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Granger causality in risk and detection of extreme risk spillover between financial markets

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Cited by:

  1. Erdal Atukeren & Emrah İ. Çevik & Turhan Korkmaz, 2015. "Downside business confidence spillovers in Europe: evidence from causality-in-risk tests," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 18(4), pages 341-357, October.
  2. Tae-Hwy Lee & Weiping Yang, 2012. "Money–Income Granger-Causality in Quantiles," Advances in Econometrics, in: 30th Anniversary Edition, pages 385-409, Emerald Group Publishing Limited.
  3. 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".
  4. Neto, David, 2022. "Revisiting spillovers between investor attention and cryptocurrency markets using noisy independent component analysis and transfer entropy," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  5. Jian Zhou, 2013. "Extreme risk spillover among international REIT markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(2), pages 91-103, January.
  6. Yao, Xiaoyang & Le, Wei & Sun, Xiaolei & Li, Jianping, 2020. "Financial stress dynamics in China: An interconnectedness perspective," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 217-238.
  7. 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.
  8. Su, Yuandong & Lu, Xinjie & Zeng, Qing & Huang, Dengshi, 2022. "Good air quality and stock market returns," Research in International Business and Finance, Elsevier, vol. 62(C).
  9. Srivastava, Sasha & Lin, Hai & Premachandra, Inguruwatte M. & Roberts, Helen, 2016. "Global risk spillover and the predictability of sovereign CDS spread: International evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 371-390.
  10. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
  11. Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
  12. Parthajit Kayal & Moinak Maiti, 2023. "Examining the asymmetric information flow between pairs of gold, silver, and oil: a transfer entropy approach," SN Business & Economics, Springer, vol. 3(10), pages 1-22, October.
  13. Lan Yi & Jianping Tao & Caifeng Tan & Zhongkun Zhu, 2019. "Avian Influenza, Public Opinion, and Risk Spillover: Measurement, Theory, and Evidence from China’s Broiler Market," Sustainability, MDPI, vol. 11(8), pages 1-44, April.
  14. 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.
  15. Pera, Jacek, 2017. "Linear and Non-linear Relationships Between Shares of the Agrifood Industries of the Warsaw Stock Exchange. Risk Aspect," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 17(32, Part ), December.
  16. Magdalena Osinska, 2011. "On the Interpretation of Causality in Granger’s Sense," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 129-140.
  17. 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.
  18. Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016. "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series," Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
  19. Delgado, Luis & Gurtner, Gérald & Mazzarisi, Piero & Zaoli, Silvia & Valput, Damir & Cook, Andrew & Lillo, Fabrizio, 2021. "Network-wide assessment of ATM mechanisms using an agent-based model," Journal of Air Transport Management, Elsevier, vol. 95(C).
  20. Dai, Zhifeng & Zhu, Haoyang, 2023. "Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 421-450.
  21. Caston Sigauke & Rosinah Mukhodobwane & Wilbert Chagwiza & Winston Garira, 2022. "Asymptotic Dependence Modelling of the BRICS Stock Markets," IJFS, MDPI, vol. 10(3), pages 1-32, July.
  22. Tam Hoang-Nhat Dang & Nhan Thien Nguyen & Duc Hong Vo, 2023. "Sectoral volatility spillovers and their determinants in Vietnam," Economic Change and Restructuring, Springer, vol. 56(1), pages 681-700, February.
  23. Vassilios Babalos & Mehmet Balcilar & Tumisang B. Loate & Shingie Chisoro, 2018. "Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality-in-quantiles test," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 29-47, February.
  24. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
  25. Li, Jianping & Li, Jingyu & Zhu, Xiaoqian & Yao, Yinhong & Casu, Barbara, 2020. "Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S," International Review of Financial Analysis, Elsevier, vol. 71(C).
  26. 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.
  27. Li, Jingyu & Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian, 2019. "Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
  28. Li, Haiqi & Zhong, Wanling & Park, Sung Y., 2016. "Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations," Economic Modelling, Elsevier, vol. 52(PB), pages 661-671.
  29. Bertrand Candelon & Marc Joëts & Sessi Tokpavi, 2012. "Testing for crude oil markets globalization during extreme price movements," Post-Print hal-01411687, HAL.
  30. Leong, Soon Heng, 2021. "Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study," Energy Economics, Elsevier, vol. 103(C).
  31. Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
  32. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
  33. Lucia Bellenzier & J{o}rgen Vitting Andersen & Giulia Rotundo, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Papers 1602.07452, arXiv.org.
  34. 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.
  35. Cui, Jinxin & Goh, Mark & Zou, Huiwen, 2021. "Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets," Energy, Elsevier, vol. 225(C).
  36. Wu, Fei & Zhang, Dayong & Ji, Qiang, 2021. "Systemic risk and financial contagion across top global energy companies," Energy Economics, Elsevier, vol. 97(C).
  37. Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie, 2023. "New evidence of extreme risk transmission between financial stress and international crude oil markets," Research in International Business and Finance, Elsevier, vol. 64(C).
  38. 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.
  39. Massimo Minesso Ferrari, 2020. "The Real Effects of Endogenous Defaults on the Interbank Market," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 6(3), pages 411-439, November.
  40. Erdoğan, Seyfettin & Gedikli, Ayfer & Çevik, Emrah İsmail & Erdoğan, Fatma & Çevik, Emre, 2022. "Precious metals as safe-haven for clean energy stock investment: Evidence from nonparametric Granger causality in distribution test," Resources Policy, Elsevier, vol. 79(C).
  41. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
  42. Hou, Yang (Greg) & Li, Steven, 2020. "Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 166-188.
  43. Neto, David, 2022. "Examining interconnectedness between media attention and cryptocurrency markets: A transfer entropy story," Economics Letters, Elsevier, vol. 214(C).
  44. de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
  45. 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).
  46. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
  47. Cui, Jinxin & Goh, Mark & Li, Binlin & Zou, Huiwen, 2021. "Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives," Energy, Elsevier, vol. 216(C).
  48. Dilip Kumar, 2017. "A Study of Risk Spillover in the Crude Oil and the Natural Gas Markets," Global Business Review, International Management Institute, vol. 18(6), pages 1465-1477, December.
  49. Matteo Farnè & Angela Montanari, 2022. "A Bootstrap Method to Test Granger-Causality in the Frequency Domain," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 935-966, March.
  50. Li, Dongxin & Hong, Yanran & Wang, Lu & Xu, Pengfei & Pan, Zhigang, 2022. "Extreme risk transmission among bitcoin and crude oil markets," Resources Policy, Elsevier, vol. 77(C).
  51. Ji, Qiang & Marfatia, Hardik & Gupta, Rangan, 2018. "Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 103-113.
  52. Pouliasis, Panos K. & Papapostolou, Nikos C. & Kyriakou, Ioannis & Visvikis, Ilias D., 2018. "Shipping equity risk behavior and portfolio management," Transportation Research Part A: Policy and Practice, Elsevier, vol. 116(C), pages 178-200.
  53. Go, You-How & Lau, Wee-Yeap, 2021. "Extreme risk spillovers between crude palm oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  54. Wang, Suhui, 2023. "Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
  55. Soylu, Pınar Kaya & Güloğlu, Bülent, 2019. "Financial contagion and flight to quality between emerging markets and U.S. bond market," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  56. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
  57. Cleiton Guollo Taufemback, 2023. "Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 69-92, January.
  58. Yang Hu & Yanran Hong & Kai Feng & Jikai Wang, 2023. "Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses," Evaluation Review, , vol. 47(2), pages 264-286, April.
  59. Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
  60. Hong Cheng & Yunqing Wang & Yihong Wang & Tinggan Yang, 2022. "Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 719-748, February.
  61. Chen, Ning & Li, Shaofang & Lu, Shuai, 2023. "The extreme risk connectedness of the global financial system: G7 and BRICS evidence," Journal of Multinational Financial Management, Elsevier, vol. 69(C).
  62. Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  63. Du, Limin & He, Yanan, 2015. "Extreme risk spillovers between crude oil and stock markets," Energy Economics, Elsevier, vol. 51(C), pages 455-465.
  64. 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.
  65. 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).
  66. 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.
  67. Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.
  68. Cui, Jinxin & Maghyereh, Aktham & Goh, Mark & Zou, Huiwen, 2022. "Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments," Energy, Elsevier, vol. 238(PB).
  69. Carl-Henrik Dahlqvist, 2018. "Cross-country information transmissions and the role of commodity markets: A multichannel Markov switching approach," PLOS ONE, Public Library of Science, vol. 13(8), pages 1-22, August.
  70. 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.
  71. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
  72. Zheng Yang & Anthony H. Tu & Yong Zeng, 2014. "Dynamic linkages between Asian stock prices and exchange rates: new evidence from causality in quantiles," Applied Economics, Taylor & Francis Journals, vol. 46(11), pages 1184-1201, April.
  73. 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).
  74. Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).
  75. Xiao, Di & Wang, Jun, 2020. "Dynamic complexity and causality of crude oil and major stock markets," Energy, Elsevier, vol. 193(C).
  76. Ji, Jingru & Wang, Donghua & Xu, Dinghai, 2019. "Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market," Economic Modelling, Elsevier, vol. 80(C), pages 383-391.
  77. Peng, Cheng & Zhu, Huiming & Guo, Yawei & Chen, Xiuyun, 2018. "Risk spillover of international crude oil to China's firms: Evidence from granger causality across quantile," Energy Economics, Elsevier, vol. 72(C), pages 188-199.
  78. Caporina, Massimiliano & Costola, Michele, 2021. "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series 324, Leibniz Institute for Financial Research SAFE.
  79. Xi, Yue & Zeng, Qing & Lu, Xinjie & Huynh, Toan L.D., 2022. "Oil and renewable energy stock markets: Unique role of extreme shocks," Energy Economics, Elsevier, vol. 109(C).
  80. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
  81. Ren, Xiaohang & Li, Jingyao & He, Feng & Lucey, Brian, 2023. "Impact of climate policy uncertainty on traditional energy and green markets: Evidence from time-varying granger tests," Renewable and Sustainable Energy Reviews, Elsevier, vol. 173(C).
  82. Yi Zhang, 2013. "The Links between the Price of Oil and the Value of US Dollar," International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 341-351.
  83. Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene, 2016. "Extreme risk spillover effects in world gold markets and the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 55-77.
  84. 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).
  85. Panos Pouliasis & Ioannis Kyriakou & Nikos Papapostolou, 2017. "On equity risk prediction and tail spillovers," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(4), pages 379-393, October.
  86. 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).
  87. Paul Gaskell & Frank McGroarty & Thanassis Tiropanis, 2014. "Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags," Papers 1409.6443, arXiv.org.
  88. Balboa, Marina & López-Espinosa, Germán & Rubia, Antonio, 2015. "Granger causality and systemic risk," Finance Research Letters, Elsevier, vol. 15(C), pages 49-58.
  89. 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.
  90. Jiaqi Jiang & Yun Feng, 2021. "The interaction of risk management tools: Financial hedging, corporate diversification and liquidity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2396-2413, April.
  91. Zhihong Jian & Zhican Zhu & Jie Zhou & Shuai Wu, 2018. "The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity," Departmental Working Papers 2018-01, The University of Winnipeg, Department of Economics.
  92. Chuang, Chia-Chang & Kuan, Chung-Ming & Lin, Hsin-Yi, 2009. "Causality in quantiles and dynamic stock return-volume relations," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1351-1360, July.
  93. Marcin Faldzinski & Magdalena Osinska, 2016. "Volatility estimators in econometric analysis of risk transfer on capital markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 21-35.
  94. 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.
  95. Mazzarisi, Piero & Zaoli, Silvia & Lillo, Fabrizio & Delgado, Luis & Gurtner, Gérald, 2020. "New centrality and causality metrics assessing air traffic network interactions," Journal of Air Transport Management, Elsevier, vol. 85(C).
  96. Huang, Wei-Qiang & Wang, Dan, 2018. "A return spillover network perspective analysis of Chinese financial institutions’ systemic importance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 405-421.
  97. Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2022. "Temporal networks in the analysis of financial contagion," Working Paper Series 2667, European Central Bank.
  98. Carlo Campajola & Fabrizio Lillo & Daniele Tantari, 2019. "Unveiling the relation between herding and liquidity with trader lead-lag networks," Papers 1909.10807, arXiv.org, revised Mar 2020.
  99. Khamis Hamed Al‐Yahyaee & Syed Jawad Hussain Shahzad & Walid Mensi & Seong‐Min Yoon, 2021. "Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2904-2926, April.
  100. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
  101. Qunwei Wang & Xingyu Dai & Dequn Zhou, 2020. "Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1117-1150, April.
  102. Wang, Lu & Ma, Feng & Niu, Tianjiao & He, Chengting, 2020. "Crude oil and BRICS stock markets under extreme shocks: New evidence," Economic Modelling, Elsevier, vol. 86(C), pages 54-68.
  103. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
  104. Yue Liu & Hao Dong & Pierre Failler, 2019. "The Oil Market Reactions to OPEC’s Announcements," Energies, MDPI, vol. 12(17), pages 1-15, August.
  105. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
  106. 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).
  107. Lu, Xinjie & Ma, Feng & Wang, Jianqiong & Dong, Dayong, 2022. "Singlehanded or joint race? Stock market volatility prediction," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 734-754.
  108. 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.
  109. Long, Wen & Guo, Ying & Wang, Ying, 2021. "Information spillover features in global financial markets: A systematic analysis," Research in International Business and Finance, Elsevier, vol. 57(C).
  110. Zhu, Bo & Lin, Renda & Deng, Yuanyue & Chen, Pingshe & Chevallier, Julien, 2021. "Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises," Economic Modelling, Elsevier, vol. 105(C).
  111. Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019. "Measuring network systemic risk contributions: A leave-one-out approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 86-114.
  112. Olaolu Richard Olayeni, 2016. "Causality in Continuous Wavelet Transform Without Spectral Matrix Factorization: Theory and Application," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 321-340, March.
  113. 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.
  114. Lucia Bellenzier & Jørgen Vitting Andersen & Giulia Rotundo, 2015. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Documents de travail du Centre d'Economie de la Sorbonne 15078, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  115. Jian, Zhihong & Zhu, Zhican & Zhou, Jie & Wu, Shuai, 2020. "Intraday price jumps, market liquidity, and the magnet effect of circuit breakers," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 168-186.
  116. Deng, Chao & Su, Xiaojian & Wang, Gangjin & Peng, Cheng, 2022. "The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds' sectors," Economic Modelling, Elsevier, vol. 113(C).
  117. 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.
  118. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
  119. Emrah Ismail Cevik & Sel Dibooglu & Atif Awad Abdallah & Eisa Abdulrahman Al-Eisa, 2021. "Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia," International Economics and Economic Policy, Springer, vol. 18(1), pages 157-175, February.
  120. Jiang, Cuixia & Li, Yuqian & Xu, Qifa & Liu, Yezheng, 2021. "Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 386-398.
  121. 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.
  122. 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.
  123. Yu, Jing-Rung & Lee, Wen-Yi, 2011. "Portfolio rebalancing model using multiple criteria," European Journal of Operational Research, Elsevier, vol. 209(2), pages 166-175, March.
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