42. Magdalena Osinska & Andrzej Dobrzynski & Yochanan Shachmurove, 2016. "Performance Of American And Russian Joint Stock Companies On Financial Market. A Microstructure Perspective," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 819-851, December.
    43. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
    44. Wen-Cheng Lu & Fang-Jun Lin, 2010. "An Empirical Study Of Volatility And Trading Volume Dynamics Using High-Frequency Data," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(3), pages 93-101.
    45. Ibrahim, Boulis Maher & Kalaitzoglou, Iordanis Angelos, 2016. "Why do carbon prices and price volatility change?," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 76-94.
    46. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute.
    47. Xuehai Zhang, 2019. "A Box-Cox semiparametric multiplicative error model," Working Papers CIE 125, Paderborn University, CIE Center for International Economics.
    48. Gurgul Henryk & Machno Artur, 2017. "Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades," Statistics in Transition New Series, Polish Statistical Association, vol. 18(1), pages 91-114, March.
    49. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
    50. Jeffrey R. Black & Pankaj K. Jain & Wei Sun, 2023. "Trade-time clustering," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1209-1242, April.
    51. Perera, Indeewara & Koul, Hira L., 2017. "Fitting a two phase threshold multiplicative error model," Journal of Econometrics, Elsevier, vol. 197(2), pages 348-367.
    52. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    53. Xuehai Zhang, 2019. "A Box-Cox semiparametric multiplicative error model," Working Papers CIE 122, Paderborn University, CIE Center for International Economics.
    54. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
    55. Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2015. "Time-Deformation Modeling of Stock Returns Directed by Duration Processes," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 480-511, April.
    56. Xiufeng Yan, 2021. "Autoregressive conditional duration modelling of high frequency data," Papers 2111.02300, arXiv.org.
    57. Al Rahahleh, Naseem & Bhatti, M. Ishaq, 2017. "Co-movement measure of information transmission on international equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 119-131.
    58. Malgorzata Doman, 2010. "Liquidity and Market Microstructure Noise: Evidence from the Pekao Data," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 5-14.
    59. Guglielmo D'Amico & Filippo Petroni, 2020. "A micro-to-macro approach to returns, volumes and waiting times," Papers 2007.06262, arXiv.org.
    60. Fabrizio Cipollini & Giampiero M. Gallo, 2021. "Multiplicative Error Models: 20 years on," Papers 2107.05923, arXiv.org.
    61. Thomas Dimpfl & Stefania Odelli, 2020. "Bitcoin Price Risk—A Durations Perspective," JRFM, MDPI, vol. 13(7), pages 1-18, July.
    62. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    63. Ke, Rui & Lu, Wanbo & Jia, Jing, 2021. "Evaluating multiplicative error models: A residual-based approach," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
    64. Kerr Hatrick & Mike So & S. Chung & R. Deng, 2011. "Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(3), pages 291-317, September.
    65. Katarzyna Bień-Barkowska, 2012. "A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 117-142, June.
    66. Kalaitzoglou, Iordanis & Ibrahim, Boulis Maher, 2013. "Trading patterns in the European carbon market: The role of trading intensity and OTC transactions," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 402-416.
    67. Masayuki Susai & Yushi Yoshida, 2012. "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers 56, Kyushu Sangyo University, Faculty of Economics.
    68. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers 05-9, HEC Montreal, Canada Research Chair in Risk Management.
    69. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
    70. Bodnar, Taras & Hautsch, Nikolaus, 2013. "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series 2013/19, Center for Financial Studies (CFS).
    71. N. Balakrishna & Hira L. Koul, 2017. "Varying kernel marginal density estimator for a positive time series," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(3), pages 531-552, July.
    72. Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
    73. L. Scaffidi Domianello & G.M. Gallo & E. Otranto, 2022. "Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS," Working Paper CRENoS 202205, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    74. Xiufeng Yan, 2021. "Multiplicative Component GARCH Model of Intraday Volatility," Papers 2111.02376, arXiv.org.
    75. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
    76. Yoshida, Yushi & Susai, Masayuki, 2016. "Stepping out of the limit order book: Empirical evidence from the EBS FX market," MPRA Paper 70291, University Library of Munich, Germany.
    77. Karaa, Rabaa & Slim, Skander & Hmaied, Dorra Mezzez, 2018. "Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange," Research in International Business and Finance, Elsevier, vol. 44(C), pages 88-99.
    78. Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo, 2016. "The role of volume in order book dynamics: a multivariate Hawkes process analysis," Papers 1602.07663, arXiv.org.
    79. Alva, Kenedy & Romo, Juan & Ruiz Ortega, Esther, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS ws092809, Universidad Carlos III de Madrid. Departamento de Estadística.
    80. Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, vol. 161(2), pages 284-303, April.
    81. Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W., 2015. "A misspecification test for multiplicative error models of non-negative time series processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 346-359.
    82. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.
    83. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.
    84. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    85. Roman Huptas, 2016. "The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(1), pages 1-20, March.

  35. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.

    Cited by:

    1. Sharif Mozumder & Arafatur Rahman, 2016. "Market Risk Of Investment In Us Subprime Crisis: Comparison Of A Pure Diffusion And A Pure Jump Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-17, September.
    2. Grigory Franguridi, 2014. "Higher order conditional moment dynamics and forecasting value-at-risk (in Russian)," Quantile, Quantile, issue 12, pages 69-82, February.
    3. David William Cattell, 2012. "An overview of component unit pricing theory," Construction Management and Economics, Taylor & Francis Journals, vol. 30(1), pages 81-92, December.
    4. Ana-Maria Gavril, 2009. "Exchange Rate Risk: Heads or Tails," Advances in Economic and Financial Research - DOFIN Working Paper Series 35, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
    5. Mateusz Buczyński & Marcin Chlebus, 2017. "Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(," Working Papers 2017-29, Faculty of Economic Sciences, University of Warsaw.
    6. Ghassan, Hassan B., 2017. "New alternative measuring financial stability," MPRA Paper 80508, University Library of Munich, Germany.
    7. Enrico Zaninotto & Alessandro Rossi & Loris Gaio, 1999. "Stochastic learning in coordination games: a simulation approach," Quaderni DISA 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 29 Jun 2003.
    8. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics.
    9. Muteba Mwamba, John Weirstrass & Tchuinkam Djemo, Charles Raoul, 2019. "Exchange Rate Risk and International Equity Portfolio Diversification: A South African Investor’s Perspective," MPRA Paper 97338, University Library of Munich, Germany.
    10. Adrián F. Rossignolo, 2021. "The New Standardised Approach as a Credible Fallback," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-27, Septiembr.
    11. Schaumburg, Julia, 2012. "Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4081-4096.
    12. Committee, Nobel Prize, 2003. "Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity," Nobel Prize in Economics documents 2003-1, Nobel Prize Committee.
    13. Med Imen Gallali & Raggad Zahraa, 2012. "Evaluation of VaR models' forecasting performance: the case of oil markets," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 5(3), pages 197-215.
    14. Chlebus Marcin, 2017. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Central European Economic Journal, Sciendo, vol. 3(50), pages 01-25, December.
    15. Ghassan, Hassan B. & Guendouz, Abdelkarim, 2018. "Panel Modeling of Z-score: Evidence from Islamic and Conventional Saudi Banks," MPRA Paper 95900, University Library of Munich, Germany, revised 05 Jan 2019.
    16. Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012. "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Post-Print hal-01386007, HAL.
    17. Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
    18. A. Amendola & V. Candila, 2016. "Evaluation of volatility predictions in a VaR framework," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 695-709, May.
    19. Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar, 2014. "Thinly traded securities and risk management," Estudios de Economia, University of Chile, Department of Economics, vol. 41(1 Year 20), pages 5-48, June.
    20. Daniel Mariño Ustacara & Luis Fernando Melo Velandia, 2016. "Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos," Borradores de Economia 939, Banco de la Republica de Colombia.
    21. Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Working Papers 318, Bank of Greece.
      • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 96563, University Library of Munich, Germany.
      • Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2061-2091, December.
      • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 94473, University Library of Munich, Germany.
    22. Marco Filagrana, 2002. "Il model risk nella gestione dei rischi di mercato," Alea Tech Reports 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    23. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    24. Santos, André A. P. & Nogales, Francisco J. & Ruiz Ortega, Esther, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de Estadística.
    25. Ghassan, Hassan B. & Taher, Farid B., 2013. "Financial Stability of Islamic and Conventional Banks in Saudi Arabia: Evidence using Pooled and Panel Models," MPRA Paper 54472, University Library of Munich, Germany, revised Dec 2013.
    26. Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
    27. Fong Chan, Kam & Gray, Philip, 2006. "Using extreme value theory to measure value-at-risk for daily electricity spot prices," International Journal of Forecasting, Elsevier, vol. 22(2), pages 283-300.
    28. Lima, Luiz Renato & Néri, Breno Pinheiro, 2007. "Comparing Value-at-Risk Methodologies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
    29. Dr. Kyriazopoulos Georgios & Dr. Drympetas Evaggelos & Kollias Konstantinos, 2020. "Risk Management after Mergers and Acquisitions. Evidence from the Greek Banking System," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(3), pages 1-5.
    30. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
    31. Wolfgang Aussenegg & Tatiana Miazhynskaia, 2006. "Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 243-264, September.
    32. Halkos, George & Tsirivis, Apostolos, 2019. "Using Value-at-Risk for effective energy portfolio risk management," MPRA Paper 91674, University Library of Munich, Germany.
    33. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," Revista de Economía del Rosario, Universidad del Rosario, December.
    34. Sabrina Khanniche, 2009. "Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models," EconomiX Working Papers 2009-46, University of Paris Nanterre, EconomiX.
    35. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
    36. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
    37. Allen, D.E. & McAleer, M.J. & Amram, R., 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Econometric Institute Research Papers EI 2011-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    38. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
    39. Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
    40. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange," Working Papers 0601, University of Crete, Department of Economics.
    41. Marios Nerouppos & David Saunders & Costas Xiouros & Stavros A. Zenios, 2006. "Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests," Multinational Finance Journal, Multinational Finance Journal, vol. 10(3-4), pages 179-221, September.
    42. Nieto, María Rosa & Ruiz Ortega, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    43. Cociuba Mihail Ioan & Zapodeanu Daniela & Kulcsar Edina, 2014. "Backtesting Value At Risk Models In The Presence Of Structural Break On The Romanian And Hungarian Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 802-812, July.
    44. Xianzi Yang & Chen Zhang & Yu Yang & Wenjun Wang & Zulfiqar Ali Wagan, 2022. "A new risk measurement method for China's carbon market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1280-1290, January.
    45. Natasha Kozul, 2010. "Value At Risk (Var) As A Market Risk Measure," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 6(11), pages 145-148.
    46. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    47. Dragicevic, Arnaud Z., 2019. "Rethinking the forestry in the Aquitaine massif through portfolio management," Forest Policy and Economics, Elsevier, vol. 109(C).
    48. Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
    49. di Mauro, Filippo & Fornari, Fabio & Mannucci, Dario, 2011. "Stock market firm-level information and real economic activity," Working Paper Series 1366, European Central Bank.
    50. Rossignolo, Adrian F. & Fethi, Meryem Duygun & Shaban, Mohamed, 2012. "Value-at-Risk models and Basel capital charges," Journal of Financial Stability, Elsevier, vol. 8(4), pages 303-319.
    51. Christian A. Johnson, 2002. "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile 136, Central Bank of Chile.
    52. Huang, Jiefei & Xu, Yang & Song, Yuping, 2022. "A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
    53. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
    54. Marián Rimarčík, 2005. "Porovnanie prístupov na výpočet hodnoty v riziku menových portfólií [Comparison of approaches for value-at-risk estimation of foreign exchange portfolios]," Politická ekonomie, Prague University of Economics and Business, vol. 2005(3), pages 323-336.
    55. Lúcio Godeiro, Lucas, 2012. "Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo [Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carl," MPRA Paper 45146, University Library of Munich, Germany.
    56. Giannis Vardas & Anastasios Xepapadeas, 2006. "Preserving Biodiversity: Ambiguity and Safety Rules," Working Papers 0607, University of Crete, Department of Economics.
    57. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance icma-dp2011-08, Henley Business School, University of Reading.
    58. Gonzales-Martínez, Rolando, 2009. "La Gestión de Riesgo de Liquidez en Economías Emergentes: Un Modelo Valor-en-Riesgo (VaR) Paramétrico de Calibración Indirecta y una Aplicación al Sistema Financiero Boliviano [Liquidity Risk Manag," MPRA Paper 14247, University Library of Munich, Germany.
    59. Sessi Tokpavi, 2013. "Testing for the Systemically Important Financial Institutions: a Conditional Approach," EconomiX Working Papers 2013-27, University of Paris Nanterre, EconomiX.
    60. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
    61. Roland Füss & Zeno Adams & Dieter G Kaiser, 2010. "The predictive power of value-at-risk models in commodity futures markets," Journal of Asset Management, Palgrave Macmillan, vol. 11(4), pages 261-285, October.
    62. Ben Salem, Ameni & Safer, Imene & Khefacha, Islem, 2022. "Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets," MPRA Paper 113350, University Library of Munich, Germany, revised May 2022.
    63. Victor Olkhov, 2021. "To VaR, or Not to VaR, That is the Question," Papers 2101.08559, arXiv.org, revised Oct 2021.
    64. BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2017. "Estimating The Return Of The Financial Titles Of The Companies From The Manufacturing Industry, Listed On The Bucharest Stock Exchange," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(3), pages 19-28, August.
    65. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
    66. Helmut Herwartz & Israel Waichman, 2010. "A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis," Computational Statistics, Springer, vol. 25(4), pages 725-732, December.
    67. Liu, Qingfu & An, Yunbi, 2014. "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 17-29.
    68. Lutz Kilian & Simone Manganelli, 2007. "Quantifying the Risk of Deflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 561-590, March.
    69. Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
    70. Muteba Mwamba, John & Mhlanga, Isaah, 2013. "Extreme conditional value at risk: a coherent scenario for risk management," MPRA Paper 64387, University Library of Munich, Germany.
    71. Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013. "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers) 4647, Inter-American Development Bank.
    72. Joel Hinaunye Eita & Charles Raoul Tchuinkam Djemo, 2022. "Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach," IJFS, MDPI, vol. 10(2), pages 1-29, April.
    73. Yassine Belasri & Rachid Ellaia, 2017. "Estimation of Volatility and Correlation with Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models: An Application to Moroccan Stock Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 384-396.
    74. Buczyński Mateusz & Chlebus Marcin, 2018. "Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(2), pages 67-82, June.
    75. Allen, David E. & Singh, Abhay K. & Powell, Robert J., 2013. "EVT and tail-risk modelling: Evidence from market indices and volatility series," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 355-369.
    76. Lidia Sanchis-Marco & Antonio Rubia Serrano, 2011. "On downside risk predictability through liquidity and trading activity: a quantile regression approach," Working Papers. Serie AD 2011-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    77. Ameni Ben Salem & Imene Safer & Islem Khefacha, 2021. "Value at Risk Estimation For the BRICS Countries : A Comparative Study," Post-Print hal-03502428, HAL.
    78. Philip Yu & Wai Keung Li & Shusong Jin, 2010. "On Some Models for Value-At-Risk," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 622-641.
    79. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.
    80. Santiago Carrillo Menéndez & Bertrand Kian Hassani, 2021. "Expected Shortfall Reliability—Added Value of Traditional Statistics and Advanced Artificial Intelligence for Market Risk Measurement Purposes," Mathematics, MDPI, vol. 9(17), pages 1-20, September.
    81. Claudiu Ilie OPREANA, 2013. "Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models," Expert Journal of Finance, Sprint Investify, vol. 1(1), pages 4-18, December.
    82. Zapodeanu Daniela & Cociuba Mihai & Petria Nicolae, 2012. "The Role Of Value At Risk In The Management Of Asset And Liabilities," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 635-640, December.
    83. Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
    84. Gan, Quan & Hill, Robert J., 2009. "Measuring housing affordability: Looking beyond the median," Journal of Housing Economics, Elsevier, vol. 18(2), pages 115-125, June.
    85. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    86. Rouetbi Emnal & Mamoghli Chokri, 2014. "Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 40-53.

  36. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.

    Cited by:

    1. Charle Augusto Londoño, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 62-109, July.
    2. Marco Bee & Fabrizio Miorelli, 2010. "Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis," Department of Economics Working Papers 1009, Department of Economics, University of Trento, Italia.
    3. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
    4. Rockinger, M. & Jondeau, E., 2001. "Conditional Dependency of Financial Series: An Application of Copulas," Working papers 82, Banque de France.
    5. Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
    6. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
    7. Kudryavtsev, Andrey A., 2009. "Using quantile regression for rate-making," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 296-304, October.
    8. Amiri , Hossein & Najafi Nejad , Mahmood & Mousavi , Seyede Mohadese, 2021. "Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 165-186, June.
    9. Rossi, E. & Spazzini, F., 2010. "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2786-2800, November.
    10. Cummins, J. David & Lalonde, David & Phillips, Richard D., 2004. "The basis risk of catastrophic-loss index securities," Journal of Financial Economics, Elsevier, vol. 71(1), pages 77-111, January.
    11. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston.
    12. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    13. Hongtao Guo & Miranda S. Lam & Guojun Wu & Zhijie Xiao, 2013. "Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 1-15.
    14. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    15. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
    16. Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
    17. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
    18. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
    19. Marcelo Bianconi & Joe A. Yoshino, 2012. "Worldwide Commodities Sector Market-To-Book and Return on Equity Valuation," Discussion Papers Series, Department of Economics, Tufts University 0772, Department of Economics, Tufts University.
    20. G'abor Petneh'azi, 2019. "Quantile Convolutional Neural Networks for Value at Risk Forecasting," Papers 1908.07978, arXiv.org, revised Sep 2020.
    21. Liu, Qingfu & An, Yunbi, 2014. "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 17-29.
    22. Szymon Lis & Marcin Chlebus, 2021. "Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts," Working Papers 2021-11, Faculty of Economic Sciences, University of Warsaw.
    23. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
    24. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
    25. Ming-Yuan Leon Li & Hsiou-wei William Lin, 2004. "Estimating value-at-risk via Markov switching ARCH models - an empirical study on stock index returns," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 679-691.
    26. Kritski, Oleg & Ulyanova, Marina, 2007. "Assessment of Multivariate Financial Risks of a Stock Share Portfolio," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 8(4), pages 3-17.
    27. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.
    28. Costello, Alexandra & Asem, Ebenezer & Gardner, Eldon, 2008. "Comparison of historically simulated VaR: Evidence from oil prices," Energy Economics, Elsevier, vol. 30(5), pages 2154-2166, September.

  37. Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.

    Cited by:

    1. Jin Seo Cho & Tae-Hwan Kim & Yongcheol Shin, 2014. "Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework," Working papers 2014rwp-69, Yonsei University, Yonsei Economics Research Institute.
    2. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
    3. Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009. "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, vol. 150(2), pages 261-270, June.
    4. Chan, Ngai Hang & Sit, Tony, 2016. "Artifactual unit root behavior of Value at risk (VaR)," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 88-93.
    5. James W. Taylor, 2012. "Density Forecasting of Intraday Call Center Arrivals Using Models Based on Exponential Smoothing," Management Science, INFORMS, vol. 58(3), pages 534-549, March.
    6. Guo, Yawei & Li, Jianping & Li, Yehua & You, Wanhai, 2021. "The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US," Energy Economics, Elsevier, vol. 97(C).
    7. Kingston, Kato Gogo, 2010. "The Dynamics of Gang Criminality and Corruption in Nigeria Universities: A Time Series Analysis," MPRA Paper 28607, University Library of Munich, Germany.
    8. Jozef Barun'ik & Matv{e}j Nevrla, 2018. "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Papers 1806.06148, arXiv.org, revised Dec 2021.
    9. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November.
    10. Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C., 2012. "Stock return autocorrelations revisited: A quantile regression approach," University of Tübingen Working Papers in Business and Economics 24, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    11. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022. "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 62(C).
    12. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
    13. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
    14. Eric Ghysels & Leonardo Iania & Jonas Striaukas, 2018. "Quantile-based Inflation Risk Models," Working Paper Research 349, National Bank of Belgium.
    15. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
    16. Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2008. "Backtesting Value-at-Risk : A GMM Duration-based Test," Post-Print halshs-00363168, HAL.
    17. Michael Clements, 2016. "Are Macroeconomic Density Forecasts Informative?," ICMA Centre Discussion Papers in Finance icma-dp2016-02, Henley Business School, University of Reading.
    18. Jian, Zhihong & Wu, Shuai & Zhu, Zhican, 2018. "Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach," Emerging Markets Review, Elsevier, vol. 37(C), pages 98-113.
    19. Gaglianone, Wagner Piazza & Guillén, Osmani Teixeira de Carvalho & Figueiredo, Francisco Marcos Rodrigues, 2018. "Estimating inflation persistence by quantile autoregression with quantile-specific unit roots," Economic Modelling, Elsevier, vol. 73(C), pages 407-430.
    20. Cathy W. S. Chen & Takaaki Koike & Wei-Hsuan Shau, 2024. "Tail risk forecasting with semi-parametric regression models by incorporating overnight information," Papers 2402.07134, arXiv.org.
    21. Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    22. Charle Augusto Londoño, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 62-109, July.
    23. Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Finance, Presses universitaires de Grenoble, vol. 33(1), pages 79-112.
    24. Meng, Xiaochun & Taylor, James W., 2018. "An approximate long-memory range-based approach for value at risk estimation," International Journal of Forecasting, Elsevier, vol. 34(3), pages 377-388.
    25. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2014. "Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas," SIRE Discussion Papers 2015-25, Scottish Institute for Research in Economics (SIRE).
    26. Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    27. Philipp Ratz, 2022. "Nonparametric Value-at-Risk via Sieve Estimation," Papers 2205.07101, arXiv.org.
    28. Mateusz Buczyński & Marcin Chlebus, 2017. "Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(," Working Papers 2017-29, Faculty of Economic Sciences, University of Warsaw.
    29. Lyu, Yongjian & Wang, Peng & Wei, Yu & Ke, Rui, 2017. "Forecasting the VaR of crude oil market: Do alternative distributions help?," Energy Economics, Elsevier, vol. 66(C), pages 523-534.
    30. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models," MPRA Paper 53229, University Library of Munich, Germany.
    31. Antonio Cosma & antonio.cosma@uni.lu & Michel Beine & Robert Vermeulen, 2009. "The Dark Side of Global Integration: Increasing Tail Dependence," LSF Research Working Paper Series 09-05, Luxembourg School of Finance, University of Luxembourg.
    32. Adediran, Idris A. & Swaray, Raymond, 2023. "Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty," Economic Modelling, Elsevier, vol. 123(C).
    33. Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier, 2008. "Evaluating Value-at-Risk Models with Desk-Level Data," CREATES Research Papers 2009-35, Department of Economics and Business Economics, Aarhus University.
    34. Julián Martínez-Iriarte & Gabriel Montes-Rojas & Yixiao Sun, 2022. "Location-Scale and Compensated Effects in Unconditional Quantile Regressions," Working Papers 127, Red Nacional de Investigadores en Economía (RedNIE).
    35. Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
    36. Prat, Georges & Uctum, Remzi, 2011. "Modelling oil price expectations: Evidence from survey data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 236-247, June.
    37. Zagaglia, Paolo, 2008. "Money-market segmentation in the euro area: what has changed during the turmoil?," Bank of Finland Research Discussion Papers 23/2008, Bank of Finland.
    38. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
    39. Timo Dimitriadis & Yannick Hoga, 2023. "Regressions under Adverse Conditions," Papers 2311.13327, arXiv.org.
    40. Wang, Xinyu & Qi, Zikang & Huang, Jianglu, 2023. "How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies," Economic Modelling, Elsevier, vol. 120(C).
    41. Elena-Ivona DUMITRESCU, 2011. "Backesting Value-at-Risk: From DQ (Dynamic Quantile) to DB (Dynamic Binary) Tests," LEO Working Papers / DR LEO 262, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    42. Xiu Xu & Andrija Mihoci & Wolfgang Karl Hardle, 2020. "lCARE -- localizing Conditional AutoRegressive Expectiles," Papers 2009.13215, arXiv.org.
    43. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    44. Peter S. Sephton, 2009. "Fractional integration in agricultural futures price volatilities revisited," Agricultural Economics, International Association of Agricultural Economists, vol. 40(1), pages 103-111, January.
    45. Liu Xiaochun & Luger Richard, 2018. "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1, April.
    46. Yuzhi Cai & Julian Stander, 2018. "The threshold GARCH model: estimation and density forecasting for financial returns," Working Papers 2018-23, Swansea University, School of Management.
    47. Xu, Yan & Wang, Xinyu & Liu, Hening, 2021. "Quantile-based GARCH-MIDAS: Estimating value-at-risk using mixed-frequency information," Finance Research Letters, Elsevier, vol. 43(C).
    48. Díaz, Antonio & Esparcia, Carlos, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, Elsevier, vol. 166(C), pages 1-22.
    49. Hagfors, Lars Ivar & Bunn, Derek & Kristoffersen, Eline & Staver, Tiril Toftdahl & Westgaard, Sjur, 2016. "Modeling the UK electricity price distributions using quantile regression," Energy, Elsevier, vol. 102(C), pages 231-243.
    50. Nowotarski, Jakub & Weron, Rafał, 2018. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1548-1568.
    51. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
    52. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021. "Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data," Working Papers 202146, University of Pretoria, Department of Economics.
    53. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(4), pages 693-724.
    54. Wang, Guochang & Zhu, Ke & Li, Guodong & Li, Wai Keung, 2022. "Hybrid quantile estimation for asymmetric power GARCH models," Journal of Econometrics, Elsevier, vol. 227(1), pages 264-284.
    55. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    56. Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020. "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers 2020-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    57. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
    58. Gian Piero Aielli, 2011. "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers 0142, Dipartimento di Scienze Economiche "Marco Fanno".
    59. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
    60. Mittnik, Stefan, 2014. "VaR-implied tail-correlation matrices," Economics Letters, Elsevier, vol. 122(1), pages 69-73.
    61. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    62. Ben Rejeb, Aymen & Arfaoui, Mongi, 2014. "Financial market interdependencies: a quantile regression analysis of volatility spillover," MPRA Paper 61516, University Library of Munich, Germany.
    63. Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
    64. James W. Taylor, 2005. "Generating Volatility Forecasts from Value at Risk Estimates," Management Science, INFORMS, vol. 51(5), pages 712-725, May.
    65. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics.
    66. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
    67. Weidong Lin & Abderrahim Taamouti, 2023. "Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach," Working Papers 202310, University of Liverpool, Department of Economics.
    68. Cai, Zongwu & Xu, Xiaoping, 2008. "Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1595-1608.
    69. Song, Shijia & Li, Handong, 2022. "Predicting VaR for China's stock market: A score-driven model based on normal inverse Gaussian distribution," International Review of Financial Analysis, Elsevier, vol. 82(C).
    70. Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org, revised Oct 2019.
    71. Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2009. "Copula-based nonlinear quantile autoregression," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 50-67, January.
    72. Oliver Linton & Yoon-Jae Whang, 2003. "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series 463, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    73. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    74. Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Measuring Success: Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers 11-19, Association Française de Cliométrie (AFC).
    75. Giacomini, Raffaella & Komunjer, Ivana, 2002. "Evaluation and Combination of Conditional Quantile Forecasts," University of California at San Diego, Economics Working Paper Series qt4n99t4wz, Department of Economics, UC San Diego.
    76. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
    77. CARPANTIER, Jean - François, 2010. "Commodities inventory effect," LIDAM Discussion Papers CORE 2010040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    78. Yingying Jiang & Fuming Lin & Yong Zhou, 2021. "The kth power expectile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(1), pages 83-113, February.
    79. Wanbing Zhang & Sisi Zhang & Peibiao Zhao, 2019. "On Double Value at Risk," Risks, MDPI, vol. 7(1), pages 1-22, March.
    80. Filip Žikeš & Jozef Baruník, 2016. "Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(1), pages 185-226.
    81. Laporta, Alessandro G. & Merlo, Luca & Petrella, Lea, 2018. "Selection of Value at Risk Models for Energy Commodities," Energy Economics, Elsevier, vol. 74(C), pages 628-643.
    82. Herrera, Rodrigo & González, Nicolás, 2014. "The modeling and forecasting of extreme events in electricity spot markets," International Journal of Forecasting, Elsevier, vol. 30(3), pages 477-490.
    83. Manuel Arellano & Stéphane Bonhomme, 2015. "Nonlinear panel data estimation via quantile regressions," CeMMAP working papers CWP40/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    84. Nikola Radivojevic & Milena Cvjetkovic & Saša Stepanov, 2016. "The new hybrid value at risk approach based on the extreme value theory," Estudios de Economia, University of Chile, Department of Economics, vol. 43(1 Year 20), pages 29-52, June.
    85. Fernanda Fuentes & Rodrigo Herrera & Adam Clements, 2016. "Modelling Extreme Risks in Commodities and Commodity Currencies," NCER Working Paper Series 115, National Centre for Econometric Research.
    86. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
    87. Mr. Germán López-Espinosa & Mr. Antonio Rubia & Ms. Laura Valderrama & Mr. Antonio Moreno, 2012. "Systemic Risk and Asymmetric Responses in the Financial Industry," IMF Working Papers 2012/152, International Monetary Fund.
    88. Matteo Grigoletto & Francesco Lisi, 2011. "Practical implications of higher moments in risk management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(4), pages 487-506, November.
    89. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    90. CORONEO, Laura & VEREDAS, David, 2006. "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," LIDAM Discussion Papers CORE 2006077, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    91. Olmo Jose & Pouliot William, 2011. "Early Detection Techniques for Market Risk Failure," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-55, September.
    92. Kawakatsu, Hiroyuki, 2007. "Specification and estimation of discrete time quadratic stochastic volatility models," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 424-442, June.
    93. Taylor, Nicholas, 2007. "A note on the importance of overnight information in risk management models," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 161-180, January.
    94. Taylor, James W., 2022. "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, vol. 140(C).
    95. Schaumburg, Julia, 2012. "Predicting extreme value at risk: Nonparametric quantile regression with refinements from extreme value theory," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4081-4096.
    96. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
    97. Laura Garcia‐Jorcano & Alfonso Novales, 2021. "Volatility specifications versus probability distributions in VaR forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 189-212, March.
    98. Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
    99. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute.
    100. Baur, Dirk G. & Schulze, Niels, 2009. "Financial market stability--A test," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 506-519, July.
    101. Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
    102. Zouheir Mighri & Raouf Jaziri, 2023. "Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 41-97, March.
    103. Cho, Haeran & Korkas, Karolos K., 2022. "High-dimensional GARCH process segmentation with an application to Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 23(C), pages 187-203.
    104. Loriano Mancini & Fabio Trojani, 2011. "Robust Value at Risk Prediction," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(2), pages 281-313, Spring.
    105. Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2022. "Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    106. James, Robert & Leung, Henry & Leung, Jessica Wai Yin & Prokhorov, Artem, 2023. "Forecasting tail risk measures for financial time series: An extreme value approach with covariates," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 29-50.
    107. Yue Liu & Hao Dong & Pierre Failler, 2019. "The Oil Market Reactions to OPEC’s Announcements," Energies, MDPI, vol. 12(17), pages 1-15, August.
    108. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
    109. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
    110. Committee, Nobel Prize, 2003. "Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity," Nobel Prize in Economics documents 2003-1, Nobel Prize Committee.
    111. So Yeon Chun & Alexander Shapiro & Stan Uryasev, 2012. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," Operations Research, INFORMS, vol. 60(4), pages 739-756, August.
    112. Auer, Benjamin R., 2016. "How does Germany's green energy policy affect electricity market volatility? An application of conditional autoregressive range models," Energy Policy, Elsevier, vol. 98(C), pages 621-628.
    113. Habert white & Tae-Hwan Kim & Simone Manganelli, 2012. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers 2012rwp-45, Yonsei University, Yonsei Economics Research Institute.
    114. Ke, Rui & Yang, Luyao & Tan, Changchun, 2022. "Forecasting tail risk for Bitcoin: A dynamic peak over threshold approach," Finance Research Letters, Elsevier, vol. 49(C).
    115. H. Rangika Iroshani Peiris & Chao Wang & Richard Gerlach & Minh-Ngoc Tran, 2024. "Semi-parametric financial risk forecasting incorporating multiple realized measures," Papers 2402.09985, arXiv.org.
    116. Martin Iseringhausen, 2021. "A time-varying skewness model for Growth-at-Risk," Working Papers 49, European Stability Mechanism.
    117. Gkillas, Konstantinos & Konstantatos, Christoforos & Tsagkanos, Athanasios & Siriopoulos, Costas, 2021. "Do economic news releases affect tail risk? Evidence from an emerging market," Finance Research Letters, Elsevier, vol. 40(C).
    118. Jozef Barun'ik & Tobias Kley, 2015. "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers 1510.06946, arXiv.org, revised Dec 2018.
    119. Lazar, Emese & Xue, Xiaohan, 2020. "Forecasting risk measures using intraday data in a generalized autoregressive score framework," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1057-1072.
    120. Samit Paul & Madhusudan Karmakar, 2017. "Relative Efficiency of Component GARCH-EVT Approach in Managing Intraday Market Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 21(4), pages 247-283, December.
    121. Lee, Sangyeol & Meintanis, Simos G. & Pretorius, Charl, 2022. "Monitoring procedures for strict stationarity based on the multivariate characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    122. Chlebus Marcin, 2017. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Central European Economic Journal, Sciendo, vol. 3(50), pages 01-25, December.
    123. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
    124. Moosup Kim & Sangyeol Lee, 2019. "Test for tail index constancy of GARCH innovations based on conditional volatility," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 947-981, August.
    125. Krenar AVDULAJ & Jozef BARUNIK, 2013. "Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 425-442, November.
    126. Bahram Pesaran & M. Hashem Pesaran, 2010. "Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash," CESifo Working Paper Series 3023, CESifo.
    127. Bersimis, Sotirios & Degiannakis, Stavros & Georgakellos, Dimitrios, 2015. "Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting," MPRA Paper 65865, University Library of Munich, Germany.
    128. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
    129. Chen, Cathy W.S. & Hsu, Hsiao-Yun & Watanabe, Toshiaki, 2023. "Tail risk forecasting of realized volatility CAViaR models," Finance Research Letters, Elsevier, vol. 51(C).
    130. Jorge E. Galán & María Rodríguez Moreno, 2020. "At-risk measures and financial stability," Financial Stability Review, Banco de España, issue NOV.
    131. Wu, JunFeng & Zhang, Chao & Chen, Yun, 2022. "Analysis of risk correlations among stock markets during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).
    132. Corsi, Fulvio & Lillo, Fabrizio & Pirino, Davide & Trapin, Luca, 2018. "Measuring the propagation of financial distress with Granger-causality tail risk networks," Journal of Financial Stability, Elsevier, vol. 38(C), pages 18-36.
    133. Haugom, Erik & Ray, Rina, 2017. "Heterogeneous traders, liquidity, and volatility in crude oil futures market," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 36-49.
    134. Massimiliano Marzo & Paolo Zagaglia, 2010. "Gold and the U.S. Dollar: Tales from the Turmoil," Working Paper series 08_10, Rimini Centre for Economic Analysis.
    135. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," LIDAM Discussion Papers CORE 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    136. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    137. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    138. Martin Geiger & Elias Hasler & Martin Gächter, 2021. "On the structural determinants of growth-at-risk," Arbeitspapiere 70, Liechtenstein-Institut.
    139. Marrocu, Emanuela & Paci, Raffaele & Zara, Andrea, 2015. "Micro-economic determinants of tourist expenditure: A quantile regression approach," Tourism Management, Elsevier, vol. 50(C), pages 13-30.
    140. Fei, Fei & Fuertes, Ana-Maria & Kalotychou, Elena, 2017. "Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching," International Journal of Forecasting, Elsevier, vol. 33(3), pages 662-678.
    141. Wei Kuang, 2021. "Dynamic VaR forecasts using conditional Pearson type IV distribution," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 500-511, April.
    142. Qifa Xu & Lu Chen & Cuixia Jiang & Yezheng Liu, 2022. "Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 407-421, April.
    143. Galvao Jr, A. F. & Montes-Rojas, G. & Park, S. Y., 2009. "Quantile autoregressive distributed lag model with an application to house price returns," Working Papers 09/04, Department of Economics, City University London.
    144. Shao, Xi-Dong & Lian, Yu-Jun & Yin, Lian-Qian, 2009. "Forecasting Value-at-Risk using high frequency data: The realized range model," Global Finance Journal, Elsevier, vol. 20(2), pages 128-136.
    145. Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022. "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print hal-03287947, HAL.
    146. Harminder B. Nath & Robert D. Brooks, 2020. "Investor-herding and risk-profiles: A State-Space Model-based Assessment," Monash Econometrics and Business Statistics Working Papers 9/20, Monash University, Department of Econometrics and Business Statistics.
    147. Ardia, David & Bluteau, Keven & Rüede, Maxime, 2019. "Regime changes in Bitcoin GARCH volatility dynamics," Finance Research Letters, Elsevier, vol. 29(C), pages 266-271.
    148. Catania, Leopoldo & Grassi, Stefano, 2022. "Forecasting cryptocurrency volatility," International Journal of Forecasting, Elsevier, vol. 38(3), pages 878-894.
    149. Jeremy Berkowitz & James M. O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.).
    150. Odusami, Babatunde O, 2021. "Forecasting the Value-at-Risk of REITs using realized volatility jump models," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    151. Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
    152. Haugom, Erik & Ray, Rina & Ullrich, Carl J. & Veka, Steinar & Westgaard, Sjur, 2016. "A parsimonious quantile regression model to forecast day-ahead value-at-risk," Finance Research Letters, Elsevier, vol. 16(C), pages 196-207.
    153. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Non-linear volatility dynamics and risk management of precious metals," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 183-202.
    154. Luca Merlo & Lea Petrella & Valentina Raponi, 2021. "Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation," Papers 2106.06518, arXiv.org.
    155. Onder Buberkoku, 2018. "Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 36-50.
    156. Lin, Wei & Cai, Zongwu & Li, Zheng & Su, Li, 2015. "Optimal smoothing in nonparametric conditional quantile derivative function estimation," Journal of Econometrics, Elsevier, vol. 188(2), pages 502-513.
    157. L. Kourouma & Denis Dupré & G. Sanfilippo & O. Taramasco, 2011. "Extreme Value at Risk and Expected Shortfall during Financial Crisis," Post-Print halshs-00658495, HAL.
    158. Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, vol. 31(C), pages 276-285.
    159. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, vol. 42(C), pages 332-342.
    160. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
      • Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
    161. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, October.
    162. Szubzda Filip & Chlebus Marcin, 2019. "Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions," Central European Economic Journal, Sciendo, vol. 6(53), pages 70-85, January.
    163. Saissi Hassani, Samir & Dionne, Georges, 2021. "The New International Regulation of Market Risk: Roles of VaR and CVaR in Model Validation," Working Papers 21-1, HEC Montreal, Canada Research Chair in Risk Management.
    164. Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
    165. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2014. "Realized volatility models and alternative Value-at-Risk prediction strategies," Economic Modelling, Elsevier, vol. 40(C), pages 101-116.
    166. Saissi Hassani, Samir & Dionne, Georges, 2023. "Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation," Working Papers 23-2, HEC Montreal, Canada Research Chair in Risk Management.
    167. Cathy W.S. Chen & Toshiaki Watanabe, 2019. "Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(3), pages 747-765, May.
    168. Ahmed, Ali & Granberg, Mark & Troster, Victor & Uddin, Gazi Salah, 2020. "Asymmetric Dynamics between Uncertainty and Unemployment Flows in the United States," LiU Working Papers in Economics 7, Linköping University, Division of Economics, Department of Management and Engineering.
    169. Wilson Calmon & Eduardo Ferioli & Davi Lettieri & Johann Soares & Adrian Pizzinga, 2021. "An Extensive Comparison of Some Well‐Established Value at Risk Methods," International Statistical Review, International Statistical Institute, vol. 89(1), pages 148-166, April.
    170. Khalifa, Ahmed & Caporin, Massimiliano & Costola, Michele & Hammoudeh, Shawkat, 2017. "Systemic risk for financial institutions of major petroleum-based economies: The role of oil," SAFE Working Paper Series 172, Leibniz Institute for Financial Research SAFE, revised 2017.
    171. Yuta Kurose & Yasuhiro Omori, 2012. "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series CIRJE-F-845, CIRJE, Faculty of Economics, University of Tokyo.
    172. Xiaochun Liu, 2017. "An integrated macro‐financial risk‐based approach to the stressed capital requirement," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 86-98, September.
    173. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    174. Vacca, Gianmarco & Zoia, Maria Grazia & Bagnato, Luca, 2022. "Forecasting in GARCH models with polynomially modified innovations," International Journal of Forecasting, Elsevier, vol. 38(1), pages 117-141.
    175. Pritsker, Matthew, 2006. "The hidden dangers of historical simulation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 561-582, February.
    176. Lucas, André & Zhang, Xin, 2015. "Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting," Working Paper Series 309, Sveriges Riksbank (Central Bank of Sweden).
    177. Durán Santomil, Pablo & Otero González, Luís & Martorell Cunill, Onofre & Merigó Lindahl, José M., 2018. "Backtesting an equity risk model under Solvency II," Journal of Business Research, Elsevier, vol. 89(C), pages 216-222.
    178. Jean-François Carpantier & Arnaud Dufays, 2012. "Commodities volatility and the theory of storage," Working Papers hal-01821149, HAL.
    179. Zhengkun Li & Minh-Ngoc Tran & Chao Wang & Richard Gerlach & Junbin Gao, 2020. "A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting," Papers 2001.08374, arXiv.org, revised May 2021.
    180. Weronika Ormaniec & Marcin Pitera & Sajad Safarveisi & Thorsten Schmidt, 2022. "Estimating value at risk: LSTM vs. GARCH," Papers 2207.10539, arXiv.org.
    181. CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki & 渡部, 渡部, 2015. "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management," Discussion paper series HIAS-E-16, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    182. Nicholas Apergis, 2022. "Evaluating tail risks for the U.S. economic policy uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3971-3989, October.
    183. Peng, Wei, 2021. "The transmission of default risk between banks and countries based on CAViaR models," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 500-509.
    184. Song, Shijia & Tian, Fei & Li, Handong, 2021. "An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution," Journal of Asian Economics, Elsevier, vol. 74(C).
    185. Katarzyna Bien-Barkowska, 2012. ""Does it take volume to move fx rates?" Evidence from quantile regressions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 35-52.
    186. Hwai-Chung Ho, 2022. "Forecasting the distribution of long-horizon returns with time-varying volatility," Papers 2201.07457, arXiv.org.
    187. Krzysztof Echaust & Małgorzata Just, 2020. "Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection," Mathematics, MDPI, vol. 8(1), pages 1-24, January.
    188. Resul Aydemir & Huzeyfe Zahit Atan & Bulent Guloglu, 2022. "How do the global equity and bond markets affect Islamic and conventional banks? A comparative cross-country analysis using multivariate regression quantiles," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 95-114, March.
    189. GIOT, Pierre & LAURENT, Sébastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," LIDAM Reprints CORE 1708, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    190. Adams, Zeno & Füss, Roland & Gropp, Reint, 2014. "Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 575-598, June.
    191. Salisu, Afees A. & Olaniran, Abeeb & Tchankam, Jean Paul, 2022. "Oil tail risk and the tail risk of the US Dollar exchange rates," Energy Economics, Elsevier, vol. 109(C).
    192. Zaichao Du & Pei Pei, 2020. "Backtesting portfolio value‐at‐risk with estimated portfolio weights," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 605-619, September.
    193. Daniel Mariño-Ustacara & Luis Fernando Melo-Velandia, 2016. "Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica," Borradores de Economia 975, Banco de la Republica de Colombia.
    194. Jürgen Franke & Peter Mwita & Weining Wang, 2014. "Nonparametric Estimates for Conditional Quantiles of Time Series," SFB 649 Discussion Papers SFB649DP2014-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    195. Wen Cheong Chin & Min Cherng Lee, 2018. "S&P500 volatility analysis using high-frequency multipower variation volatility proxies," Empirical Economics, Springer, vol. 54(3), pages 1297-1318, May.
    196. DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge.
    197. Foglia, Matteo & Angelini, Eliana, 2020. "The diabolical sovereigns/banks risk loop: A VAR quantile design," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    198. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis," Emerging Markets Review, Elsevier, vol. 31(C), pages 32-46.
    199. Nicholas Apergis, 2023. "Forecasting energy prices: Quantile‐based risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 17-33, January.
    200. Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
    201. Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016. "Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices," Annals of Economics and Statistics, GENES, issue 123-124, pages 103-134.
    202. Maziar Sahamkhadam & Andreas Stephan, 2023. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2139-2166, December.
    203. Chi Ming Wong & Lei Lam Olivia Ting, 2016. "A Quantile Regression Approach to the Multiple Period Value at Risk Estimation," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(1), pages 1-35, February.
    204. Jinjarak, Yothin & Zheng, Huanhuan, 2014. "Granular institutional investors and global market interdependence," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 61-81.
    205. Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo.
    206. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021. "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
    207. F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers 1610.02863, arXiv.org.
    208. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, Institute of Labor Economics (IZA).
    209. Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.
    210. Milan Szabo, 2020. "Growth-at-Risk: Bayesian Approach," Working Papers 2020/3, Czech National Bank.
    211. Gloria Gonzalez-Rivera & Javier Arroyo & Carlos Mate & A. Munoz San Roque, 2011. "Smoothing Methods for Histogram-valued Time Series. An Application to Value-at-Risk," Working Papers 201433, University of California at Riverside, Department of Economics.
    212. Gregory, Allan W. & Reeves, Jonathan J., 2008. "Interpreting Value at Risk (VaR) forecasts," Economic Systems, Elsevier, vol. 32(2), pages 167-176, June.
    213. Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
    214. Santos, Douglas G. & Candido, Osvaldo & Tófoli, Paula V., 2022. "Forecasting risk measures using intraday and overnight information," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    215. Zhao, Yixiu & Upreti, Vineet & Cai, Yuzhi, 2021. "Stock returns, quantile autocorrelation, and volatility forecasting," International Review of Financial Analysis, Elsevier, vol. 73(C).
    216. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288, Elsevier.
    217. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2023. "Modeling and evaluating conditional quantile dynamics in VaR forecasts," Papers 2305.20067, arXiv.org.
    218. Taylor, James W., 2021. "Evaluating quantile-bounded and expectile-bounded interval forecasts," International Journal of Forecasting, Elsevier, vol. 37(2), pages 800-811.
    219. Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach," Working Papers of BETA 2019-43, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    220. Xu, Qifa & Li, Mengting & Jiang, Cuixia & He, Yaoyao, 2019. "Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    221. Xing Yan & Weizhong Zhang & Lin Ma & Wei Liu & Qi Wu, 2020. "Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning," Papers 2010.08263, arXiv.org.
    222. Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
    223. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006. "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series 2006/23, Center for Financial Studies (CFS).
    224. Escanciano, J. C. & Olmo, J., 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers 07/11, Department of Economics, City University London.
    225. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
    226. Ren, Yinghua & Zhao, Wanru & You, Wanhai & Zhu, Huiming, 2022. "Multiscale features of extreme risk spillover networks among global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    227. Frésard, Laurent & Pérignon, Christophe & Wilhelmsson, Anders, 2011. "The pernicious effects of contaminated data in risk management," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2569-2583, October.
    228. Guillaume Carlier & Victor Chernozhukov & Alfred Galichon, 2014. "Vector quantile regression," CeMMAP working papers 48/14, Institute for Fiscal Studies.
    229. Bauwens Luc & Storti Giuseppe, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-33, May.
    230. Michal Franta, 2023. "The Application of Multiple-Output Quantile Regression on the US Financial Cycle," Working Papers 2023/2, Czech National Bank.
    231. Oka, Tatsushi & Qu, Zhongjun, 2011. "Estimating structural changes in regression quantiles," Journal of Econometrics, Elsevier, vol. 162(2), pages 248-267, June.
    232. Azam, Kazim, 2014. "Dependence Analysis between Foreign Exchange Rates: A Semi-Parametric Copula Approach," Economic Research Papers 270231, University of Warwick - Department of Economics.
    233. Barbara Będowska-Sójka, 2018. "Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate," Risk Management, Palgrave Macmillan, vol. 20(4), pages 326-346, November.
    234. Cappiello, Lorenzo & Manganelli, Simone & Gérard, Bruno, 2005. "Measuring comovements by regression quantiles," Working Paper Series 501, European Central Bank.
    235. El Bouhadi, Abdelhamid & Achibane, Khalid, 2009. "The Predictive Power of Conditional Models: What Lessons to Draw with Financial Crisis in the Case of Pre-Emerging Capital Markets?," MPRA Paper 19482, University Library of Munich, Germany.
    236. Michele Leonardo Bianchi & Giovanni De Luca & Giorgia Rivieccio, 2020. "CoVaR with volatility clustering, heavy tails and non-linear dependence," Papers 2009.10764, arXiv.org.
    237. Lazar, Emese & Wang, Shixuan & Xue, Xiaohan, 2023. "Loss function-based change point detection in risk measures," European Journal of Operational Research, Elsevier, vol. 310(1), pages 415-431.
    238. Turan Bali & Panayiotis Theodossiou, 2007. "A conditional-SGT-VaR approach with alternative GARCH models," Annals of Operations Research, Springer, vol. 151(1), pages 241-267, April.
    239. S Datta & C W J Granger & M Barari & T Gibbs, 2007. "Management of supply chain: an alternative modelling technique for forecasting," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(11), pages 1459-1469, November.
    240. Wolf, Elias, 2023. "Estimating Growth at Risk with Skewed Stochastic Volatility Models," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277696, Verein für Socialpolitik / German Economic Association.
    241. Daniele Massacci, 2017. "Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness," Management Science, INFORMS, vol. 63(9), pages 3072-3089, September.
    242. Raffaella Calabrese & Johan A. Elkink & Paolo Giudici, 2014. "Measuring Bank Contagion in Europe Using Binary Spatial Regression Models," DEM Working Papers Series 096, University of Pavia, Department of Economics and Management.
    243. Ando, Tomohiro & Bai, Jushan, 2018. "Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity," MPRA Paper 88765, University Library of Munich, Germany.
    244. Emmanuel Torsen & Peter N. Mwita & Joseph K. Mung’atu, 2019. "A Three-Step Nonparametric Estimation of Conditional Value-At-Risk Admitting a Location-Scale Model," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 8(4), pages 1-1.
    245. Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
    246. Santos, André A. P. & Nogales, Francisco J. & Ruiz Ortega, Esther, 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de Estadística.
    247. Kevin Sheppard & Andrew J. Patton, 2008. "Evaluating Volatility and Correlation Forecasts," Economics Series Working Papers 2008fe22, University of Oxford, Department of Economics.
    248. Carlos Martins-Filho & Feng Yao & Maximo Torero, 2012. "Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory," Working Papers 13-05, Department of Economics, West Virginia University.
    249. Herwartz, Helmut, 2009. "Exact inference in diagnosing Value-at-Risk estimates -- A Monte Carlo device," Economics Letters, Elsevier, vol. 103(3), pages 160-162, June.
    250. Yanqiong Liu & Zhenghui Li & Yanyan Yao & Hao Dong, 2021. "Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil," Energies, MDPI, vol. 14(13), pages 1-22, July.
    251. Wied, Dominik & Weiß, Gregor N.F. & Ziggel, Daniel, 2016. "Evaluating Value-at-Risk forecasts: A new set of multivariate backtests," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 121-132.
    252. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    253. Hoga, Yannick, 2021. "The uncertainty in extreme risk forecasts from covariate-augmented volatility models," International Journal of Forecasting, Elsevier, vol. 37(2), pages 675-686.
    254. Kwon, Ji Ho, 2019. "Tail risk and the consumption CAPM," Finance Research Letters, Elsevier, vol. 30(C), pages 69-75.
    255. Bee, Marco & Dupuis, Debbie J. & Trapin, Luca, 2016. "Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 86-99.
    256. Geenens, Gery & Dunn, Richard, 2022. "A nonparametric copula approach to conditional Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 21(C), pages 19-37.
    257. Zeng, Jhih-Hong & Peng, Chi-Lu & Chen, Ming-Chi & Lee, Chien-Chiang, 2013. "Wealth effects on the housing markets: Do market liquidity and market states matter?," Economic Modelling, Elsevier, vol. 32(C), pages 488-495.
    258. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
    259. Gilbert W. Bassett Jr Bassett & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers CWP09/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    260. Pitselis, Georgios, 2017. "Risk measures in a quantile regression credibility framework with Fama/French data applications," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 122-134.
    261. Mohamed Chikhi & Claude Diebolt & Tapas Mishra, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers of BETA 2019-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    262. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
    263. Wang, Meng & Chen, Zhao & Wang, Christina Dan, 2018. "Composite quantile regression for GARCH models using high-frequency data," Econometrics and Statistics, Elsevier, vol. 7(C), pages 115-133.
    264. Sander Barendse & Erik Kole & Dick van Dijk, 2019. "Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error," Tinbergen Institute Discussion Papers 19-058/III, Tinbergen Institute.
    265. Hafner, Christian & Reznikova, Olga, 2010. "Efficient estimation of a semiparametric dynamic copula model," LIDAM Reprints ISBA 2010033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    266. Huang, Alex YiHou, 2010. "An optimization process in Value-at-Risk estimation," Review of Financial Economics, Elsevier, vol. 19(3), pages 109-116, August.
    267. Shekar Bose & Hafizur Rahman, 2022. "Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market," SAGE Open, , vol. 12(4), pages 21582440221, October.
    268. Xuening Zhu & Wolfgang K. Härdle & Weining Wang & Hangsheng Wang, 2016. "Network Quantile Autoregression," SFB 649 Discussion Papers SFB649DP2016-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    269. Wang, Gang-Jin & Chen, Yang-Yang & Si, Hui-Bin & Xie, Chi & Chevallier, Julien, 2021. "Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 325-347.
    270. Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao, 2010. "Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-26, March.
    271. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    272. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
    273. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers 25/12, Institute for Fiscal Studies.
    274. Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
    275. Abad, Pilar & Benito, Sonia, 2013. "A detailed comparison of value at risk estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 258-276.
    276. Alain Hecq & Li Sun, 2021. "Adaptive Random Bandwidth for Inference in CAViaR Models," Papers 2102.01636, arXiv.org.
    277. F. Lilla, 2016. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers wp1084, Dipartimento Scienze Economiche, Universita' di Bologna.
    278. Yuya Sasaki & Yulong Wang, 2019. "Fixed-k Inference for Conditional Extremal Quantiles," Papers 1909.00294, arXiv.org, revised Jul 2020.
    279. Storti, Giuseppe & Wang, Chao, 2022. "Nonparametric expected shortfall forecasting incorporating weighted quantiles," International Journal of Forecasting, Elsevier, vol. 38(1), pages 224-239.
    280. Aslanidis, Nektarios & Casas, Isabel, 2011. "Modelling asset correlations: A nonparametric approach," Working Papers 2011-01, University of Sydney, School of Economics.
    281. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2011. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2011-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    282. Zhang-Hangjian Chen & Xiang Gao & Apicha Insuwan, 2023. "Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
    283. Wuyi Ye & Kebing Luo & Shaofu Du, 2014. "Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-12, June.
    284. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(4), pages 649-677.
    285. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
    286. Xiaochun Liu, 2016. "Markov switching quantile autoregression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
    287. Deniz Erer, 2023. "The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 105-126, June.
    288. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
    289. Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456.
    290. Chen, Qian & Gerlach, Richard & Lu, Zudi, 2012. "Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3498-3516.
    291. Christophe Hurlin & Christophe Pérignon, 2012. "Margin Backtesting," Working Papers halshs-00746274, HAL.
    292. Fukker, Gábor & Kaijser, Michiel & Mingarelli, Luca & Sydow, Matthias, 2022. "Contagion from market price impact: a price-at-risk perspective," Working Paper Series 2692, European Central Bank.
    293. Lima, Luiz Renato & Néri, Breno Pinheiro, 2007. "Comparing Value-at-Risk Methodologies," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
    294. Tae-Hwan Kim & Dong Jin Lee & Paul Mizen, 2020. "Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy," Working papers 2020rwp-164, Yonsei University, Yonsei Economics Research Institute.
    295. Bonaccolto, Giovanni & Caporin, Massimiliano & Paterlini, Sandra, 2019. "Decomposing and backtesting a flexible specification for CoVaR," Journal of Banking & Finance, Elsevier, vol. 108(C).
    296. Harmindar B. Nath & Vasilis Sarafidis, 2017. "Does persistence in idiosyncratic risk proxy return-reversals?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(8), pages 27-53, October.
    297. Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
    298. YiHao Lai, 2008. "Does Asymmetric Dependence Structure Matter? A Value-at-Risk View," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 249-268, December.
    299. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
    300. Christophe Boucher & Sessi Tokpavi, 2019. "Stocks and Bonds: Flight-to-Safety for Ever?," Post-Print hal-02067096, HAL.
    301. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
    302. Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
    303. Gaoke Liao & Zhenghui Li & Ziqing Du & Yue Liu, 2019. "The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks," Energies, MDPI, vol. 12(11), pages 1-17, June.
    304. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers 2017-10, University of Tasmania, Tasmanian School of Business and Economics.
    305. Ra l De Jes s Guti rrez & Lidia E. Carvajal Guti rrez & Oswaldo Garcia Salgado, 2023. "Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 467-480, July.
    306. Braione, Manuela & Scholtes, Nicolas K., 2014. "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," LIDAM Discussion Papers CORE 2014059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    307. Michael B. Gordy & Alexander J. McNeil, 2018. "Spectral Backtests of Forecast Distributions with Application to Risk Management," Finance and Economics Discussion Series 2018-021, Board of Governors of the Federal Reserve System (U.S.).
    308. Tafakori, Laleh & Pourkhanali, Armin & Fard, Farzad Alavi, 2018. "Forecasting spikes in electricity return innovations," Energy, Elsevier, vol. 150(C), pages 508-526.
    309. Sonia Benito Muela & Mª Ángeles Navarro, 2018. "Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)," Documentos de Trabajo del ICAE 2018-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    310. Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
    311. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021. "Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data," Working Papers 202165, University of Pretoria, Department of Economics.
    312. Joanna Bruzda, 2020. "Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(1), pages 309-336, March.
    313. Ye, Wuyi & Luo, Kebing & Liu, Xiaoquan, 2017. "Time-varying quantile association regression model with applications to financial contagion and VaR," European Journal of Operational Research, Elsevier, vol. 256(3), pages 1015-1028.
    314. Luciano De Castro & Antonio F. Galvao & Gabriel Montes Rojas & José Olmo, 2020. "Portfolio Selection in Quantile Decision Models," Working Papers 11, Red Nacional de Investigadores en Economía (RedNIE).
    315. Donggyu Kim & Minseog Oh & Yazhen Wang, 2022. "Conditional quantile analysis for realized GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 640-665, July.
    316. Reber, Beat, 2017. "Does mispricing, liquidity or third-party certification contribute to IPO downside risk?," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 25-53.
    317. Shen, Yifan & Shi, Xunpeng & Variam, Hari Malamakkavu Padinjare, 2018. "Risk transmission mechanism between energy markets: A VAR for VaR approach," Energy Economics, Elsevier, vol. 75(C), pages 377-388.
    318. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2019. "Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR," Annals of Operations Research, Springer, vol. 281(1), pages 423-453, October.
    319. Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
    320. Bertrand Candelon & Marc Joëts & Sessi Tokpavi, 2012. "Testing for crude oil markets globalization during extreme price movements," Post-Print hal-01386081, HAL.
    321. Philippe Charlot & Vêlayoudom Marimoutou, 2011. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)," Working Papers hal-00605965, HAL.
    322. Dahen, Hela & Dionne, Georges, 2010. "Scaling models for the severity and frequency of external operational loss data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1484-1496, July.
    323. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
    324. Patra, Saswat, 2021. "Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions," Energy Economics, Elsevier, vol. 101(C).
    325. M. Hashem Pesaran & Bahram Pesaran, 2007. "Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," CESifo Working Paper Series 2056, CESifo.
    326. He, Kaijian & Tso, Geoffrey K.F. & Zou, Yingchao & Liu, Jia, 2018. "Crude oil risk forecasting: New evidence from multiscale analysis approach," Energy Economics, Elsevier, vol. 76(C), pages 574-583.
    327. Martínez-Iriarte, Julián & Montes-Rojas, Gabriel & Sun, Yixiao, 2024. "Unconditional effects of general policy interventions," Journal of Econometrics, Elsevier, vol. 238(2).
    328. Liu, Shouwei & Tse, Yiu-Kuen, 2015. "Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach," Journal of Econometrics, Elsevier, vol. 189(2), pages 437-446.
    329. Lu-Tao Zhao & Li-Na Liu & Zi-Jie Wang & Ling-Yun He, 2019. "Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
    330. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Gurcan Aygun & Mark E. Wohar, 2022. "Effectiveness of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies," Empirical Economics, Springer, vol. 63(4), pages 1741-1769, October.
    331. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
    332. Corbet, Shaen & Katsiampa, Paraskevi & Lau, Chi Keung Marco, 2020. "Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    333. Mighri, Zouheir & Ragoubi, Hanen & Sarwar, Suleman & Wang, Yihan, 2022. "Quantile Granger causality between US stock market indices and precious metal prices," Resources Policy, Elsevier, vol. 76(C).
    334. Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2021. "Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data," Working Papers 202117, University of Pretoria, Department of Economics.
    335. Ostap Okhrin & Alexander Ristig & Jeffrey Sheen & Stefan Trück, 2015. "Conditional Systemic Risk with Penalized Copula," SFB 649 Discussion Papers SFB649DP2015-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    336. Diks, Cees & Fang, Hao, 2020. "Comparing density forecasts in a risk management context," International Journal of Forecasting, Elsevier, vol. 36(2), pages 531-551.
    337. Wang, Gang-Jin & Zhu, Chun-Long, 2021. "BP-CVaR: A novel model of estimating CVaR with back propagation algorithm," Economics Letters, Elsevier, vol. 209(C).
    338. Taylor, James W., 2017. "Probabilistic forecasting of wind power ramp events using autoregressive logit models," European Journal of Operational Research, Elsevier, vol. 259(2), pages 703-712.
    339. Altınkeski, Buket Kırcı & Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2022. "Financial stress transmission between the U.S. and the Euro Area," Journal of Financial Stability, Elsevier, vol. 60(C).
    340. Abdul Hakim, 2009. "Forcasting portofolio value-at-risk for international stocks, bonds, and foreign exchange emerging market evidence," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 1(1), pages 13-26, April.
    341. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
    342. Miguel A. Ferreira & Jose A. Lopez, 2004. "Evaluating interest rate covariance models within a value-at-risk framework," Working Paper Series 2004-03, Federal Reserve Bank of San Francisco.
    343. Laura Garcia-Jorcano & Alfonso Novales, 2020. "A dominance approach for comparing the performance of VaR forecasting models," Computational Statistics, Springer, vol. 35(3), pages 1411-1448, September.
    344. López-Espinosa, Germán & Rubia, Antonio & Valderrama, Laura & Antón, Miguel, 2013. "Good for one, bad for all: Determinants of individual versus systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 287-299.
    345. Mr. Gaston Gelos & Lucyna Gornicka & Mr. Robin Koepke & Ms. Ratna Sahay & Ms. Silvia Sgherri, 2019. "Capital Flows at Risk: Taming the Ebbs and Flows," IMF Working Papers 2019/279, International Monetary Fund.
    346. Ye, Wuyi & Zhu, Yangguang & Wu, Yuehua & Miao, Baiqi, 2016. "Markov regime-switching quantile regression models and financial contagion detection," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 21-26.
    347. Seyed Mohammad Sina Seyfi & Azin Sharifi & Hamidreza Arian, 2020. "Portfolio Risk Measurement Using a Mixture Simulation Approach," Papers 2011.07994, arXiv.org.
    348. Daragh Clancy & Carmine Gabriele & Diana Zigraiova, 2020. "Sovereign bond market spillovers from crisis-time developments in Greece," Working Papers 45, European Stability Mechanism.
    349. Liu, Peipei & Huang, Wei-Qiang, 2022. "Modelling international sovereign risk information spillovers: A multilayer network approach," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    350. Nikolaos A. Kyriazis, 2019. "A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets," JRFM, MDPI, vol. 12(4), pages 1-17, November.
    351. Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg & Orimar Sauri, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Post-Print hal-01505775, HAL.
    352. Şener, Emrah & Baronyan, Sayad & Ali Mengütürk, Levent, 2012. "Ranking the predictive performances of value-at-risk estimation methods," International Journal of Forecasting, Elsevier, vol. 28(4), pages 849-873.
    353. Cheng, Wan-Hsiu & Hung, Jui-Cheng, 2011. "Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 160-173, January.
    354. Brownlees, Christian & Souza, André B.M., 2021. "Backtesting global Growth-at-Risk," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 312-330.
    355. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 958-969.
    356. Ayoub Ammy-Driss & Matthieu Garcin, 2020. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Papers 2007.10727, arXiv.org, revised Nov 2021.
    357. Katerina Rigana & Ernst C. Wit & Samantha Cook, 2024. "Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk," Papers 2402.06032, arXiv.org.
    358. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," Revista de Economía del Rosario, Universidad del Rosario, December.
    359. Yuting Gong & Zhongzhi He & Wenjun Xue, 2023. "EPU spillovers and sovereign CDS spreads: A cross‐country study," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1770-1806, December.
    360. Chen, Cathy W.S. & Watanabe, Toshiaki & Lin, Edward M.H., 2023. "Bayesian estimation of realized GARCH-type models with application to financial tail risk management," Econometrics and Statistics, Elsevier, vol. 28(C), pages 30-46.
    361. Christophe Boucher & Sessi Tokpavi, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," Working Papers hal-04141705, HAL.
    362. Halbleib, Roxana & Pohlmeier, Winfried, 2012. "Improving the value at risk forecasts: Theory and evidence from the financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1212-1228.
    363. Petrella, Ivan & Iseringhausen, Martin & Theodoridis, Konstantinos, 2022. "Aggregate Skewness and the Business Cycle," CEPR Discussion Papers 17162, C.E.P.R. Discussion Papers.
    364. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
    365. Jozef Barunik & Lubos Hanus, 2022. "Learning Probability Distributions in Macroeconomics and Finance," Papers 2204.06848, arXiv.org.
    366. Huiling Yuan & Yulei Sun & Lu Xu & Yong Zhou & Xiangyu Cui, 2022. "A new volatility model: GQARCH‐ItÔ model," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 345-370, May.
    367. Degiannakis, Stavros & Kiohos, Apostolos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," MPRA Paper 80438, University Library of Munich, Germany.
    368. James W. Taylor & Keming Yu, 2016. "Using auto-regressive logit models to forecast the exceedance probability for financial risk management," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(4), pages 1069-1092, October.
    369. Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
    370. Chen, Qian & Gerlach, Richard H., 2013. "The two-sided Weibull distribution and forecasting financial tail risk," International Journal of Forecasting, Elsevier, vol. 29(4), pages 527-540.
    371. Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    372. Escanciano, J. Carlos & Olmo, Jose, 2010. "Backtesting Parametric Value-at-Risk With Estimation Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 36-51.
    373. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
    374. Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," Working Papers hal-04140866, HAL.
    375. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
    376. Chao Wang & Qian Chen & Richard Gerlach, 2017. "Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution," Papers 1707.03715, arXiv.org.
    377. Sonia Benito & Carmen López-Martín & Mª Ángeles Navarro, 2023. "Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-31, March.
    378. Jian, Zhihong & Lu, Haisong & Zhu, Zhican & Xu, Huiling, 2023. "Frequency heterogeneity of tail connectedness: Evidence from global stock markets," Economic Modelling, Elsevier, vol. 125(C).
    379. Emrah Altun, 2019. "Two-sided exponential–geometric distribution: inference and volatility modeling," Computational Statistics, Springer, vol. 34(3), pages 1215-1245, September.
    380. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 127-140.
    381. Udichibarna Bose & Ronald MacDonald & Serafeim Tsoukas, 2014. "The role of education in equity portfolios during the recent financial crisis," Working Papers 2014_17, Business School - Economics, University of Glasgow.
    382. Khalfaoui, R & Boutahar, M, 2012. "Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis," MPRA Paper 41624, University Library of Munich, Germany.
    383. Peng, Wei, 2023. "The impact of oil and natural gas prices on overnight risk in exchange rates based on the MVMQ-CAViaR models," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 616-625.
    384. Benjamin Mögel & Benjamin R. Auer, 2018. "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 979-1030, May.
    385. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
    386. Jying‐Nan Wang & Yuan‐Teng Hsu & Joe‐Ming Lee & Chih‐Chun Chen, 2021. "Measuring Systemic Risk: Capital Shortfall and CSRISK," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 358-369, March.
    387. Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.
    388. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," SIRE Discussion Papers 2015-78, Scottish Institute for Research in Economics (SIRE).
    389. Vica Tendenan & Richard Gerlach & Chao Wang, 2020. "Tail risk forecasting using Bayesian realized EGARCH models," Papers 2008.05147, arXiv.org, revised Aug 2020.
    390. Donggyu Kim & Minseok Shin & Yazhen Wang, 2021. "Overnight GARCH-It\^o Volatility Models," Papers 2102.13467, arXiv.org, revised Jun 2022.
    391. Piero Mazzarisi & Silvia Zaoli & Carlo Campajola & Fabrizio Lillo, 2020. "Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages," Papers 2005.01160, arXiv.org, revised May 2021.
    392. Zhang, Dongxue & Wang, Shuai & Liang, Yuqiu & Du, Zhiyuan, 2023. "A novel combined model for probabilistic load forecasting based on deep learning and improved optimizer," Energy, Elsevier, vol. 264(C).
    393. Yi-Ting Chen, 2016. "Testing for Granger Causality in Moments," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(2), pages 265-288, April.
    394. DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0660, Faculty of Economics, University of Cambridge.
    395. Natalia Nolde & Johanna F. Ziegel, 2016. "Elicitability and backtesting: Perspectives for banking regulation," Papers 1608.05498, arXiv.org, revised Feb 2017.
    396. Bonaccolto, Giovanni & Borri, Nicola & Consiglio, Andrea, 2023. "Breakup and default risks in the great lockdown," Journal of Banking & Finance, Elsevier, vol. 147(C).
    397. Dimitriadis, Timo & Schnaitmann, Julie, 2021. "Forecast encompassing tests for the expected shortfall," International Journal of Forecasting, Elsevier, vol. 37(2), pages 604-621.
    398. Naeem, Muhammad Abubakr & Iqbal, Najaf & Karim, Sitara & Lucey, Brian M., 2023. "From forests to faucets to fuel: Investigating the domino effect of extreme risk in timber, water, and energy markets," Finance Research Letters, Elsevier, vol. 55(PB).
    399. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0657, Faculty of Economics, University of Cambridge.
    400. Manganelli, Simone, 2007. "Asset allocation by penalized least squares," Working Paper Series 723, European Central Bank.
    401. Ning Zhang & Yujing Gong & Xiaohan Xue, 2023. "Less disagreement, better forecasts: Adjusted risk measures in the energy futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1332-1372, October.
    402. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    403. Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2013. "Food versus Fuel: Causality and Predictability in Distribution," IEFE Working Papers 56, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy.
    404. Kay Giesecke & Baeho Kim, 2011. "Systemic Risk: What Defaults Are Telling Us," Management Science, INFORMS, vol. 57(8), pages 1387-1405, August.
    405. Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo.
    406. Naeem, Muhammad & Tiwari, Aviral Kumar & Mubashra, Sana & Shahbaz, Muhammad, 2019. "Modeling volatility of precious metals markets by using regime-switching GARCH models," Resources Policy, Elsevier, vol. 64(C).
    407. Cappiello, Lorenzo & Manganelli, Simone & Kadareja, Arjan, 2008. "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series 906, European Central Bank.
    408. Zongwu Cai & Qi Li, 2013. "Some Recent Develop- ments on Nonparametric Econometrics," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    409. Chaker Aloui & Hela BEN HAMIDA, 2015. "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 30-54, January.
    410. Carol Alexander & José María Sarabia, 2012. "Quantile Uncertainty and Value‐at‐Risk Model Risk," Risk Analysis, John Wiley & Sons, vol. 32(8), pages 1293-1308, August.
    411. Amiri , Hossein & Najafi Nejad , Mahmood & Mousavi , Seyede Mohadese, 2021. "Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(2), pages 165-186, June.
    412. Papanikolaou, Nikolaos I. & Wolff, Christian C.P., 2014. "The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis," Journal of Financial Stability, Elsevier, vol. 14(C), pages 3-22.
    413. Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," Bank of England working papers 660, Bank of England.
    414. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
    415. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    416. Akio Hattori & Kentaro Kikuchi & Fuminori Niwa & Yoshihiko Uchida, 2014. "A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market," IMES Discussion Paper Series 14-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    417. Li, Yushu & Andersson, Jonas, 2014. "A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting," Discussion Papers 2014/12, Norwegian School of Economics, Department of Business and Management Science.
    418. Ding, Haoyuan & Kim, Hyung-Gun & Park, Sung Y., 2016. "Crude oil and stock markets: Causal relationships in tails?," Energy Economics, Elsevier, vol. 59(C), pages 58-69.
    419. Xin Sheng & Rangan Gupta & Qiang Ji, 2023. "The Effects of Disaggregate Oil Shocks on Aggregate Expected Skewness of the United States," Working Papers 202302, University of Pretoria, Department of Economics.
    420. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions," Working Paper Series 2436, European Central Bank.
    421. Germán López-Espinosa & Antonio Moreno & Antonio Rubia & Laura Valderrama, 2012. "Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach," Faculty Working Papers 02/12, School of Economics and Business Administration, University of Navarra.
    422. Tan, Shay-Kee & Ng, Kok-Haur & Chan, Jennifer So-Kuen & Mohamed, Ibrahim, 2019. "Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 537-551.
    423. Cheng-Few Lee & Jung-Bin Su, 2012. "Alternative statistical distributions for estimating value-at-risk: theory and evidence," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 309-331, October.
    424. Li, Ming-Yuan Leon & Miu, Peter, 2010. "A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 818-833, September.
    425. Marco Piña & Rodrigo Herrera, 2021. "Risk modeling with option-implied correlations and score-driven dynamics," Working Papers Central Bank of Chile 932, Central Bank of Chile.
    426. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 194-209.
    427. Frank Tuyl & Richard Gerlach & Kerrie Mengersen, 2009. "The Rule of Three, its Variants and Extensions," International Statistical Review, International Statistical Institute, vol. 77(2), pages 266-275, August.
    428. Dibooglu, Sel & Cevik, Emrah I. & Gillman, Max, 2022. "Gold, silver, and the US dollar as harbingers of financial calm and distress," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 200-210.
    429. Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
    430. Andrei Rusu, 2020. "Multivariate VaR: A Romanian Market study," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 12(1), pages 79-95, June.
    431. Rutger-Jan Lange & Bram van Os & Dick van Dijk, 2022. "Robust Observation-Driven Models Using Proximal-Parameter Updates Abstract We propose an observation-driven modelling framework that permits time variation in the model’s parameters using a proximal-p," Tinbergen Institute Discussion Papers 22-066/III, Tinbergen Institute, revised 20 Dec 2022.
    432. Huang, Jinbo & Ding, Ashley & Li, Yong & Lu, Dong, 2020. "Increasing the risk management effectiveness from higher accuracy: A novel non-parametric method," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    433. De Sola Perea, Maite & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2019. "Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 33-52.
    434. Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009. "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Post-Print halshs-00389773, HAL.
    435. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009. "A Risk Management Approach for Portfolio Insurance Strategies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00389789, HAL.
    436. Vincenzo Candila, 2013. "A Comparison of the Forecasting Performances of Multivariate Volatility Models," Working Papers 3_228, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno.
    437. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
    438. Rossi, E. & Spazzini, F., 2010. "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2786-2800, November.
    439. Shah, Attaullah & Shah, Hamid Ali & Smith, Jason M. & Labianca, Giuseppe (Joe), 2017. "Judicial efficiency and capital structure: An international study," Journal of Corporate Finance, Elsevier, vol. 44(C), pages 255-274.
    440. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank.
    441. Enilov, Martin & Mensi, Walid & Stankov, Petar, 2023. "Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic," Journal of Commodity Markets, Elsevier, vol. 29(C).
    442. Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
    443. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021. "Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data," Working Papers 202122, University of Pretoria, Department of Economics.
    444. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
    445. Diamandis, Panayiotis F. & Drakos, Anastassios A. & Kouretas, Georgios P. & Zarangas, Leonidas, 2011. "Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 165-176, June.
    446. David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
    447. Timo Dimitriadis & Julie Schnaitmann, 2019. "Forecast Encompassing Tests for the Expected Shortfall," Papers 1908.04569, arXiv.org, revised Aug 2020.
    448. Makushkin, Mikhail & Lapshin, Victor, 2023. "Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 69, pages 5-27.
    449. Iddrisu, Abdul-Aziz & Alagidede, Imhotep Paul, 2020. "Monetary policy and food inflation in South Africa: A quantile regression analysis," Food Policy, Elsevier, vol. 91(C).
    450. Vincenzo Candila & Giampiero M. Gallo & Lea Petrella, 2020. "Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall," Papers 2011.00552, arXiv.org, revised Mar 2023.
    451. V L Miguéis & D F Benoit & D Van den Poel, 2013. "Enhanced decision support in credit scoring using Bayesian binary quantile regression," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(9), pages 1374-1383, September.
    452. Dong Jin Lee, 2020. "Optimal tests for parameter breaking process in conditional quantile models," The Japanese Economic Review, Springer, vol. 71(3), pages 479-510, July.
    453. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES 2008_009, ULB -- Universite Libre de Bruxelles.
    454. Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, vol. 65(5), pages 1789-1816, October.
    455. López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
    456. Roberto Buizza & James W. Taylor, 2004. "A comparison of temperature density forecasts from GARCH and atmospheric models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 337-355.
    457. Thomas Q. Pedersen, 2015. "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 114-132, March.
    458. Sobreira, Nuno & Louro, Rui, 2020. "Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market," Finance Research Letters, Elsevier, vol. 32(C).
    459. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    460. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    461. Aleksander Schiffers & Marcin Chlebus, 2021. "The effectiveness of Value-at-Risk models in various volatility regimes," Working Papers 2021-28, Faculty of Economic Sciences, University of Warsaw.
    462. Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2020. "Sequential forecasting of downside extreme risk during overnight and daytime: Evidence from the Chinese Stock Market☆," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
    463. F. Lilla, 2017. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers wp1099, Dipartimento Scienze Economiche, Universita' di Bologna.
    464. Aielli, Gian Piero & Caporin, Massimiliano, 2014. "Variance clustering improved dynamic conditional correlation MGARCH estimators," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 556-576.
    465. Alex YiHou Huang, 2010. "An optimization process in Value‐at‐Risk estimation," Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 109-116, August.
    466. Umer Jeelanie Banday & Mustafa Kocoglu, 2023. "Modelling Simultaneous Relationships Between Human Development, Energy, and Environment: Fresh Evidence from Panel Quantile Regression," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(2), pages 1559-1581, June.
    467. Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
    468. Chen, Yi-Hsuan & Tu, Anthony H., 2013. "Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 514-528.
    469. Hu, Yang & Lang, Chunlin & Corbet, Shaen & Hou, Yang (Greg) & Oxley, Les, 2023. "Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event," Energy Economics, Elsevier, vol. 125(C).
    470. Ardia, David & Bluteau, Keven & Boudt, Kris & Catania, Leopoldo, 2018. "Forecasting risk with Markov-switching GARCH models:A large-scale performance study," International Journal of Forecasting, Elsevier, vol. 34(4), pages 733-747.
    471. Kok, Christoffer & Gross, Marco, 2013. "Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR," Working Paper Series 1570, European Central Bank.
    472. Terence D. Agbeyegbe, 2015. "An inverted U‐shaped crude oil price return‐implied volatility relationship," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 28-45, November.
    473. Leopoldo Catania & Alessandra Luati & Pierluigi Vallarino, 2021. "Economic vulnerability is state dependent," CREATES Research Papers 2021-09, Department of Economics and Business Economics, Aarhus University.
    474. Naeem, Muhammad Abubakr & Arfaoui, Nadia, 2023. "Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises," Energy Economics, Elsevier, vol. 127(PB).
    475. František Čech & Jozef Baruník, 2019. "Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1167-1189, September.
    476. Zeng, Zijian & Li, Meng, 2021. "Bayesian median autoregression for robust time series forecasting," International Journal of Forecasting, Elsevier, vol. 37(2), pages 1000-1010.
    477. Zeno Adams & Roland Füss & Felix Schindler, 2015. "The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 67-100, March.
    478. Marc Joëts, 2012. "Energy price transmissions during extreme movements," Working Papers hal-04141047, HAL.
    479. Marcelo Bianconi & Xiaxin Hua & Chih Ming Tan, 2013. "Determinants of Systemic Risk and Information Dissemination," Working Paper series 67_13, Rimini Centre for Economic Analysis.
    480. Antonio Rubia Serrano & Lidia Sanchis-Marco, 2015. "Measuring Tail-Risk Cross-Country Exposures in the Banking Industry," Working Papers. Serie AD 2015-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    481. Peng, Wei & Hu, Shichao & Chen, Wang & Zeng, Yu-feng & Yang, Lu, 2019. "Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 137-149.
    482. Ji Ho Kwon, 2021. "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    483. Gao, Lingbo & Ye, Wuyi & Guo, Ranran, 2022. "Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model," Finance Research Letters, Elsevier, vol. 48(C).
    484. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    485. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Exploiting Spillovers to Forecast Crashes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(8), pages 936-955, December.
    486. Zongwu Cai & Xiyuan Liu, 2020. "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202017, University of Kansas, Department of Economics, revised Oct 2020.
    487. Wang, Gang-Jin & Xie, Chi & Wen, Danyan & Zhao, Longfeng, 2019. "When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin," Finance Research Letters, Elsevier, vol. 31(C).
    488. Taylor, James W., 2020. "A strategic predictive distribution for tests of probabilistic calibration," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1380-1388.
    489. Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick, 2010. "Intradaily dynamic portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2400-2418, November.
    490. Escanciano, Juan Carlos & Pei, Pei, 2012. "Pitfalls in backtesting Historical Simulation VaR models," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2233-2244.
    491. Troster, Victor & Bouri, Elie & Roubaud, David, 2019. "A quantile regression analysis of flights-to-safety with implied volatilities," Resources Policy, Elsevier, vol. 62(C), pages 482-495.
    492. Zongwu Cai & Xian Wang, 2013. "Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    493. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
    494. Hua, Jian & Manzan, Sebastiano, 2013. "Forecasting the return distribution using high-frequency volatility measures," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4381-4403.
    495. Matthew Pritsker, 2001. "The hidden dangers of historical simulation," Finance and Economics Discussion Series 2001-27, Board of Governors of the Federal Reserve System (U.S.).
    496. Arnold Polanski & Evarist Stoja, 2010. "Incorporating higher moments into value-at-risk forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(6), pages 523-535.
    497. Renan O. Regis & Raydonal Ospina & Wilton Bernardino & Francisco Cribari-Neto, 2023. "Asset pricing in the Brazilian financial market: five-factor GAMLSS modeling," Empirical Economics, Springer, vol. 64(5), pages 2373-2409, May.
    498. Nieto, María Rosa & Ruiz Ortega, Esther, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    499. Wolf, Elias, 2022. "Estimating growth at risk with skewed stochastic volatility models," Discussion Papers 2022/2, Free University Berlin, School of Business & Economics.
    500. Henning Fischer & Ángela Blanco‐FERNÁndez & Peter Winker, 2016. "Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(2), pages 113-146, March.
    501. Ñíguez, Trino-Manuel & Perote, Javier, 2017. "Moments expansion densities for quantifying financial risk," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 53-69.
    502. Gerlach, Richard & Wang, Chao, 2020. "Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures," International Journal of Forecasting, Elsevier, vol. 36(2), pages 489-506.
    503. Alice X. D. Dong & Jennifer S. K. Chan & Gareth W. Peters, 2014. "Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression," Papers 1402.2492, arXiv.org.
    504. Kawakami, Tabito, 2023. "Quantile prediction for Bitcoin returns using financial assets’ realized measures," Finance Research Letters, Elsevier, vol. 55(PA).
    505. Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig, 2020. "Volatility term structures in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 527-555, April.
    506. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Vo, Xuan Vinh, 2023. "Oil tail risks and the realized variance of consumer prices in advanced economies," Resources Policy, Elsevier, vol. 83(C).
    507. Argyropoulos, Christos & Panopoulou, Ekaterini, 2019. "Backtesting VaR and ES under the magnifying glass," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 22-37.
    508. Victor Chernozhukov & Ivan Fernandez-Val, 2011. "Inference for extremal conditional quantile models, with an application to market and birthweight risks," CeMMAP working papers CWP40/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    509. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    510. Eric Bouye & Mark Salmon, 2009. "Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 721-750.
    511. Kim, Minjo & Lee, Sangyeol, 2016. "Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 1-19.
    512. Maziar Sahamkhadam & Andreas Stephan, 2019. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis," Papers 1912.10328, arXiv.org.
    513. Stindl, Tom, 2023. "Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 182-198.
    514. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015. "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, vol. 78(C), pages 14-47.
    515. Herrera, Rodrigo & González, Sergio & Clements, Adam, 2018. "Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 70-88.
    516. Shen, Yifan, 2018. "International risk transmission of stock market movements," Economic Modelling, Elsevier, vol. 69(C), pages 220-236.
    517. Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.
    518. Vidal-Llana, Xenxo & Guillén, Montserrat, 2022. "Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    519. Andrew J. Patton & Johanna F. Ziegel & Rui Chen, 2017. "Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)," Papers 1707.05108, arXiv.org.
    520. Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Zeitun, Rami & Rehman, Mobeen Ur, 2017. "Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach," Emerging Markets Review, Elsevier, vol. 32(C), pages 130-147.
    521. Mensi, Walid & Hammoudeh, Shawkat & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    522. Carlos Trucíos & James W. Taylor, 2023. "A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 989-1007, July.
    523. Ghysels, Eric & Liu, Hanwei & Raymond, Steve, 2021. "Institutional Investors and Granularity in Equity Markets," CEPR Discussion Papers 15654, C.E.P.R. Discussion Papers.
    524. Maghyereh Aktham Issa & Awartani Basel, 2012. "Modeling and Forecasting Value-at-Risk in the UAE Stock Markets: The Role of Long Memory, Fat Tails and Asymmetries in Return Innovations," Review of Middle East Economics and Finance, De Gruyter, vol. 8(1), pages 1-22, August.
    525. Bárbara Ruth Trejo Becerril & Alberto Gallegos David, 2021. "Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-26, Abril - J.
    526. Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
    527. Corradi, Valentina & Fosten, Jack & Gutknecht, Daniel, 2023. "Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk," Journal of Econometrics, Elsevier, vol. 236(2).
    528. Pitselis, Georgios, 2016. "Credible risk measures with applications in actuarial sciences and finance," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 373-386.
    529. Hongtao Guo & Miranda S. Lam & Guojun Wu & Zhijie Xiao, 2013. "Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 1-15.
    530. Christian Francq & Jean-Michel Zakoian, 2014. "Multi-level Conditional VaR Estimation in Dynamic Models," Working Papers 2014-01, Center for Research in Economics and Statistics.
    531. Faria, Adriano & Almeida, Caio, 2018. "A hybrid spline-based parametric model for the yield curve," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 72-94.
    532. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
    533. Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
    534. Taylor, James W., 2020. "Forecast combinations for value at risk and expected shortfall," International Journal of Forecasting, Elsevier, vol. 36(2), pages 428-441.
    535. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," JRFM, MDPI, vol. 9(3), pages 1-25, July.
    536. Aviral Kumar Tiwari & Muhammad Shahbaz & Rabeh Khalfaoui & Rizwan Ahmed & Shawkat Hammoudeh, 2024. "Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (E7 + 1): New evidence from cross‐quantilogram approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 719-789, January.
    537. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
    538. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    539. Zhang, Ning & Su, Xiaoman & Qi, Shuyuan, 2023. "An empirical investigation of multiperiod tail risk forecasting models," International Review of Financial Analysis, Elsevier, vol. 86(C).
    540. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper 72197, University Library of Munich, Germany, revised 10 Jun 2016.
    541. Sonia Benito Muela & Carmen López-Martín & Mª Ángeles Navarro, 2017. "The Role of the Skewed Distributions in the Framework of Extreme Value Theory (EVT)," International Business Research, Canadian Center of Science and Education, vol. 10(11), pages 88-102, November.
    542. Anginer, Deniz & Demirguc-Kunt, Asli, 2014. "Has the global banking system become more fragile over time?," Journal of Financial Stability, Elsevier, vol. 13(C), pages 202-213.
    543. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    544. Barbara Choros-Tomczyk & Wolfgang Karl Härdle & Ludger Overbeck, 2012. "Copula Dynamics in CDOs," SFB 649 Discussion Papers SFB649DP2012-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    545. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    546. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 169-196, September.
    547. Bruzda, Joanna, 2019. "Quantile smoothing in supply chain and logistics forecasting," International Journal of Production Economics, Elsevier, vol. 208(C), pages 122-139.
    548. Sunil K. Mohanty & Stein Frydenberg & Petter Osmundsen & Sjur Westgaard & Christian Skjøld, 2023. "Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 715-746, February.
    549. Storti, Giuseppe & Wang, Chao, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper 115266, University Library of Munich, Germany.
    550. Taylor, James W., 2007. "Forecasting daily supermarket sales using exponentially weighted quantile regression," European Journal of Operational Research, Elsevier, vol. 178(1), pages 154-167, April.
    551. Jungsik Noh & Sangyeol Lee, 2016. "Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 700-720, September.
    552. Yannick Hoga & Matei Demetrescu, 2023. "Monitoring Value-at-Risk and Expected Shortfall Forecasts," Management Science, INFORMS, vol. 69(5), pages 2954-2971, May.
    553. Niels S. Hansen & Asger Lunde, 2013. "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers 2013-36, Department of Economics and Business Economics, Aarhus University.
    554. Po-Cheng Wu & Cheng-Kun Kuo & Chih-Wei Lee, 2012. "Evaluation Of Multi-Asset Value At Risk: Evidence From Taiwan," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 6(4), pages 23-34.
    555. Chao Wang & Richard Gerlach & Qian Chen, 2018. "A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework," Papers 1807.02422, arXiv.org, revised Jan 2021.
    556. Spierdijk, Laura, 2016. "Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 545-559.
    557. Georges Tsafack & James Cataldo, 2021. "Backtesting and estimation error: value-at-risk overviolation rate," Empirical Economics, Springer, vol. 61(3), pages 1351-1396, September.
    558. Ahamuefula E. Ogbonna & Olusanya E. Olubusoye, 2021. "Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
    559. Huang, Jiefei & Xu, Yang & Song, Yuping, 2022. "A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
    560. Timo Dimitriadis & Yannick Hoga, 2022. "Dynamic CoVaR Modeling," Papers 2206.14275, arXiv.org, revised Feb 2024.
    561. Kratz, Marie & Lok, Y-H & McNeil, Alexander J., 2016. "Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall," ESSEC Working Papers WP1617, ESSEC Research Center, ESSEC Business School.
    562. Angus Campbell & Daniel R. Smith, 2022. "An empirical investigation of the quality of value‐at‐risk disclosure in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 469-491, March.
    563. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
    564. Guochang Wang & Ke Zhu & Guodong Li & Wai Keung Li, 2019. "Hybrid quantile estimation for asymmetric power GARCH models," Papers 1911.09343, arXiv.org.
    565. Ben Rejeb, Aymen, 2016. "Volatility Spillover between Islamic and conventional stock markets: evidence from Quantile Regression analysis," MPRA Paper 73302, University Library of Munich, Germany.
    566. Youssef, Manel & Belkacem, Lotfi & Mokni, Khaled, 2015. "Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach," Energy Economics, Elsevier, vol. 51(C), pages 99-110.
    567. Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
    568. Nektarios Aslanidis & Charlotte Christiansen, 2012. "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers 2012-34, Department of Economics and Business Economics, Aarhus University.
    569. Niango Ange Joseph Yapi, 2020. "Exchange rate predictive densities and currency risks: A quantile regression approach," EconomiX Working Papers 2020-16, University of Paris Nanterre, EconomiX.
    570. Taylor, James W. & Jeon, Jooyoung, 2015. "Forecasting wind power quantiles using conditional kernel estimation," Renewable Energy, Elsevier, vol. 80(C), pages 370-379.
    571. Yu, Jing-Rung & Chiou, Wan-Jiun Paul & Mu, Da-Ren, 2015. "A linearized value-at-risk model with transaction costs and short selling," European Journal of Operational Research, Elsevier, vol. 247(3), pages 872-878.
    572. Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics.
    573. Wang, Jying-Nan & Du, Jiangze & Hsu, Yuan-Teng, 2018. "Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 120-138.
    574. Aymen BEN REJEB & Ousama BEN SALHA & Jaleleddine BEN REJEB, 2012. "Value-at-Risk Analysis for the Tunisian Currency Market: A Comparative Study," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 110-125.
    575. Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley, 2017. "Extreme risk spillover network: application to financial institutions," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1417-1433, September.
    576. Wu, Qi & Yan, Xing, 2019. "Capturing deep tail risk via sequential learning of quantile dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
    577. Fabio Busetti & Michele Caivano & Lisa Rodano, 2015. "On the conditional distribution of euro area inflation forecast," Temi di discussione (Economic working papers) 1027, Bank of Italy, Economic Research and International Relations Area.
    578. Korobilis, Dimitris, 2017. "Quantile regression forecasts of inflation under model uncertainty," International Journal of Forecasting, Elsevier, vol. 33(1), pages 11-20.
    579. Christophe HURLIN & Sessi TOKPAVI, 2007. "Une évaluation des procédures de Backtesting," LEO Working Papers / DR LEO 1716, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    580. Timmy Elenjical & Patrick Mwangi & Barry Panulo & Chun-Sung Huang, 2016. "A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg stock exchange," Risk Management, Palgrave Macmillan, vol. 18(2), pages 89-110, August.
    581. Dias, Alexandra, 2013. "Market capitalization and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5248-5260.
    582. Zhou, Xinmiao & Qian, Huanhuan & Pérez-Rodríguez, Jorge. V. & González López-Valcárcel, Beatriz, 2020. "Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    583. Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.
    584. Nico Katzke & Chris Garbers, 2015. "Do Long Memory and Asymmetries Matter When Assessing Downside Return Risk?," Working Papers 06/2015, Stellenbosch University, Department of Economics.
    585. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance icma-dp2011-08, Henley Business School, University of Reading.
    586. Weidong Lin & Jose Olmo & Abderrahim Taamouti, 2022. "Portfolio Selection Under Systemic Risk," Working Papers 202208, University of Liverpool, Department of Economics.
    587. Duan, Fang, 2022. "Forecasting risk measures based on structural breaks in the correlation matrix," Ruhr Economic Papers 945, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    588. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
    589. Araújo Santos, P. & Fraga Alves, M.I., 2012. "A new class of independence tests for interval forecasts evaluation," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3366-3380.
    590. Dongming Jiang & Fang Jia, 2022. "Extreme Spillover between Green Bonds and Clean Energy Markets," Sustainability, MDPI, vol. 14(10), pages 1-15, May.
    591. Mehmet Sahiner & David G. McMillan & Dimos Kambouroudis, 2023. "Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 723-762, September.
    592. Richard Gerlach & Zudi Lu & Hai Huang, 2013. "Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 534-550, September.
    593. Chaker Aloui, 2015. "Volatility forecasting and risk management in some MENA stock markets: a nonlinear framework," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 5(2), pages 160-192.
    594. Dong Jin Lee & Tae-Hwan Kim & Paul Mizen, 2020. "Impulse response analysis in conditional quantile models with an application to monetary policy," Discussion Papers 2020/08, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    595. Yonghong JIANG & Juan MENG & He NIE, 2018. "Visiting the Economic Policy Uncertainty Shocks - Economic Growth Relationship: Wavelet-based Granger-Causality in Quantiles Approac," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 80-94, December.
    596. Calabrese, Raffaella & Osmetti, Silvia Angela, 2019. "A new approach to measure systemic risk: A bivariate copula model for dependent censored data," European Journal of Operational Research, Elsevier, vol. 279(3), pages 1053-1064.
    597. Helena Chuliá & Rangan Gupta & Jorge M. Uribe & Mark E. Wohar, 2016. "Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach," Working Papers 201656, University of Pretoria, Department of Economics.
    598. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer, 2021. "Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Working Papers 202161, University of Pretoria, Department of Economics.
    599. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    600. Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005. "Semi-Parametric Modelling of Correlation Dynamics," Econometric Institute Research Papers EI 2005-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    601. Jui‐Cheng Hung & Hung‐Chun Liu & J. Jimmy Yang, 2023. "Does the tail risk index matter in forecasting downside risk?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3451-3466, July.
    602. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
    603. Shaddady, Ali & Moore, Tomoe, 2019. "Investigation of the effects of financial regulation and supervision on bank stability: The application of CAMELS-DEA to quantile regressions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 96-116.
    604. d’Addona, Stefano & Khanom, Najrin, 2022. "Estimating tail-risk using semiparametric conditional variance with an application to meme stocks," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 241-260.
    605. Huang, Chun-Kai & North, Delia & Zewotir, Temesgen, 2017. "Exchangeability, extreme returns and Value-at-Risk forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 204-216.
    606. Le-Yu Chen & Yu-Min Yen, 2021. "Estimations of the Conditional Tail Average Treatment Effect," Papers 2109.08793, arXiv.org, revised Sep 2021.
    607. Hubner, Stefan, 2016. "Topics in nonparametric identification and estimation," Other publications TiSEM 08fce56b-3193-46e0-871b-0, Tilburg University, School of Economics and Management.
    608. David McMillan & Pako Thupayagale, 2010. "Evaluating Stock Index Return Value-at-Risk Estimates in South Africa," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 325-345, December.
    609. Mazzarisi, Piero & Zaoli, Silvia & Campajola, Carlo & Lillo, Fabrizio, 2020. "Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    610. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
    611. Roland Füss & Zeno Adams & Dieter G Kaiser, 2010. "The predictive power of value-at-risk models in commodity futures markets," Journal of Asset Management, Palgrave Macmillan, vol. 11(4), pages 261-285, October.
    612. Li, Dan & Clements, Adam & Drovandi, Christopher, 2023. "A Bayesian approach for more reliable tail risk forecasts," Journal of Financial Stability, Elsevier, vol. 64(C).
    613. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers 2015_15, Business School - Economics, University of Glasgow.
    614. Trung H. Le, 2024. "Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 402-414, March.
    615. Xu, Qiuhua & Zhang, Yixuan & Zhang, Ziyang, 2021. "Tail-risk spillovers in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
    616. Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies.
    617. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
    618. Gerlach, Richard & Abeywardana, Sachin, 2016. "Variational Bayes for assessment of dynamic quantile forecasts," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1385-1402.
    619. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
    620. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
    621. Wagner Piazza Gaglianone & Osmani Teixeira de Carvalho Guillén & Francisco Marcos Rodrigues Figueiredo, 2015. "Local Unit Root and Inflationary Inertia in Brazil," Working Papers Series 406, Central Bank of Brazil, Research Department.
    622. Taylor, James W., 2010. "Exponentially weighted methods for forecasting intraday time series with multiple seasonal cycles," International Journal of Forecasting, Elsevier, vol. 26(4), pages 627-646, October.
    623. Liu, Qingfu & Tse, Yiuman, 2017. "Overnight returns of stock indexes: Evidence from ETFs and futures," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 440-451.
    624. Su, Tong & Zhang, Zuopeng (Justin) & Lin, Boqiang, 2022. "Green bonds and conventional financial markets in China: A tale of three transmission modes," Energy Economics, Elsevier, vol. 113(C).
    625. Lee, Yun Shin & Scholtes, Stefan, 2014. "Empirical prediction intervals revisited," International Journal of Forecasting, Elsevier, vol. 30(2), pages 217-234.
    626. Manuela Braione & Nicolas K. Scholtes, 2016. "Forecasting Value-at-Risk under Different Distributional Assumptions," Econometrics, MDPI, vol. 4(1), pages 1-27, January.
    627. D.E. Allen & Abhay K Singh & R. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions," Documentos de Trabajo del ICAE 2012-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    628. Marco Bottone & Lea Petrella & Mauro Bernardi, 2021. "Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(3), pages 1079-1107, September.
    629. Derek Bunn, Arne Andresen, Dipeng Chen, Sjur Westgaard, 2016. "Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    630. Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
    631. Ophélie Couperier & Jérémy Leymarie, 2020. "Backtesting Expected Shortfall via Multi-Quantile Regression," Working Papers halshs-01909375, HAL.
    632. Raffaele Miniaci & Paolo Panteghini, 2021. "On the Capital Structure of Foreign Subsidiaries: Evidence from a Panel Data Quantile Regression Model," CESifo Working Paper Series 9085, CESifo.
    633. Arian, Hamid & Moghimi, Mehrdad & Tabatabaei, Ehsan & Zamani, Shiva, 2022. "Encoded Value-at-Risk: A machine learning approach for portfolio risk measurement," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 202(C), pages 500-525.
    634. Po Yun & Chen Zhang & Yaqi Wu & Yu Yang, 2022. "Forecasting Carbon Dioxide Price Using a Time-Varying High-Order Moment Hybrid Model of NAGARCHSK and Gated Recurrent Unit Network," IJERPH, MDPI, vol. 19(2), pages 1-19, January.
    635. Song, Shijia & Li, Handong, 2023. "A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 203-214.
    636. Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan, 2015. "Factorisable Sparse Tail Event Curves," SFB 649 Discussion Papers SFB649DP2015-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    637. Ghysels, Eric & Liu, Hanwei, 2017. "Downside Risk in the Chinese Stock Market - Has it Fundamentally Changed?," CEPR Discussion Papers 12180, C.E.P.R. Discussion Papers.
    638. Fabio Busetti & Andrew Harvey, 2010. "Tests of strict stationarity based on quantile indicators," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 435-450, November.
    639. Çevik, Emre & Çevik, Emrah İsmail & Dibooglu, Sel & Cergibozan, Raif & Bugan, Mehmet Fatih & Destek, Mehmet Akif, 2022. "Connectedness and risk spillovers between crude oil and clean energy stock markets," MPRA Paper 117558, University Library of Munich, Germany.
    640. Salisu, Afees A. & Gupta, Rangan & Pierdzioch, Christian, 2022. "Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks☆," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    641. Zhang, Xu & Yang, Xian & He, Qizhi, 2022. "Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    642. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.
    643. Wei, Yu & Chen, Wang & Lin, Yu, 2013. "Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2163-2174.
    644. Leccadito, Arturo & Boffelli, Simona & Urga, Giovanni, 2014. "Evaluating the accuracy of value-at-risk forecasts: New multilevel tests," International Journal of Forecasting, Elsevier, vol. 30(2), pages 206-216.
    645. Farhat Iqbal, 2013. "Robust estimation of the simplified multivariate GARCH model," Empirical Economics, Springer, vol. 44(3), pages 1353-1372, June.
    646. Maghyereh, Aktham I. & Awartani, Basel & Abdoh, Hussein, 2019. "The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations," Energy, Elsevier, vol. 169(C), pages 895-913.
    647. Sessi Tokpavi & Christophe Boucher, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," EconomiX Working Papers 2018-39, University of Paris Nanterre, EconomiX.
    648. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    649. Krenar Avdulaj & Jozef Barunik, 2013. "Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data," Papers 1307.5981, arXiv.org, revised Feb 2015.
    650. Salisu, Afees A. & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil prices over 150 years: The role of tail risks," Resources Policy, Elsevier, vol. 75(C).
    651. Bauwens, Luc & Grigoryeva, Lyudmila & Ortega, Juan-Pablo, 2016. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 17-36.
    652. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
    653. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    654. Zongxin Zhang & Ying Chen, 2022. "Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 901-923, October.
    655. Bertrand Candelon & Sessi Tokpavi, 2016. "A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 240-253, April.
    656. Degiannakis, Stavros & Floros, Christos & Livada, Alexandra, 2012. "Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence," MPRA Paper 80463, University Library of Munich, Germany.
    657. Su, Ender & Wong, Kai Wen, 2018. "Measuring bank downside systemic risk in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 172-193.
    658. Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
    659. Konstantin Gorgen & Jonas Meirer & Melanie Schienle, 2022. "Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests," Papers 2203.08224, arXiv.org, revised Jun 2022.
    660. Kratz, Marie & Lok, Yen H. & McNeil, Alexander J., 2018. "Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 393-407.
    661. Seyfi, Seyed Mohammad Sina & Sharifi, Azin & Arian, Hamidreza, 2021. "Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 1056-1079.
    662. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
    663. Subhadeep Mukhopadhyay & Emanuel Parzen, 2018. "Nonlinear Time Series Modeling: A Unified Perspective, Algorithm and Application," JRFM, MDPI, vol. 11(3), pages 1-17, July.
    664. Wei-Ting Tang & Yin-Feng Gau, 2004. "Forecasting Value-at-Risk Using the Markov-Switching ARCH Model," Econometric Society 2004 Far Eastern Meetings 715, Econometric Society.
    665. Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
    666. Lu Yang & Shigeyuki Hamori, 2020. "Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach," Energies, MDPI, vol. 13(14), pages 1-27, July.
    667. Miguel Rivera-Castro & Andrea Ugolini & Juan Arismendi Z, 2016. "Tail Systemic Risk And Banking Network Contagion: Evidence From the Brazilian Banking System," ICMA Centre Discussion Papers in Finance icma-dp2016-05, Henley Business School, University of Reading.
    668. Tomáš Jeøábek, 2020. "The Efficiency of GARCH Models in Realizing Value at Risk Estimates," ACTA VSFS, University of Finance and Administration, vol. 14(1), pages 32-50.
    669. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2010. "VAR for VaR: measuring systemic risk using multivariate regression quantiles," MPRA Paper 35372, University Library of Munich, Germany.
    670. Tolikas, Konstantinos, 2014. "Unexpected tails in risk measurement: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 476-493.
    671. Nader Trabelsi & Aviral Kumar Tiwari, 2023. "CO2 Emission Allowances Risk Prediction with GAS and GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 775-805, February.
    672. Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
    673. Georg Keilbar & Weining Wang, 2022. "Modelling systemic risk using neural network quantile regression," Empirical Economics, Springer, vol. 62(1), pages 93-118, January.
    674. Jiang, Kunliang & Ye, Wuyi, 2022. "Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?," Economic Modelling, Elsevier, vol. 117(C).
    675. Inés Jiménez & Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2020. "Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies," Mathematics, MDPI, vol. 8(12), pages 1-24, November.
    676. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
    677. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
    678. Yuru Sun & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Gael M. Martin, 2023. "Optimal probabilistic forecasts for risk management," Papers 2303.01651, arXiv.org.
    679. David Kohns & Tibor Szendrei, 2020. "Horseshoe Prior Bayesian Quantile Regression," Papers 2006.07655, arXiv.org, revised Mar 2021.
    680. Ze Shen & Minglu Wang & Qing Wan, 2023. "Tail risk of coal futures in China's market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S2), pages 2827-2845, June.
    681. Enrique Molina‐Muñoz & Andrés Mora‐Valencia & Javier Perote, 2021. "Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4163-4189, July.
    682. Marius Galabe Sampid & Haslifah M Hasim & Hongsheng Dai, 2018. "Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model," PLOS ONE, Public Library of Science, vol. 13(6), pages 1-33, June.
    683. Chao Wang & Richard Gerlach, 2019. "Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall," Papers 1906.09961, arXiv.org.
    684. Gebka, Bartosz & Wohar, Mark E., 2019. "Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 1-25.
    685. Cathy W. S. Chen & Edward M. H. Lin & Tara F. J. Huang, 2022. "Bayesian quantile forecasting via the realized hysteretic GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1317-1337, November.
    686. Stephen Lawrence, 2000. "Value At Risk Incorporating Dynamic Portfolio Management," Computing in Economics and Finance 2000 147, Society for Computational Economics.
    687. Chen, Yu & Wang, Zhicheng & Zhang, Zhengjun, 2019. "Mark to market value at risk," Journal of Econometrics, Elsevier, vol. 208(1), pages 299-321.
    688. Songhua Tan & Qianqian Zhu, 2022. "Asymmetric linear double autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 371-388, May.
    689. Petrella, Lea & Raponi, Valentina, 2019. "Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 70-84.
    690. Aslanidis, Nektarios & Casas, Isabel, 2013. "Nonparametric correlation models for portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2268-2283.
    691. Bogdan, Dima & Ştefana Maria, Dima & Roxana, Ioan, 2022. "A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”," Finance Research Letters, Elsevier, vol. 45(C).
    692. Helmut Herwartz & Israel Waichman, 2010. "A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis," Computational Statistics, Springer, vol. 25(4), pages 725-732, December.
    693. Ye, Wuyi & Li, Mingge & Wu, Yuehua, 2022. "A novel estimation of time-varying quantile correlation for financial contagion detection," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    694. Timo Dimitriadis & Tobias Fissler & Johanna Ziegel, 2020. "The Efficiency Gap," Papers 2010.14146, arXiv.org, revised Sep 2022.
    695. Liu, Qingfu & An, Yunbi, 2014. "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 17-29.
    696. Shih-Kang Chao & Wolfgang Karl Härdle & Weining Wang, 2012. "Quantile Regression in Risk Calibration," SFB 649 Discussion Papers SFB649DP2012-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    697. Zhang, Heng-Guo & Su, Chi-Wei & Song, Yan & Qiu, Shuqi & Xiao, Ran & Su, Fei, 2017. "Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model," Economic Modelling, Elsevier, vol. 67(C), pages 355-367.
    698. Peter Horvath & Jia Li & Zhipeng Liao & Andrew J. Patton, 2022. "A consistent specification test for dynamic quantile models," Quantitative Economics, Econometric Society, vol. 13(1), pages 125-151, January.
    699. Nath, Harmindar B. & Brooks, Robert D., 2015. "Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 94-111.
    700. Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
    701. Huang, Alex YiHou & Peng, Sheng-Pen & Li, Fangjhy & Ke, Ching-Jie, 2011. "Volatility forecasting of exchange rate by quantile regression," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 591-606, October.
    702. Berger, Theo & Gençay, Ramazan, 2018. "Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 30-46.
    703. Jack Fosten & Daniel Gutknecht & Marc-Oliver Pohle, 2023. "Testing Quantile Forecast Optimality," Papers 2302.02747, arXiv.org, revised Oct 2023.
    704. Cai, Zongwu & Wang, Xian, 2008. "Nonparametric estimation of conditional VaR and expected shortfall," Journal of Econometrics, Elsevier, vol. 147(1), pages 120-130, November.
    705. Lee, Bong Soo & Li, Ming-Yuan Leon, 2012. "Diversification and risk-adjusted performance: A quantile regression approach," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2157-2173.
    706. Alessandra Pasqualina Viola & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Wagner Piazza Gaglianone, 2017. "Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression," Working Papers Series 466, Central Bank of Brazil, Research Department.
    707. Szymon Lis & Marcin Chlebus, 2021. "Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts," Working Papers 2021-11, Faculty of Economic Sciences, University of Warsaw.
    708. Liu, Wei & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models," Research in International Business and Finance, Elsevier, vol. 54(C).
    709. Amiri, Aboubacar & Thiam, Baba, 2014. "A smoothing stochastic algorithm for quantile estimation," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 116-125.
    710. Christian Brownlees & Giuseppe Cavaliere & Alice Monti, 2018. "Evaluating The Accuracy Of Tail Risk Forecasts For Systemic Risk Measurement," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-25, June.
    711. Li, Z. & Hurn, A.S. & Clements, A.E., 2017. "Forecasting quantiles of day-ahead electricity load," Energy Economics, Elsevier, vol. 67(C), pages 60-71.
    712. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers 05-9, HEC Montreal, Canada Research Chair in Risk Management.
    713. Khalifa, Maha & Othman, Hakim Ben & Hussainey, Khaled, 2018. "The effect of ex ante and ex post conservatism on the cost of equity capital: A quantile regression approach for MENA countries," Research in International Business and Finance, Elsevier, vol. 44(C), pages 239-255.
    714. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Semi-nonparametric risk assessment with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
    715. Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022. "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    716. Pesaran, B. & Pesaran, M.H., 2007. "Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," Cambridge Working Papers in Economics 0734, Faculty of Economics, University of Cambridge.
    717. Tan, Xueping & Geng, Yong & Vivian, Andrew & Wang, Xinyu, 2021. "Measuring risk spillovers between oil and clean energy stocks: Evidence from a systematic framework," Resources Policy, Elsevier, vol. 74(C).
    718. Harvey, Andrew & Oryshchenko, Vitaliy, 2012. "Kernel density estimation for time series data," International Journal of Forecasting, Elsevier, vol. 28(1), pages 3-14.
    719. Rivera-Castro, Miguel A. & Ugolini, Andrea & Arismendi Zambrano, Juan, 2018. "Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network," Emerging Markets Review, Elsevier, vol. 35(C), pages 164-189.
    720. Wu, Chuanzhen, 2021. "Window effect with Markov-switching GARCH model in cryptocurrency market," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
    721. Bei, Shuhua & Yang, Aijun & Pei, Haotian & Si, Xiaoli, 2023. "Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market," Economic Modelling, Elsevier, vol. 125(C).
    722. Naimoli, Antonio, 2022. "The information content of sentiment indices for forecasting Value at Risk and Expected Shortfall in equity markets," MPRA Paper 112588, University Library of Munich, Germany.
    723. Azizpour, S & Giesecke, K. & Schwenkler, G., 2018. "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, vol. 129(1), pages 154-183.
    724. Emrah Altun & Huseyin Tatlidil & Gamze Ozel & Saralees Nadarajah, 2018. "Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?," JRFM, MDPI, vol. 11(1), pages 1-13, January.
    725. Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2012. "The Risk Map: A New Tool for Validating Risk Models," Working Papers halshs-00746273, HAL.
    726. Georgios Fatouros & Georgios Makridis & Dimitrios Kotios & John Soldatos & Michael Filippakis & Dimosthenis Kyriazis, 2023. "DeepVaR: a framework for portfolio risk assessment leveraging probabilistic deep neural networks," Digital Finance, Springer, vol. 5(1), pages 29-56, March.
    727. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    728. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
    729. Bu, Di & Liao, Yin & Shi, Jing & Peng, Hongfeng, 2019. "Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    730. Taylor, James W., 2010. "Triple seasonal methods for short-term electricity demand forecasting," European Journal of Operational Research, Elsevier, vol. 204(1), pages 139-152, July.
    731. Wang, Chuan-Sheng & Zhao, Zhibiao, 2016. "Conditional Value-at-Risk: Semiparametric estimation and inference," Journal of Econometrics, Elsevier, vol. 195(1), pages 86-103.
    732. Timo Dimitriadis & Sebastian Bayer, 2017. "A Joint Quantile and Expected Shortfall Regression Framework," Papers 1704.02213, arXiv.org, revised Aug 2017.
    733. Silahli, Baykar & Dingec, Kemal Dincer & Cifter, Atilla & Aydin, Nezir, 2021. "Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
    734. Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.
    735. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, vol. 141(1), pages 250-282, November.
    736. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
    737. Shige Peng & Shuzhen Yang & Jianfeng Yao, 2018. "Improving Value-at-Risk prediction under model uncertainty," Papers 1805.03890, arXiv.org, revised Jun 2020.
    738. Gupta, Rangan & Ji, Qiang & Pierdzioch, Christian & Plakandaras, Vasilios, 2023. "Forecasting the conditional distribution of realized volatility of oil price returns: The role of skewness over 1859 to 2023," Finance Research Letters, Elsevier, vol. 58(PC).
    739. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2023. "Forecasting extreme financial risk: A score-driven approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 720-735.
    740. Giuseppe Storti & Chao Wang, 2021. "Modelling uncertainty in financial tail risk: a forecast combination and weighted quantile approach," Papers 2104.04918, arXiv.org, revised Jul 2021.
    741. Amirreza Attarzadeh & Mehmet Balcilar, 2022. "On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets," Energies, MDPI, vol. 15(5), pages 1-18, March.
    742. Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    743. Krzysztof Echaust & Małgorzata Just, 2021. "Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic," Energies, MDPI, vol. 14(14), pages 1-21, July.
    744. Luca Spadafora & Marco Dubrovich & Marcello Terraneo, 2014. "Value-at-Risk time scaling for long-term risk estimation," Papers 1408.2462, arXiv.org.
    745. McMillan, David G. & Kambouroudis, Dimos, 2009. "Are RiskMetrics forecasts good enough? Evidence from 31 stock markets," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 117-124, June.
    746. Mauricio Lopera & Ramón Javier Mesa & Charle Londoño, 2014. "Evaluando las intervenciones cambiarias en Colombia: 2004-2012," Estudios Gerenciales, Universidad Icesi, March.
    747. Stanislav Anatolyev & Jozef Barunik, 2017. "Forecasting dynamic return distributions based on ordered binary choice," Papers 1711.05681, arXiv.org, revised Jan 2019.
    748. Ana Monteiro & Nuno Silva & Helder Sebastião, 2023. "Industry return lead-lag relationships between the US and other major countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-48, December.
    749. Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020. "Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary," Papers 2009.07341, arXiv.org.
    750. Shuzhen Yang, 2021. "Compensatory model for quantile estimation and application to VaR," Papers 2112.07278, arXiv.org.
    751. Azam, Kazim, 2014. "Dependence Analysis between Foreign Exchange Rates: A Semi-Parametric Copula Approach," The Warwick Economics Research Paper Series (TWERPS) 1052, University of Warwick, Department of Economics.
    752. Donald Lien & Keshab Shrestha & Jing Wu, 2016. "Quantile Estimation of Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 194-214, February.
    753. Bams, Dennis & Blanchard, Gildas & Lehnert, Thorsten, 2017. "Volatility measures and Value-at-Risk," International Journal of Forecasting, Elsevier, vol. 33(4), pages 848-863.
    754. Chan Jennifer So Kuen & Nitithumbundit Thanakorn & Peiris Shelton & Ng Kok-Haur, 2019. "Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-22, April.
    755. Tae-Hwy Lee & Yong Bao & Burak Saltoglu, 2006. "Evaluating predictive performance of value-at-risk models in emerging markets: a reality check," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 101-128.
    756. Dimitrios P. Louzis & Spyros Xanthopoulos - Sissinis & Apostolos P. Refenes, 2012. "Stock index Value-at-Risk forecasting: A realized volatility extreme value theory approach," Economics Bulletin, AccessEcon, vol. 32(1), pages 981-991.
    757. Jiang, Wen & Xu, Qiuhua & Zhang, Ruige, 2022. "Tail-event driven network of cryptocurrencies and conventional assets," Finance Research Letters, Elsevier, vol. 46(PB).
    758. Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
    759. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "The risk management approach to macro-prudential policy," Working Paper Series 2565, European Central Bank.
    760. Ferreira, Miguel A., 2005. "Forecasting the comovements of spot interest rates," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 766-792, September.
    761. Montes-Rojas, Gabriel, 2017. "Reduced form vector directional quantiles," Journal of Multivariate Analysis, Elsevier, vol. 158(C), pages 20-30.
    762. Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao, 2006. "Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 255-284.
    763. Herwartz, Helmut, 2008. "Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device," Economics Working Papers 2008-16, Christian-Albrechts-University of Kiel, Department of Economics.
    764. Lu Ou & Zhibiao Zhao, 2021. "Value‐at‐risk forecasting via dynamic asymmetric exponential power distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 291-300, March.
    765. Ewa Ratuszny, 2013. "Robust Estimation in VaR Modelling - Univariate Approaches using Bounded Innovation Propagation and Regression Quantiles Methodology," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(1), pages 35-63, March.
    766. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Economic cycles and downside commodities risk," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 258-263, February.
    767. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    768. Su, Jung-Bin & Hung, Jui-Cheng, 2011. "Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation," Economic Modelling, Elsevier, vol. 28(3), pages 1117-1130, May.
    769. Cathy Yi†Hsuan Chen & Thomas C. Chiang, 2016. "Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time†varying Transition Probability Models," European Financial Management, European Financial Management Association, vol. 22(5), pages 749-796, November.
    770. Kwon, Ji Ho, 2020. "Tail behavior of Bitcoin, the dollar, gold and the stock market index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    771. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    772. Dionne, Georges & Saissi-Hassani, Samir, 2016. "Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis," Working Papers 15-3, HEC Montreal, Canada Research Chair in Risk Management.
    773. Zhu, Bo & Deng, Yuanyue & Lin, Renda & Hu, Xin & Chen, Pingshe, 2022. "Energy security: Does systemic risk spillover matter? Evidence from China," Energy Economics, Elsevier, vol. 114(C).
    774. Avdulaj Krenar & Barunik Jozef, 2017. "A semiparametric nonlinear quantile regression model for financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 81-97, February.
    775. Andreas Marcus Gohs, 2022. "The Choice of GARCH Models to Forecast Value-at-Risk for Currencies (Euro Exchange Rates), Crypto Assets (Bitcoin and Ethereum), Gold, Silver and Crude Oil: Automated Processes, Statistical Distributi," MAGKS Papers on Economics 202246, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    776. Ben Rejeb, Aymen, 2017. "On the volatility spillover between lslamic and conventional stock markets: A quantile regression analysis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 794-815.
    777. Jorge E. Galán & María Rodríguez Moreno, 2020. "At-risk measures and financial stability," Revista de Estabilidad Financiera, Banco de España, issue NOV.
    778. Giuseppe Storti & Chao Wang, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," Papers 2207.04595, arXiv.org, revised Feb 2023.
    779. Mateusz Buczyński & Marcin Chlebus, 2021. "GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks," Working Papers 2021-08, Faculty of Economic Sciences, University of Warsaw.
    780. Guermat, Cherif & Harris, Richard D. F., 2002. "Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns," International Journal of Forecasting, Elsevier, vol. 18(3), pages 409-419.
    781. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    782. Zijian Zeng & Meng Li, 2020. "Bayesian Median Autoregression for Robust Time Series Forecasting," Papers 2001.01116, arXiv.org, revised Dec 2020.
    783. Ana-Maria Fuertes & Jose Olmo, 2016. "On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?," JRFM, MDPI, vol. 9(3), pages 1-20, September.
    784. Ming-Yuan Leon Li, 2008. "Re-examining the risk--return relationship in banks using quantile regression," The Service Industries Journal, Taylor & Francis Journals, vol. 30(11), pages 1871-1881, October.
    785. Jorge V Pérez-Rodríguez & María Santana-Gallego, 2020. "Modelling tourism receipts and associated risks, using long-range dependence models," Tourism Economics, , vol. 26(1), pages 70-96, February.
    786. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014. "Are news important to predict large losses?," Papers 1410.6898, arXiv.org, revised Oct 2014.
    787. Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
    788. Naimoli, Antonio & Gerlach, Richard & Storti, Giuseppe, 2022. "Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators," Economic Modelling, Elsevier, vol. 107(C).
    789. Sulkhan Chavleishvili & Simone Manganelli, 2024. "Forecasting and stress testing with quantile vector autoregression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
    790. Mabrouk, Samir & Saadi, Samir, 2012. "Parametric Value-at-Risk analysis: Evidence from stock indices," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(3), pages 305-321.
    791. Afees A. Salisu & Rangan Gupta, 2023. "Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data," Working Papers 202339, University of Pretoria, Department of Economics.
    792. Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.
    793. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2021. "Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data," Papers 2102.12783, arXiv.org, revised Feb 2022.
    794. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2011. "Liquidity Shocks and Hedge Fund Contagion," Working Paper Series 2011-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    795. McMillan, David G. & Speight, Alan E.H. & Evans, Kevin P., 2008. "How useful is intraday data for evaluating daily Value-at-Risk?: Evidence from three Euro rates," Journal of Multinational Financial Management, Elsevier, vol. 18(5), pages 488-503, December.
    796. Buczyński Mateusz & Chlebus Marcin, 2018. "Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(2), pages 67-82, June.
    797. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2015. "Bad environments, good environments: A non-Gaussian asymmetric volatility model," Journal of Econometrics, Elsevier, vol. 186(1), pages 258-275.
    798. Tan, Chia-Yen & Koh, You-Beng & Ng, Kok-Haur & Ng, Kooi-Huat, 2021. "Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    799. Pilar Abad Romero & Sonia Benito Muela & Miguel Angel Sánchez Granero & Carmen López, 2013. "Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis," Documentos de Trabajo del ICAE 2013-40, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    800. Panagiotis Tzouvanas & Renatas Kizys & Ioannis Chatziantoniou & Roza Sagitova, 2019. "Can Variations in Temperature Explain the Systemic Risk of European Firms?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(4), pages 1723-1759, December.
    801. Idris A. Adediran, 2021. "Can Tail Risk Predict Asia-Pacific Exchange Rates Out of Sample?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
    802. Zongwu Cai & Ying Fang & Dingshi Tian, 2024. "CAViaR Model Selection Via Adaptive Lasso," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202403, University of Kansas, Department of Economics, revised Jan 2024.
    803. Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019. "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, vol. 30(C), pages 187-193.
    804. Mauro Bernardi & Leopoldo Catania, 2016. "Comparison of Value-at-Risk models using the MCS approach," Computational Statistics, Springer, vol. 31(2), pages 579-608, June.
    805. Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
    806. Allen, David E. & Singh, Abhay K. & Powell, Robert J., 2013. "EVT and tail-risk modelling: Evidence from market indices and volatility series," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 355-369.
    807. Smile Dube, 2019. "GARCH Modelling of Conditional Correlations and Volatility of Exchange rates in BRICS Countries," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(1), pages 1-7.
    808. Lidia Sanchis-Marco & Antonio Rubia Serrano, 2011. "On downside risk predictability through liquidity and trading activity: a quantile regression approach," Working Papers. Serie AD 2011-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    809. Wang Yu-Jen & Chung Huimin & Guo Jia-Hau, 2013. "A value-at-risk analysis of carry trades using skew-GARCH models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(4), pages 439-459, September.
    810. Selma Chaker & Nour Meddahi, 2013. "CoMargin," Staff Working Papers 13-47, Bank of Canada.
    811. Mirjana Miletić & Siniša Miletić, 2016. "Performance of VaR in Developed and CEE Countries during the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 54-75, March.
    812. Uribe, Jorge M. & Chuliá, Helena & Guillén, Montserrat, 2017. "Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 52-68.
    813. Trino-Manuel Ñíguez & Javier Perote, 2012. "Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(4), pages 600-627, August.
    814. Peter Christoffersen & Silvia Gonçalves, 2004. "Estimation Risk in Financial Risk Management," CIRANO Working Papers 2004s-15, CIRANO.
    815. Carlos Madeira & Joao Madeira, 2015. "Dissent in FOMC Meeting and the Announcement Drift," Working Papers Central Bank of Chile 749, Central Bank of Chile.
    816. Dilip Kumar, 2016. "Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator," Proceedings of Economics and Finance Conferences 3205528, International Institute of Social and Economic Sciences.
    817. Neto, David, 2021. "Are Google searches making the Bitcoin market run amok? A tail event analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    818. Jung-Bin Su & Jui-Cheng Hung, 2018. "The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns," Risks, MDPI, vol. 6(4), pages 1-42, November.
    819. Michał Woźniak & Marcin Chlebus, 2021. "HCR & HCR-GARCH – novel statistical learning models for Value at Risk estimation," Working Papers 2021-10, Faculty of Economic Sciences, University of Warsaw.
    820. Xiaochun Meng & James W. Taylor & Souhaib Ben Taieb & Siran Li, 2020. "Scores for Multivariate Distributions and Level Sets," Papers 2002.09578, arXiv.org, revised Jun 2023.
    821. Herman Mørkved Blom & Petter Eilif de Lange & Morten Risstad, 2023. "Estimating Value-at-Risk in the EURUSD Currency Cross from Implied Volatilities Using Machine Learning Methods and Quantile Regression," JRFM, MDPI, vol. 16(7), pages 1-23, June.
    822. Beum‐Jo Park, 2007. "Trading Volume, Volatility, And Garch Effects In The South Korean Won/Us Dollar Exchange Market: Evidence From Conditional Quantile Estimation," The Japanese Economic Review, Japanese Economic Association, vol. 58(3), pages 382-399, September.
    823. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 961-994, Elsevier.
    824. Stavros Stavroyiannis, 2016. "Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution," Papers 1602.05749, arXiv.org.
    825. Petros Messis & Antonis Alexandridis & Achilleas Zapranis, 2021. "Testing and comparing conditional risk‐return relationship with a new approach in the cross‐sectional framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 218-240, January.
    826. Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele, 2020. "The impact of sentiment and attention measures on stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 334-357.
    827. Laura Ferrando & Román Ferrer & Francisco Jareño, 2017. "Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach," Manchester School, University of Manchester, vol. 85(2), pages 212-242, March.
    828. Rubia, Antonio & Sanchis-Marco, Lidia, 2013. "On downside risk predictability through liquidity and trading activity: A dynamic quantile approach," International Journal of Forecasting, Elsevier, vol. 29(1), pages 202-219.
    829. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
    830. Gareth W. Peters, 2018. "General Quantile Time Series Regressions for Applications in Population Demographics," Risks, MDPI, vol. 6(3), pages 1-47, September.
    831. Bali, Turan G. & Mo, Hengyong & Tang, Yi, 2008. "The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 269-282, February.
    832. Lazar, Emese & Zhang, Ning, 2019. "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
    833. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    834. Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
    835. Laurini, Márcio Poletti & Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino, 2008. "Empirical market microstructure: An analysis of the BRL/US$ exchange rate market," Emerging Markets Review, Elsevier, vol. 9(4), pages 247-265, December.
    836. Di, Junpeng & Zhu, Pingfang, 2015. "A method for evaluating the extreme risk sources of financial markets: The case of stock markets in China," Global Finance Journal, Elsevier, vol. 26(C), pages 18-28.
    837. Georges Dionne & Amir Saissi Hassani, 2015. "Endogenous Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis," Cahiers de recherche 1516, CIRPEE.
    838. Ahmed BenSaïda & Sabri Boubaker & Duc Khuong Nguyen & Skander Slim, 2018. "Value‐at‐risk under market shifts through highly flexible models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(8), pages 790-804, December.
    839. Yuzhi Cai & Guodong Li, 2018. "A novel approach to modelling the distribution of financial returns," Working Papers 2018-22, Swansea University, School of Management.
    840. René Garcia & Éric Renault & Georges Tsafack, 2007. "Proper Conditioning for Coherent VaR in Portfolio Management," Management Science, INFORMS, vol. 53(3), pages 483-494, March.
    841. Giessing, Alexander & He, Xuming, 2019. "On the predictive risk in misspecified quantile regression," Journal of Econometrics, Elsevier, vol. 213(1), pages 235-260.
    842. Baruník, Jozef & Čech, František, 2021. "Measurement of common risks in tails: A panel quantile regression model for financial returns," Journal of Financial Markets, Elsevier, vol. 52(C).
    843. Mauricio Lopera Castano & Ramón Javier Mesa Callejas & Sergio Iván Restrepo Ochoa & Charle Augusto Londono Henao, 2013. "Modelando el esquema de intervenciones del tipo de cambio para Colombia. una aplicación empírica de la técnica de regresión del cuantil bajo redes neu," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, May.
    844. Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016. "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471.
    845. Balboa, Marina & López-Espinosa, Germán & Rubia, Antonio, 2015. "Granger causality and systemic risk," Finance Research Letters, Elsevier, vol. 15(C), pages 49-58.
    846. Araújo Santos, P. & Fraga Alves, M.I., 2013. "Forecasting Value-at-Risk with a duration-based POT method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 295-309.
    847. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 2001. "Testing and Comparing Value-at-Risk Measures," CIRANO Working Papers 2001s-03, CIRANO.
    848. Georgios Tsiotas, 2020. "On the use of power transformations in CAViaR models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 296-312, March.
    849. Manel Youssef & Lotfi Belkacem & Khaled Mokni, 2015. "Extreme Value Theory and long-memory-GARCH Framework: Application to Stock Market," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(8), pages 371-388, August.
    850. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
    851. Alex Maynard & Katsumi Shimotsu & Nina Kuriyama, 2023. "Inference in Predictive Quantile Regressions," Papers 2306.00296, arXiv.org.
    852. Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020. "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202016, University of Kansas, Department of Economics, revised Sep 2020.
    853. Richard Gerlach & Chao Wang, 2016. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures," Papers 1612.08488, arXiv.org.
    854. Stanislav Anatolyev, 2013. "Objects of nonstructural time series modeling (in Russian)," Quantile, Quantile, issue 11, pages 1-12, December.
    855. Jooyong Shim & Yongtae Kim & Jangtaek Lee & Changha Hwang, 2012. "Estimating value at risk with semiparametric support vector quantile regression," Computational Statistics, Springer, vol. 27(4), pages 685-700, December.
    856. Su, Jung-Bin, 2015. "Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market," Economic Modelling, Elsevier, vol. 46(C), pages 204-224.
    857. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    858. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
    859. Chuliá, Helena & Fernández, Julián & Uribe, Jorge M., 2018. "Currency downside risk, liquidity, and financial stability," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 83-102.
    860. Slim, Skander & Dahmene, Meriam & Boughrara, Adel, 2020. "How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 22-37.
    861. Manner, Hans & Alavi Fard, Farzad & Pourkhanali, Armin & Tafakori, Laleh, 2019. "Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae," Energy Economics, Elsevier, vol. 78(C), pages 143-164.
    862. Lisi, Francesco & Grossi, Luigi & Quaglia, Federico, 2023. "Evaluation of Cost-at-Risk related to the procurement of resources in the ancillary services market. The case of the Italian electricity market," Energy Economics, Elsevier, vol. 121(C).
    863. Allen, D.E. & Powell, R.J. & Singh, A.K., 2016. "Take it to the limit: Innovative CVaR applications to extreme credit risk measurement," European Journal of Operational Research, Elsevier, vol. 249(2), pages 465-475.
    864. Thomakos, Dimitrios D. & Wang, Tao, 2010. "'Optimal' probabilistic and directional predictions of financial returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 102-119, January.
    865. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 21(1), pages 1-72.
    866. Bianchi, Michele Leonardo & De Luca, Giovanni & Rivieccio, Giorgia, 2023. "Non-Gaussian models for CoVaR estimation," International Journal of Forecasting, Elsevier, vol. 39(1), pages 391-404.
    867. Svetlana Mira & Nicholas Taylor, 2013. "An International Perspective on Risk Management Quality," European Financial Management, European Financial Management Association, vol. 19(5), pages 935-955, November.
    868. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yu, Keming, 2020. "Mixed data sampling expectile regression with applications to measuring financial risk," Economic Modelling, Elsevier, vol. 91(C), pages 469-486.
    869. Yen, Yu-Min & Yen, Tso-Jung, 2021. "Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions," International Journal of Forecasting, Elsevier, vol. 37(2), pages 733-758.
    870. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Leibniz Institute for Financial Research SAFE.
    871. Engle, Robert, 2001. "Financial econometrics - A new discipline with new methods," Journal of Econometrics, Elsevier, vol. 100(1), pages 53-56, January.
    872. Haowen Bao & Zongwu Cai & Yuying Sun & Shouyang Wang, 2023. "Penalized Model Averaging for High Dimensional Quantile Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202302, University of Kansas, Department of Economics, revised Jan 2023.
    873. Taylor, James W. & Buizza, Roberto, 2006. "Density forecasting for weather derivative pricing," International Journal of Forecasting, Elsevier, vol. 22(1), pages 29-42.
    874. Noh, Jungsik & Lee, Seung Y. & Lee, Sangyeol, 2012. "Quantile regression estimation for discretely observed SDE models with compound Poisson jumps," Economics Letters, Elsevier, vol. 117(3), pages 734-738.
    875. Chong-Chuo Chang & Oshamah Lin Lin & Oshamah Yu-Cheng Chang & Oshamah Kun-Zhan Hsu, 2023. "Impact of Financial Liberalization on Firm Risk," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(3), pages 14-45, September.
    876. Luigi Aldieri & Alessandra Amendola & Vincenzo Candila, 2023. "The Impact of ESG Scores on Risk Market Performance," Sustainability, MDPI, vol. 15(9), pages 1-16, April.
    877. Yingying Xu & Donald Lien, 2020. "Optimal futures hedging for energy commodities: An application of the GAS model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1090-1108, July.
    878. Merlo, Luca & Petrella, Lea & Raponi, Valentina, 2021. "Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).
    879. Christophe HURLIN & Sessi TOKPAVI, 2006. "Backtesting VaR Accuracy: A Simple and Powerful Test," LEO Working Papers / DR LEO 268, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    880. Marco Bee & Luca Trapin, 2018. "Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review," Risks, MDPI, vol. 6(2), pages 1-16, April.
    881. Yuzhi Cai, 2021. "Estimating expected shortfall using a quantile function model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4332-4360, July.
    882. Yu-Yen Ku & Tze-Yu Yen, 2016. "Heterogeneous Effect of Financial Leverage on Corporate Performance: A Quantile Regression Analysis of Taiwanese Companies," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-33, September.
    883. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
    884. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    885. Manner, Hans & Reznikova, Olga, 2010. "Forecasting international stock market correlations: does anything beat a CCC?," Discussion Papers in Econometrics and Statistics 7/10, University of Cologne, Institute of Econometrics and Statistics.
    886. Nikolaos A. Kyriazis, 2021. "The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation," Sustainability, MDPI, vol. 13(10), pages 1-25, May.
    887. Giuseppe Storti & Chao Wang, 2023. "Modeling uncertainty in financial tail risk: A forecast combination and weighted quantile approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1648-1663, November.
    888. Hammadi Zouari, 2022. "On the Effectiveness of Stock Index Futures for Tail Risk Protection," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 38-52, May.

Articles

  1. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A novel risk management perspective for macroprudential policy," Research Bulletin, European Central Bank, vol. 87.

    Cited by:

    1. Tihana Škrinjarić, 2023. "Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia," Working Papers 72, The Croatian National Bank, Croatia.

  2. Bubeck, Johannes & Habib, Maurizio Michael & Manganelli, Simone, 2018. "The portfolio of euro area fund investors and ECB monetary policy announcements," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 103-126.
    See citations under working paper version above.
  3. Guillaume Horny & Simone Manganelli & Benoit Mojon, 2018. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," JRFM, MDPI, vol. 11(4), pages 1-19, October.
    See citations under working paper version above.
  4. Altunbas, Yener & Manganelli, Simone & Marques-Ibanez, David, 2017. "Realized bank risk during the great recession," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 29-44.
    See citations under working paper version above.
  5. Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017. "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, vol. 15(1), pages 218-243.
    See citations under working paper version above.
  6. Garcia-de-Andoain, Carlos & Heider, Florian & Hoerova, Marie & Manganelli, Simone, 2016. "Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area," Journal of Financial Intermediation, Elsevier, vol. 28(C), pages 32-47.
    See citations under working paper version above.
  7. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2015. "VAR for VaR: Measuring tail dependence using multivariate regression quantiles," Journal of Econometrics, Elsevier, vol. 187(1), pages 169-188.
    See citations under working paper version above.
  8. Manganelli, Simone & Popov, Alexander, 2015. "Financial development, sectoral reallocation, and volatility: International evidence," Journal of International Economics, Elsevier, vol. 96(2), pages 323-337.

    Cited by:

    1. Norman Loayza & Amine Ouazad & Romain Ranciere, 2017. "Financial Development, Growth, and Crisis: Is There a Trade-Off?," Working Papers 114, Peruvian Economic Association.
    2. Zouaoui, Haykel & Mazioud, Manel & Ellouz, Nidhal Ziedi, 2018. "A semi-parametric panel data analysis on financial development-economic volatility nexus in developing countries," Economics Letters, Elsevier, vol. 172(C), pages 50-55.
    3. Tongurai, Jittima & Vithessonthi, Chaiporn, 2018. "The impact of the banking sector on economic structure and growth," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 193-207.
    4. Xue, Wen-Jun, 2020. "Financial sector development and growth volatility: An international study," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 67-88.
    5. Karakaya, Neslihan & Michalski, Tomasz K. & Örs, Evren, 2022. "Banking integration and growth: Role of banks' previous industry exposure," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    6. Hejie Zhang & Huiming Lv & Shenghau Lin, 2021. "Financial Development, Saving Rates, and International Economic Volatility: A Simple Model," Mathematics, MDPI, vol. 9(16), pages 1-20, August.
    7. Abdulaziz H. Algaeed, 2022. "Government Spending Volatility and Real Economic Growth: Evidence From a Major Oil Producing Country, Saudi Arabia, 1970 to 2018," SAGE Open, , vol. 12(2), pages 21582440221, April.
    8. Martínez-Jaramillo, Serafín & Montañez-Enríquez, Ricardo & Ossandon Busch, Matias & Ramos-Francia, Manuel & Rodríguez-Martínez, Anahí & Sánchez-Martínez, Manuel, 2022. "Stress-ridden finance and growth losses: Does financial development break the link?," IWH Discussion Papers 3/2022, Halle Institute for Economic Research (IWH).
    9. Becker, Chris & Ossandon Busch, Matias & Tonzer, Lena, 2020. "Macroprudential policy and intra-group dynamics: The effects of reserve requirements in Brazil," IWH Discussion Papers 21/2017, Halle Institute for Economic Research (IWH), revised 2020.
    10. Chima Igwe-Kalu & Barnabas Olusegun Obasaju, 2020. "Output Volatility in Nigeria: Does Financial Development Absorb Trade-Led Shocks?," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 10(2), pages 66-78.
    11. Pengfei Wang & Yi Wen & Zhiwei Xu, 2017. "Online Appendix to ""Financial Development and Long-Run Volatility Trends"," Online Appendices 15-174, Review of Economic Dynamics.
    12. Littke, Helge C. N., 2018. "Channeling the Iron Ore Super-Cycle: The role of regional bank branch networks in emerging markets," IWH Discussion Papers 11/2018, Halle Institute for Economic Research (IWH).
    13. Yong Ma & Ke Song, 2018. "Financial Development And Macroeconomic Volatility," Bulletin of Economic Research, Wiley Blackwell, vol. 70(3), pages 205-225, July.
    14. Su-Yin Cheng & Han Hou, 2022. "Innovation, financial development, and growth: evidences from industrial and emerging countries," Economic Change and Restructuring, Springer, vol. 55(3), pages 1629-1653, August.
    15. Chor Foon Tang & Salah Abosedra, 2020. "Does Financial Development Moderate the Effects on Growth Volatility? The Experience of Malaysia," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(4), pages 361-381, November.

  9. Garcia-de-Andoain, Carlos & Hoffmann, Peter & Manganelli, Simone, 2014. "Fragmentation in the Euro overnight unsecured money market," Economics Letters, Elsevier, vol. 125(2), pages 298-302.
    See citations under working paper version above.
  10. Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2014. "Measuring Comovements by Regression Quantiles," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(4), pages 645-678.
    See citations under working paper version above.
  11. Manganelli, Simone & Popov, Alexander, 2013. "Financial dependence, global growth opportunities, and growth revisited," Economics Letters, Elsevier, vol. 120(1), pages 123-125.

    Cited by:

    1. Lo Turco, Alessia & Maggioni, Daniela & Zazzaro, Alberto, 2019. "Financial dependence and growth: The role of input-output linkages," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 308-328.
    2. Stolbov, Mikhail, 2015. "Causality between credit depth and economic growth: Evidence from 24 OECD countries," BOFIT Discussion Papers 15/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. Ductor, Lorenzo & Grechyna, Daryna, 2015. "Financial development, real sector, and economic growth," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 393-405.
    4. Dirk Bezemer & Maria Grydaki & Lu Zhang, 2016. "More Mortgages, Lower Growth?," Economic Inquiry, Western Economic Association International, vol. 54(1), pages 652-674, January.
    5. Eppinger, Peter S. & Neugebauer, Katja, 2017. "External financial dependence and firms' crisis performance across Europe," LSE Research Online Documents on Economics 70763, London School of Economics and Political Science, LSE Library.
    6. Lagoarde-Segot, Thomas & Paranque, Bernard, 2018. "Finance and sustainability: From ideology to utopia," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 80-92.
    7. Marco Pagano & Sam Langfield & Viral V. Acharya & Arnoud Boot & Markus K. Brunnermeier & Claudia Buch & Martin F. Hellwig & André Sapir & Ieke van den Burg, 2014. "Is Europe Overbanked?," Report of the Advisory Scientific Committee 4, European Systemic Risk Board.
    8. Beck, Roland & Georgiadis, Georgios & Straub, Roland, 2014. "The finance and growth nexus revisited," Economics Letters, Elsevier, vol. 124(3), pages 382-385.
    9. Gimet, Céline & Lagoarde-Segot, Thomas & Reyes-Ortiz, Luis, 2019. "Financialization and the macroeconomy. Theory and empirical evidence," Economic Modelling, Elsevier, vol. 81(C), pages 89-110.
    10. Popov, Alexander, 2017. "Evidence on finance and economic growth," Working Paper Series 2115, European Central Bank.
    11. López, Tania & Winkler, Adalbert, 2019. "Does financial inclusion mitigate credit boom-bust cycles?," Journal of Financial Stability, Elsevier, vol. 43(C), pages 116-129.
    12. Gouthami Kothakapa & Samyukta Bhupatiraju & Rahul A. Sirohi, 2021. "Revisiting the link between financial development and industrialization: evidence from low and middle income countries," Annals of Finance, Springer, vol. 17(2), pages 215-230, June.
    13. Adalbert Winkler, 2014. "Finance, growth and crisis — A European perspective," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 49(2), pages 88-94, March.
    14. Pradeepta Sethi, 2018. "Paradox of external finance in the Indian manufacturing sector," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 10(1), pages 95-111, April.
    15. Alberto Bucci & Boubacar Diallo & Simone Marsiglio, 2023. "On The Nonlinearity of the Finance and Growth Relation: the Role of Human Capital," CEIS Research Paper 567, Tor Vergata University, CEIS, revised 20 Nov 2023.
    16. Bofinger, Peter & Schnabel, Isabel & Feld, Lars P. & Schmidt, Christoph M. & Wieland, Volker, 2015. "Zukunftsfähigkeit in den Mittelpunkt. Jahresgutachten 2015/16 [Focus on Future Viability. Annual Report 2015/16]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201516.
    17. Feng, Yumei & Yu, Qiang & Nan, Xingheng & Cai, Yongbin, 2022. "Can employee stock ownership plans reduce corporate financialization? Evidence from China," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 140-151.
    18. Abdul Rahman & Muhammad Arshad Khan & Lanouar Charfeddine, 2020. "Does Financial Sector Promote Economic Growth in Pakistan? Empirical Evidences From Markov Switching Model," SAGE Open, , vol. 10(4), pages 21582440209, October.
    19. Christian Beer & Walter Waschiczek, 2018. "Capital markets union: a more diverse financial landscape in the EU?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q2/18, pages 71-86.

  12. Simone Manganelli, 2012. "The impact of the Securities Markets Programme," Research Bulletin, European Central Bank, vol. 17, pages 2-5.

    Cited by:

    1. Apergis, Nicholas & Christou, Christina, 2015. "The behaviour of the bank lending channel when interest rates approach the zero lower bound: Evidence from quantile regressions," Economic Modelling, Elsevier, vol. 49(C), pages 296-307.
    2. Fratzscher, Marcel & Rieth, Malte, 2015. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," CEPR Discussion Papers 10370, C.E.P.R. Discussion Papers.
    3. Ad Van Riet, 2017. "A New Era For Monetary Policy: Challenges For The European Central Bank," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(01), pages 57-86, March.
    4. Koetter, Michael, 2020. "Lending effects of the ECB’s asset purchases," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 39-52.
    5. Jakob Korbinian Eberl, 2016. "The Collateral Framework of the Eurosystem and Its Fiscal Implications," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69.
    6. Doran, David & Dunne, Peter & Monks, Allen & O'Reilly, Gerard, 2013. "Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?," Research Technical Papers 07/RT/13, Central Bank of Ireland.

  13. Cappiello, Lorenzo & Kadareja, Arjan & Manganelli, Simone, 2010. "The Impact of the Euro on Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(2), pages 473-502, April.

    Cited by:

    1. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    2. Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Working Paper Series 1574, European Central Bank.
    3. Stephan Siegel & Christian Lundblad & Campbell R. Harvey & Geert Bekaert, 2011. "The European Union, the Euro, and Equity Market Integration," 2011 Meeting Papers 468, Society for Economic Dynamics.
    4. Maela Giofré, 2009. "Convergence of EMU Equity Portfolios," CeRP Working Papers 88, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    5. Bartram, Söhnke M. & Wang, Yaw-Huei, 2015. "European financial market dependence: An industry analysis," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 146-163.
    6. Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015. "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, vol. 117(2), pages 350-368.
    7. Sakemoto, Ryuta, 2018. "Co-movement between equity and bond markets," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 25-38.
    8. Carbó-Valverde, Santiago & Cuadros-Solas, Pedro J. & Rodríguez-Fernández, Francisco, 2021. "The impact of lending relationships on the choice and structure of bond underwriting syndicates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    9. Günter Coenen & Juha Kilponen & Mathias Trabandt, 2010. "When does fiscal stimulus work?," Research Bulletin, European Central Bank, vol. 10, pages 6-10.
    10. Mohammad Alomari & Abdel Razzaq Al rababa’a & Ghaith El-Nader & Ahmad Alkhataybeh, 2021. "Who’s behind the wheel? The role of social and media news in driving the stock–bond correlation," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 959-1007, October.
    11. Christiansen, Charlotte, 2014. "Integration of European bond markets," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 191-198.
    12. Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2014. "The euro and corporate financing before the crisis," Journal of Financial Economics, Elsevier, vol. 114(3), pages 554-575.
    13. Coroneo, Laura & Jackson, Laura E. & Owyang, Michael T., 2020. "International Stock Comovements with Endogenous Clusters," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    14. Ana Lamo & Frank Smets, 2010. "Wage dynamics in Europe: some new findings," Research Bulletin, European Central Bank, vol. 10, pages 2-5.
    15. Shaddady, Ali & Moore, Tomoe, 2019. "Investigation of the effects of financial regulation and supervision on bank stability: The application of CAMELS-DEA to quantile regressions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 96-116.
    16. Ekaterina Dorodnykh, 2012. "What Is the Degree of Convergence among Developed Equity Markets?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(2), pages 2-16, April.
    17. Valerija Botric & Tanja Broz & Sasa Jaksic, 2019. "Business Cycle Synchronisation with the Euro Area Countries at Times of Crisis: Differences Between SEE and CEE Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 17(2), pages 175-191.
    18. Lee, Bong Soo & Li, Ming-Yuan Leon, 2012. "Diversification and risk-adjusted performance: A quantile regression approach," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2157-2173.
    19. Sylvia Gottschalk, 2023. "From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2843-2873, July.
    20. Maher Asal, 2012. "Has the Euro Boosted Equity Markets in the Euro Area?," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 1(2), pages 51-70, October.

  14. Simone Manganelli & Guido Wolswijk, 2009. "What drives spreads in the euro area government bond market? [‘What “hides” behind sovereign debt ratings?’]," Economic Policy, CEPR;CES;MSH, vol. 24(58), pages 191-240.

    Cited by:

    1. António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Working Papers REM 2017/02, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    2. Oliveira, Luís & Curto, José Dias & Nunes, João Pedro, 2012. "The determinants of sovereign credit spread changes in the Euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 278-304.
    3. Martins, Manuel M.F. & Afonso, António, 2010. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Working Paper Series 1276, European Central Bank.
    4. Ehrmann, Michael & D'Agostino, Antonello, 2013. "The pricing of G7 sovereign bond spreads: the times, they are a-changin," Working Paper Series 1520, European Central Bank.
    5. Roberto Tamborini, 2014. "Interest-Rate Spread and Public-Debt Dynamics in a Two-Country Monetary-Union Portfolio Model," Open Economies Review, Springer, vol. 25(2), pages 243-261, April.
    6. Dieppe, Alistair & Mourinho Félix, Ricardo & Marchiori, Luca & Grech, Owen & Albani, Maria & Lalouette, Laure & Kulikov, Dmitry & Papadopoulou, Niki & Sideris, Dimitris & Irac, Delphine & Gordo Mora, , 2015. "Public debt, population ageing and medium-term growth," Occasional Paper Series 165, European Central Bank.
    7. Piotr Ciżkowicz & Andrzej Rzońca & Rafał Trzeciakowski, 2015. "Membership in the Euro area and fiscal sustainability - Analysis through panel fiscal reaction functions," a/ Working Papers Series 1501, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
    8. Gilles Dufrénot & Karine Gente & Frédia Monsia, 2016. "Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view," Post-Print hal-01440301, HAL.
    9. Bernoth, Kerstin & Erdogan, Burcu, 2010. "Sovereign bond yield spreads: a time-varying coefficient approach," Discussion Papers 289, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    10. Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2017. "The effect of countries’ ESG ratings on their sovereign borrowing costs," Post-Print hal-03897987, HAL.
    11. Thomas Laubach, 2010. "Fiscal Policy and Interest Rates: The Role of Sovereign Default Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 7-29, National Bureau of Economic Research, Inc.
    12. Gonzalo Camba-Méndez & Dobromił Serwa, 2014. "Market perception of sovereign credit risk in the euro area during the financial crisis," NBP Working Papers 185, Narodowy Bank Polski.
    13. Arghyrou, Michael G. & Kontonikas, Alexandros, 2010. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," SIRE Discussion Papers 2010-81, Scottish Institute for Research in Economics (SIRE).
    14. Lucjan T Orlowski & Anna Tsibulina, 2014. "Integration of Central and Eastern European and the Euro-Area Financial Markets: Repercussions from the Global Financial Crisis," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(3), pages 376-395, September.
    15. Ioannidou, V. & Ongena, S. & Peydro, J.L., 2009. "Monetary Policy, Risk-Taking, and Pricing : Evidence from a Quasi-Natural Experiment," Discussion Paper 2009-31 S, Tilburg University, Center for Economic Research.
    16. Attinasi, Maria Grazia & Checherita-Westphal, Cristina & Nickel, Christiane, 2009. "What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09?," Working Paper Series 1131, European Central Bank.
    17. Erica Perego, 2018. "Sovereign Risk and Asset Market Dynamics in the Euro Area," Working Papers 2018-18, CEPII research center.
    18. Laura Coroneo & Sergio Pastorello, 2017. "European spreads at the interest rate lower bound," Discussion Papers 17/10, Department of Economics, University of York.
    19. Demirer, Rıza & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2020. "Oil price shocks, global financial markets and their connectedness," Energy Economics, Elsevier, vol. 88(C).
    20. Recchioni, Maria Cristina & Tedeschi, Gabriele, 2017. "From bond yield to macroeconomic instability: A parsimonious affine model," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1116-1135.
    21. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    22. Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen, 2017. "Sovereign bond market reactions to no-bailout clauses and fiscal rules – The Swiss experience," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 319-343.
    23. Maria Mansanet-Bataller & Julien Chevallier & Morgan Hervé-Mignucci & Emilie Alberola, 2011. "EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00991939, HAL.
    24. Falko Juessen & Ludger Linnemann & Andreas Schabert, 2014. "Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model," Working Paper Series in Economics 73, University of Cologne, Department of Economics.
    25. Indermit S Gill & Naotaka Sugawara & Juan Zalduendo, 2014. "The Center Still Holds: Financial Integration in the Euro Area," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(3), pages 351-375, September.
    26. Ortmans, Aymeric & Tripier, Fabien, 2021. "COVID-induced sovereign risk in the euro area: When did the ECB stop the spread?," European Economic Review, Elsevier, vol. 137(C).
    27. Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2015. "On the time-varying relationship between EMU sovereign spreads and their determinants," Economic Modelling, Elsevier, vol. 44(C), pages 363-371.
    28. Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini, 2016. "Contagion across Eurozone’s sovereign spreads and the Core-Periphery divide," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 197-213, February.
    29. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & Perea, Maite de Sola, 2015. "A macro-financial analysis of the euro area sovereign bond market," LIDAM Reprints LFIN 2015009, Université catholique de Louvain, Louvain Finance (LFIN).
    30. Fazlioglu, S., 2013. "Determinants of sovereign debt yield spreads under EMU: Pairwise approach," Research Memorandum 007, Maastricht University, Graduate School of Business and Economics (GSBE).
    31. Afonso, António & Arghyrou, Michael G. & Kontonikas, Alexandros, 2015. "The determinants of sovereign bond yield spreads in the EMU," Working Paper Series 1781, European Central Bank.
    32. Jens Klose, 2019. "Measuring Redenomination Risks in the Euro Area - New Evidence from Survey Data," MAGKS Papers on Economics 201903, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    33. Martin Geiger & Richard Hule, 2016. "Correlation and coordination risk," Working Papers 2016-19, Faculty of Economics and Statistics, Universität Innsbruck.
    34. Mengus, Eric, 2017. "Asset Purchase Bailouts and Endogenous Implicit Guarantees," HEC Research Papers Series 1248, HEC Paris, revised 22 Jan 2018.
    35. Afonso, António & Jalles, João Tovar & Kazemi, Mina, 2020. "The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads," International Review of Law and Economics, Elsevier, vol. 63(C).
    36. Reuben Ellul, 2017. "Correlation between Maltese and euro area sovereign bond yields," CBM Working Papers WP/03/2017, Central Bank of Malta.
    37. Georgoutsos, Dimitris A. & Migiakis, Petros M., 2013. "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4650-4664.
    38. Nicolas Huchet & Bénédicte Serbini, 2013. "Public finance, banking sector and sovereign bond risk premiums in the Eurozone," Post-Print hal-03124168, HAL.
    39. De Santis, Roberto A., 2012. "The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal," Working Paper Series 1419, European Central Bank.
    40. Carlo A. Favero, 2012. "Modelling and Forecasting Yield Differentials in the euro area. A non-linear Global VAR model," Working Papers 431, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    41. Corsi, Fulvio & Lillo, Fabrizio & Pirino, Davide & Trapin, Luca, 2018. "Measuring the propagation of financial distress with Granger-causality tail risk networks," Journal of Financial Stability, Elsevier, vol. 38(C), pages 18-36.
    42. Kinateder, Harald & Wagner, Niklas, 2017. "Quantitative easing and the pricing of EMU sovereign debt," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 1-12.
    43. Mr. Stijn Claessens & Mr. Hui Tong & Mr. Igor Esteban Zuccardi Huertas, 2011. "Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel?," IMF Working Papers 2011/227, International Monetary Fund.
    44. Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2010. "Government bond risk premiums in the EU revisited: the impact of the financial crisis," Working Paper Series 1152, European Central Bank.
    45. Christian Leschinski, Christian & Bertram, Philip, 2013. "Contagion Dynamics in EMU Government Bond Spreads," Hannover Economic Papers (HEP) dp-515, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    46. Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Göhring, Matthias, 2017. "Determinants of sub-sovereign bond yield spreads – The role of fiscal fundamentals and federal bailout expectations," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 72-98.
    47. Juodžiukynienė Greta, 2016. "The Significance of Country-Specific and Common Risk Factors for CEE Government Bond Spreads Changes," Ekonomika (Economics), Sciendo, vol. 95(1), pages 84-111, January.
    48. Cimadomo, Jacopo & Claeys, Peter & Poplawski-Ribeiro, Marcos, 2016. "How do experts forecast sovereign spreads?," European Economic Review, Elsevier, vol. 87(C), pages 216-235.
    49. António Afonso & João Tovar Jalles & Mina Kazemi, 2019. "The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads: an event study from the EMU," EconPol Working Paper 22, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    50. Tonzer, Lena & Buchholz, Manuel, 2014. "Sovereign Credit Risk Co-movements in the Eurozone: Simple Interdependence or Contagion?," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100443, Verein für Socialpolitik / German Economic Association.
    51. Juha Kilponen & Helinä Laakkonen & Jouko Vilmunen, 2015. "Sovereign Risk, European Crisis-Resolution Policies, and Bond Spreads," International Journal of Central Banking, International Journal of Central Banking, vol. 11(2), pages 285-323, March.
    52. Peter C. B. Phillips & Shuping Shi, 2019. "Detecting Financial Collapse and Ballooning Sovereign Risk," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(6), pages 1336-1361, December.
    53. Patrick Leblond, 2011. "The Global Financial Crisis and the European Integration Project," CIRANO Working Papers 2011s-55, CIRANO.
    54. Moessinger, Marc-Daniel & Feld, Lars P. & Kalb, Alexander & Osterloh, Steffen, 2013. "Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses The Swiss Experience," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79807, Verein für Socialpolitik / German Economic Association.
    55. G. Hübner & R. Joliet, 2013. "Government debt denomination policies before and after the EMU advent," Post-Print hal-00787175, HAL.
    56. Terezie Lokajickova, 2010. "Could the Stability and Growth Pact Be Substituted by the Financial Markets?," Working Papers IES 2010/30, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2010.
    57. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    58. Anastasios Pappas & Ioannis Kostakis, 2020. "The Driving Factors of EMU Government Bond Yields: The Role of Debt, Liquidity and Fiscal Councils," IJFS, MDPI, vol. 8(3), pages 1-13, September.
    59. Giovanni Lombardo & Peter McAdam, 2010. "Incorporating financial frictions into new-generation macro models," Research Bulletin, European Central Bank, vol. 9, pages 13-16.
    60. Oguro, Kazumasa & Sato, Motohiro, 2012. "Default Risk on Government Bonds, Deflation, and Inflation," CIS Discussion paper series 537, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
    61. António Afonso & João Tovar Jalles, 2017. "Quantitative Easing and Sovereign Yield Spreads: Euro-Area Time-Varying Evidence," Working Papers REM 2017/20, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    62. Gärtner, Manfred & Griesbach, Bjoern & Jung, Florian, 2011. "PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies," Economics Working Paper Series 1106, University of St. Gallen, School of Economics and Political Science.
    63. Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2017. "Measuring the effect of government ESG performance on sovereign borrowing cost," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01549820, HAL.
    64. Maria Mansanet-Bataller & Julien Chevallier & Morgan Hervé-Mignucci & Emilie Alberola, 2010. "The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market," Post-Print halshs-00458991, HAL.
    65. Alexopoulou, Ioana & Bunda, Irina & Ferrando, Annalisa, 2009. "Determinants of government bond spreads in new EU countries," Working Paper Series 1093, European Central Bank.
    66. Borgy, V. & Laubach, T. & Mésonnier, J-S. & Renne, J-P., 2011. "Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets," Working papers 350, Banque de France.
    67. António Afonso & João Tovar Jalles, 2015. "The Price Relevance of Fiscal Developments," Working Papers Department of Economics 2015/16, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    68. Luciano Greco & Francesco J. Pintus & Davide Raggi, 2023. "When Fiscal Discipline meets Macroeconomic Stability: the Euro-stability Bond," Working Papers 2023:11, Department of Economics, University of Venice "Ca' Foscari".
    69. António Afonso & João Tovar Jalles, 2020. "Economic volatility and sovereign yields’ determinants: a time-varying approach," Empirical Economics, Springer, vol. 58(2), pages 427-451, February.
    70. Johannes W. Fedderke, 2020. "The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals," Working Papers 830, Economic Research Southern Africa.
    71. David Howarth & Lucia Quaglia, 2015. "The political economy of the euro area's sovereign debt crisis: introduction to the special issue of the Review of International Political Economy," Review of International Political Economy, Taylor & Francis Journals, vol. 22(3), pages 457-484, June.
    72. Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris, 2017. "The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode," CREATES Research Papers 2017-25, Department of Economics and Business Economics, Aarhus University.
    73. Serhan Cevik & João Tovar Jalles, 2020. "This Changes Everything: Climate Shocks and Sovereign Bonds," Working Papers REM 2020/0132, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    74. Paolo Canofari & Giancarlo Marini & Giovanni Piersanti, 2015. "Expectations and systemic risk in EMU government bond spreads," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 711-724, April.
    75. Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010. "Banking and sovereign risk in the euro area," Discussion Paper Series 1: Economic Studies 2010,09, Deutsche Bundesbank.
    76. Paweł Tobera, 2019. "Ocena ratingowa a koszt obsługi długu publicznego w krajach Europy Środkowo-Wschodniej w latach 2005–2017," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 87-109.
    77. António Afonso & Christophe Rault, 2010. "Short and Long-run Behaviour of Long-term Sovereign Bond Yields," Working Papers Department of Economics 2010/19, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    78. Manfred G?rtner & Bj?rn Griesbach, 2017. "Rating Agencies, Self-Fulfilling Prophecy and Multiple Equilibria? An Empirical Model of the European Sovereign Debt Crisis 2009-2011," Business and Economic Research, Macrothink Institute, vol. 7(1), pages 199-226, June.
    79. Iuliana Matei, 2013. "Government bond market linkages within EMU: evidence from a multivariate Granger causality analysis," Economics Bulletin, AccessEcon, vol. 33(3), pages 1885-1898.
    80. Davide Furceri & Aleksandra Zdzienicka, 2012. "Financial Integration and Fiscal Policy," Open Economies Review, Springer, vol. 23(5), pages 805-822, November.
    81. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2014. "The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market," CEPR Discussion Papers 9803, C.E.P.R. Discussion Papers.
    82. Iuliana Matei & Angela Cheptea, 2013. "Sovereign bond spread drivers in the EU market in the aftermath of the global financial crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00845660, HAL.
    83. Alex Dontoh & Fayez A. Elayan & Joshua Ronen & Tavy Ronen, 2021. "Unfair “Fair Value” in Illiquid Markets: Information Spillover Effects in Times of Crisis," Management Science, INFORMS, vol. 67(8), pages 5163-5193, August.
    84. Christian Aßmann & Jens Boysen-Hogrefe, 2012. "Determinants of government bond spreads in the euro area: in good times as in bad," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 39(3), pages 341-356, August.
    85. Floros, Christos & Kizys, Renatas & Pierdzioch, Christian, 2013. "Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 166-173.
    86. Johannes W. Fedderke, 2020. "Is the Phillips curve framework still useful for understanding inflation dynamics in South Africa," Working Papers 10142, South African Reserve Bank.
    87. Delatte, Anne-Laure & Guillaume, Alexis, 2020. "Covid 19: a new challenge for the EMU," CEPR Discussion Papers 14848, C.E.P.R. Discussion Papers.
    88. Erdinc Akyildirim & Duc Khuong Nguyen & Ahmet Sensoy, 2018. "A Tale of Two Risks in the EMU Sovereign Debt Markets," Working Papers 2018-004, Department of Research, Ipag Business School.
    89. Pawel Gajewski, 2014. "Sovereign spreads and financial market behavior before and during the crisis," Lodz Economics Working Papers 4/2014, University of Lodz, Faculty of Economics and Sociology.
    90. Favero, Carlo A., 2013. "Modelling and forecasting government bond spreads in the euro area: A GVAR model," Journal of Econometrics, Elsevier, vol. 177(2), pages 343-356.
    91. Konstantinos Liapis & Antonios Rovolis & Christos Galanos & Eleftherios Thalassinos, 2013. "The Clusters of Economic Similarities between EU Countries: A View Under Recent Financial and Debt Crisis," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 41-66.
    92. Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander, 2013. "Sovereign risk premia: The link between fiscal rules and stability culture," ZEW Discussion Papers 13-016, ZEW - Leibniz Centre for European Economic Research.
    93. Canale, Rosaria Rita & De Simone, Elina & Spagnolo, Nicola, 2021. "Financial markets and fiscal discipline in the Eurozone," Structural Change and Economic Dynamics, Elsevier, vol. 58(C), pages 490-499.
    94. Filipa Fernandes & Charalampos Stasinakis & Zivile Zekaite, 2019. "Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery," Annals of Operations Research, Springer, vol. 282(1), pages 87-118, November.
    95. Leila Simona TALANI, 2014. "The Political Economy of Italy in the EMU: What Went Wrong?," Journal of Economics and Political Economy, KSP Journals, vol. 1(2), pages 133-149, December.
    96. Asgharian, Hossein & Liu, Lu & Larsson, Marcus, 2018. "Cross-border asset holdings and comovements in sovereign bond markets," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 189-206.
    97. Sebastian Missio, 2012. "Government bond market integration and the EMU: Correlation based evidence," Working Papers 125, Bavarian Graduate Program in Economics (BGPE).
    98. Eleonora Cutrini and Giorgio Galeazzi, 2014. "Contagion in the Euro crisis: capital flows and trade linkages," Working Papers 44-2014, Macerata University, Department of Studies on Economic Development (DiSSE), revised Nov 2014.
    99. Corradin, Stefano & Schwaab, Bernd, 2023. "Euro area sovereign bond risk premia before and during the Covid-19 pandemic," European Economic Review, Elsevier, vol. 153(C).
    100. Michal Ovádek & Nicolas Lampach & Arthur Dyevre, 2020. "What’s the talk in Brussels? Leveraging daily news coverage to measure issue attention in the European Union," European Union Politics, , vol. 21(2), pages 204-232, June.
    101. Ramon Christen & Nils C. Soguel, 2019. "How can states benefit from the equity premium puzzle? Debt as revenue source for Swiss cantons," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-17, December.
    102. Linas Jurksas & Vitalijus Klincevicius, 2020. "Relevance of Sovereign Bond Valuations Topic in the Speeches of ECB Officials," Bank of Lithuania Discussion Paper Series 20, Bank of Lithuania.
    103. Zuccardi Huertas Igor Esteban, 2015. "Sovereign Spreads in the Eurozone: Is Market Discipline Working?," Working Papers 2015-20, Banco de México.
    104. Guillaume Belly & Lukas Boeckelmann & Carlos Mateo Caicedo Graciano & Alberto Di Iorio & Klodiana Istrefi & Vasileios Siakoulis & Arthur Stalla‐Bourdillon, 2023. "Forecasting sovereign risk in the Euro area via machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 657-684, April.
    105. Pilar Abad & Helena Chuliá, 2014. "“European government bond market integration in turbulent times”," IREA Working Papers 201424, University of Barcelona, Research Institute of Applied Economics, revised Oct 2014.
    106. Linas Jurksas & Hector Carcel, 2019. "Euro Area Government Bond Yield and Liquidity Dependence during different Monetary Policy Accommodation Phases," Bank of Lithuania Working Paper Series 60, Bank of Lithuania.
    107. Stefano Neri & Tiziano Ropele, 2015. "The macroeconomic effects of the sovereign debt crisis in the euro area," Temi di discussione (Economic working papers) 1007, Bank of Italy, Economic Research and International Relations Area.
    108. Roberto Tamborini & Matteo Tomaselli, 2020. "When does public debt impair economic growth? A literature review in search of a theory," DEM Working Papers 2020/7, Department of Economics and Management.
    109. G. Horny & M. Manganelli & B. Mojon, 2016. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," Working papers 582, Banque de France.
    110. Gunther Tichy, 2012. "Zum Versagen der Marktdisziplinierung in der Finanzkrise," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 13, pages 58-80, May.
    111. Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2012. "Sovereign risk premiums in the European government bond market," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 975-995.
    112. Verner, Robert & Tkáč, Michal, 2023. "On the predictability of bonds," Finance Research Letters, Elsevier, vol. 57(C).
    113. Athanasios O. Tagkalakis, 2014. "Financial stability indicators and public debt developments," Working Papers 179, Bank of Greece.
    114. Kazumasa Oguro & Motohiro Sato, 2014. "Public debt accumulation and fiscal consolidation," Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 663-673, March.
    115. Gibran Watfe, 2015. "The Impact of the ECB's Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area," Bruges European Economic Research Papers 35, European Economic Studies Department, College of Europe.
    116. Angela Maddaloni & José-Luis Peydró, 2010. "Bank lending standards and the origins and implications of the current banking crisis," Research Bulletin, European Central Bank, vol. 9, pages 6-9.
    117. filippo gori, 2012. "The risk of self-protection: the role of bank bailout guarantees in channelling sovereign credit risk internationally," IHEID Working Papers 12-2014, Economics Section, The Graduate Institute of International Studies, revised 30 Nov 2014.
    118. Schuster, Florian, 2023. "Spreads auf Staatsanleihezinsen, der EZB-Sicherheitenrahmen und Peripherieprämien in der Eurozone," Papers 277910, Dezernat Zukunft - Institute for Macrofinance, Berlin.
    119. Wolfinger, Julia & Köhler, Ekkehard, 2017. "The Draghi-Put: When unexpected words on joint liability speak louder than actions," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168265, Verein für Socialpolitik / German Economic Association.
    120. Britta Niehof, 2014. "Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model," MAGKS Papers on Economics 201458, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    121. Petra Palic & Petra Posedel Simovic & Maruska Vizek, 2017. "The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 19(1), pages 37-66, June.
    122. Katarzyna Sum, 2013. "The Impact of Banking Regulation on the Economic Performance of EU Countries in 2007-2009," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 5-19.
    123. Angela Maddaloni & Jose-Luis Peydro, 2011. "Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2121-2165.
    124. Roberto Tamborini, 2015. "Heterogeneous Market Beliefs, Fundamentals and the Sovereign Debt Crisis in the Eurozone," Economica, London School of Economics and Political Science, vol. 82, pages 1153-1176, December.
    125. Fiorella De Fiore & Oreste Tristani, 2010. "Financial conditions and monetary policy," Research Bulletin, European Central Bank, vol. 9, pages 10-12.
    126. Claeys, Peter & Cimadomo, Jacopo & Poplawski Ribeiro, Marcos, 2014. "How do financial institutions forecast sovereign spreads?," Working Paper Series 1750, European Central Bank.
    127. Elena Raluca MOISESCU (DUICAN) & Andrei GIURESCU, 2016. "Sovereign debt crisis. From challenges to solutions," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(606), S), pages 195-202, Spring.
    128. C. Bortoli & L. Harreau & C. Pouvelle, 2014. "Determinants of OECD countries’ sovereign yields: safe havens, purgatory, and the damned," Working papers 494, Banque de France.
    129. Thomas Url, 2012. "Rating Agencies: Creating, Amplifying or Drawn by Events in the Sovereign Debt Crisis?," Austrian Economic Quarterly, WIFO, vol. 17(2), pages 108-121, May.
    130. Sha Liu, 2014. "The Impact of Textual Sentiment on Sovereign Bond Yield Spreads: Evidence from the Eurozone Crisis," Multinational Finance Journal, Multinational Finance Journal, vol. 18(3-4), pages 215-248, September.
    131. Dionisis Philippas & Costas Siriopoulos, 2014. "Money factors and EMU government bond markets' convergence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 31(2), pages 156-167, May.
    132. Roberto Tamborini, 2017. "Europe at the Interdependence War," EconPol Working Paper 2, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    133. Mr. Ermal Hitaj & Yasin Kursat Onder, 2013. "Fiscal Discipline in WAEMU: Rules, Institutions, and Markets," IMF Working Papers 2013/216, International Monetary Fund.
    134. Stracca, Livio, 2013. "The global effects of the euro debt crisis," Working Paper Series 1573, European Central Bank.
    135. António Afonso & João Tovar Jalles, 2016. "Budgetary Decomposition and Yield Spreads," Working Papers Department of Economics 2016/05, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    136. Aymeric Ortmans & Fabien Tripier, 2020. "COVID-Induced Sovereign Risk in the Euro Area: When Did the ECB Stop the Contagion?," Working Papers 2020-11, CEPII research center.
    137. Enrique Alberola & Luis Molina & Pedro del Río, 2012. "Boom-bust cycles, imbalances and discipline in Europe," Working Papers 1220, Banco de España.
    138. Arru, Daniela & Iacovoni, Davide & Monteforte, Libero & Pericoli, Filippo Maria, 2012. "EMU sovereign spreads and macroeconomic news," MPRA Paper 37200, University Library of Munich, Germany.
    139. Reboredo, Juan C. & Ugolini, Andrea, 2015. "Systemic risk in European sovereign debt markets: A CoVaR-copula approach," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 214-244.
    140. André Pinho & Ricardo Barradas, 2021. "Determinants of the Portuguese government bond yields," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2375-2395, April.
    141. Stracca, Livio, 2015. "Our currency, your problem? The global effects of the euro debt crisis," European Economic Review, Elsevier, vol. 74(C), pages 1-13.
    142. Bhatt, Vipul & Kishor, N Kundan & Ma, Jun, 2017. "The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 206-222.
    143. J.A. Bikker & Tobias M. Vervliet, 2017. "Bank Profitability and Risk-Taking under Low Interest Rates," Working Papers 17-10, Utrecht School of Economics.
    144. Luciana Barbosa & Sónia Costa, 2010. "Determinants of the sovereign bond yield spreads in the Euro Area in the context of the economic and financial crisis," Working Papers w201022, Banco de Portugal, Economics and Research Department.
    145. Thomas Url, 2011. "Ratingagenturen: Verursacher, Verstärker oder im Sog der Staatsschuldenkrise?," WIFO Monatsberichte (monthly reports), WIFO, vol. 84(12), pages 811-825, December.
    146. Christopher Findlay & Silvia Sorescu & Camilo Umana Dajud, 2016. "Markets are Smart! Structural Reforms and Country Risk," Working Papers 2016-23, CEPII research center.
    147. Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020. "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, vol. 48(C).
    148. Dragomirescu-Gaina, Catalin & Philippas, Dionisis, 2013. "Is the EMU government bond market a playground for asymmetries?," The Journal of Economic Asymmetries, Elsevier, vol. 10(1), pages 21-31.
    149. Martin Geiger & Richard Hule, 2019. "Correlation and coordination risk," Annals of Finance, Springer, vol. 15(2), pages 155-177, June.
    150. Roberto Tamborini, 2012. "Market opinions, fundamentals and the euro-sovereign debt crisis," Department of Economics Working Papers 1210, Department of Economics, University of Trento, Italia.
    151. Leschinski, Christian & Bertram, Philip, 2017. "Time varying contagion in EMU government bond spreads," Journal of Financial Stability, Elsevier, vol. 29(C), pages 72-91.
    152. Samir Kadiric, 2020. "The determinants of sovereign risk premiums in the UK and the European government bond market: The impact of Brexit," EIIW Discussion paper disbei271, Universitätsbibliothek Wuppertal, University Library.
    153. Schuster, Florian, 2023. "Sovereign spreads, central bank collateral frameworks, and periphery premia in the Eurozone," Papers 277915, Dezernat Zukunft - Institute for Macrofinance, Berlin.
    154. Roberto Tamborini, 2013. "The new fiscal rules for the EMU. Threats from heterogeneity and interdependence," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 10(3), pages 415-436, December.
    155. Menno Broos & Jakob de Haan, 2012. "Government bond yields and foreign ownership of debt," Applied Economics Letters, Taylor & Francis Journals, vol. 19(5), pages 435-438, March.
    156. Ms. Edda Zoli & Ms. Silvia Sgherri, 2009. "Euro Area Sovereign Risk During the Crisis," IMF Working Papers 2009/222, International Monetary Fund.
    157. Cornelia Holthausen & Huw Pill, 2010. "The forgotten markets: How understanding money markets helps us to understand the financial crisis," Research Bulletin, European Central Bank, vol. 9, pages 2-5.
    158. Maria Cristina Recchioni & Gabriele Tedeschi, 2016. "From bond yield to macroeconomic instability: The effect of negative interest rates," Working Papers 2016/06, Economics Department, Universitat Jaume I, Castellón (Spain).
    159. Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2014. "Sustainability vs. credibility of fiscal consolidation. A Principal Components test for the Euro Zone," DEM Discussion Papers 2014/09, Department of Economics and Management.
    160. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2017. "Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 14-31.
    161. Samir Kadiric, 2022. "The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit," International Economics and Economic Policy, Springer, vol. 19(2), pages 267-298, May.
    162. Sérgio C. Lagoa & Emanuel R. Leão & Diptes P. Bhimjee, 2022. "Dynamics of the public-debt-to-gdp ratio: can it explain the risk premium of treasury bonds?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(4), pages 1089-1122, November.
    163. Stijn Claessens & Hui Tong & Igor Zuccardi, 2015. "Saving the Euro: Mitigating Financial or Trade Spillovers?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1369-1402, October.

  15. Manganelli, Simone, 2009. "Forecasting With Judgment," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 553-563.

    Cited by:

    1. Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
    2. Krüger Fabian & Pohlmeier Winfried & Mokinski Frieder, 2011. "Combining Survey Forecasts and Time Series Models: The Case of the Euribor," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 63-81, February.
    3. Giovanni Lombardo & Peter McAdam, 2010. "Incorporating financial frictions into new-generation macro models," Research Bulletin, European Central Bank, vol. 9, pages 13-16.
    4. Chini, Emilio Zanetti, 2023. "Can we estimate macroforecasters’ mis-behavior?," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    5. Hubrich, Kirstin & González, Andrés & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series 1363, European Central Bank.
    6. Manganelli, Simone, 2016. "Deciding with judgment," Working Paper Series 1947, European Central Bank.
    7. Dong Hwan Oh & Andrew J. Patton, 2021. "Better the Devil You Know: Improved Forecasts from Imperfect Models," Finance and Economics Discussion Series 2021-071, Board of Governors of the Federal Reserve System (U.S.).
    8. Kirstin Hubrich & Simone Manganelli, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 506-509, October.
    9. Angela Maddaloni & José-Luis Peydró, 2010. "Bank lending standards and the origins and implications of the current banking crisis," Research Bulletin, European Central Bank, vol. 9, pages 6-9.
    10. Fiorella De Fiore & Oreste Tristani, 2010. "Financial conditions and monetary policy," Research Bulletin, European Central Bank, vol. 9, pages 10-12.
    11. Paolo Gelain & Simone Manganelli, 2020. "Monetary Policy with Judgment," Working Papers 20-14, Federal Reserve Bank of Cleveland.
    12. Manganelli, Simone, 2018. "Selecting models with judgment," Working Paper Series 2188, European Central Bank.
    13. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
    14. Cornelia Holthausen & Huw Pill, 2010. "The forgotten markets: How understanding money markets helps us to understand the financial crisis," Research Bulletin, European Central Bank, vol. 9, pages 2-5.

  16. Lutz Kilian & Simone Manganelli, 2008. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1103-1129, September.
    See citations under working paper version above.
  17. Lutz Kilian & Simone Manganelli, 2007. "Quantifying the Risk of Deflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 561-590, March.
    See citations under working paper version above.
  18. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
    See citations under working paper version above.
  19. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October. See citations under working paper version above.
  20. Simone Manganelli, 2004. "Asset Allocation by Variance Sensitivity Analysis," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(3), pages 370-389.

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
    2. Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 584, European Central Bank.
    3. Chih-Nan Chen & Chien-Hsiu Lin, 2022. "Optimal carry trade portfolio choice under regime shifts," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 483-506, August.
    4. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
    5. Manganelli, Simone, 2007. "Asset allocation by penalized least squares," Working Paper Series 723, European Central Bank.
    6. Izhar, Hylmun, 2015. "Measuring Operational Risk Exposures In Islamic Banking: A Proposed Measurement Approach," Working Papers 1432-3, The Islamic Research and Teaching Institute (IRTI).
    7. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    8. Eli Bouri & Andre Eid & Imad Kachacha, 2014. "The Dynamic Behaviour and Determinants of Linkages among Middle Eastern and North African Stock Exchanges," Economic Issues Journal Articles, Economic Issues, vol. 19(1), pages 1-22, March.
    9. Panayiotis F. Diamandis & Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2012. "Asset allocation in the Athens stock exchange: a variance sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(2), pages 167-181, April.
    10. Syriopoulos, Theodore & Roumpis, Efthimios, 2009. "Dynamic correlations and volatility effects in the Balkan equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 565-587, October.

  21. Philipp Hartmann & Angela Maddaloni & Simone Manganelli, 2003. "The Euro-area Financial System: Structure, Integration, and Policy Initiatives," Oxford Review of Economic Policy, Oxford University Press, vol. 19(1), pages 180-213.
    See citations under working paper version above.

Chapters

  1. Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2006. "Equity Market Integration of New EU Member States," Chapters, in: Klaus Liebscher & Josef Christl & Peter Mooslechner & Doris Ritzberger-Grünwald (ed.), Financial Development, Integration and Stability, chapter 25, Edward Elgar Publishing.

    Cited by:

    1. Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.

Books

    Sorry, no citations of books recorded.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.