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Financial systemic risk measurement based on causal network connectedness analysis

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  1. 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.
  2. 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).
  3. Zhang, Ping & Yin, Shiqi & Sha, Yezhou, 2023. "Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  4. He, Chengying & Wen, Zhang & Huang, Ke & Ji, Xiaoqin, 2022. "Sudden shock and stock market network structure characteristics: A comparison of past crisis events," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
  5. Gao, Yang & Li, Yangyang & Zhao, Chengjie & Wang, Yaojun, 2022. "Risk spillover analysis across worldwide ESG stock markets: New evidence from the frequency-domain," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  6. Hsu, Chih-Hsiang & Lee, Hsiu-Chuan & Lien, Donald, 2020. "Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 600-621.
  7. Foglia, Matteo & Addi, Abdelhamid & Angelini, Eliana, 2022. "The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness," Global Finance Journal, Elsevier, vol. 51(C).
  8. Onur Polat, 2021. "Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 7(2), pages 47-59, December.
  9. Yan, Guan & Liu, Zhidong, 2023. "Interconnectedness of financial institutions based on pledged shares in China," Finance Research Letters, Elsevier, vol. 57(C).
  10. Rubio, Jeniffer & Pérez, Bryan & Arroyo, John, 2021. "Risk monitoring in Ecuador's payment system: Implementation of a network topology study," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(3).
  11. 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.
  12. Lai, Yujie & Hu, Yibo, 2021. "A study of systemic risk of global stock markets under COVID-19 based on complex financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  13. Tian, Maoxi & Guo, Fei & Niu, Rong, 2022. "Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  14. Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).
  15. Wu, Shan & Tong, Mu & Yang, Zhongyi & Zhang, Tianyi, 2021. "Interconnectedness, systemic risk, and the influencing factors: Some evidence from China’s financial institutions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
  16. Chen, Wei & Hou, Xiaoli & Jiang, Manrui & Jiang, Cheng, 2022. "Identifying systemically important financial institutions in complex network: A case study of Chinese stock market," Emerging Markets Review, Elsevier, vol. 50(C).
  17. Chuangxia Huang & Xian Zhao & Renli Su & Xiaoguang Yang & Xin Yang, 2022. "Dynamic network topology and market performance: A case of the Chinese stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1962-1978, April.
  18. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
  19. Qian, Biyu & Wang, Gang-Jin & Feng, Yusen & Xie, Chi, 2022. "Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  20. 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.
  21. Dai, Zhifeng & Tang, Rui & Zhang, Xinhua, 2023. "Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets," Energy Economics, Elsevier, vol. 120(C).
  22. Hu, Yunchao & Lu, Guibin & Gao, Wenyu, 2022. "A study on China’s systemically important financial institutions based on multi-time scale causality networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  23. Xin Yang & Shan Chen & Hong Liu & Xiaoguang Yang & Chuangxia Huang, 2023. "Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1201-1213, April.
  24. Gao, Yang & Li, Yangyang & Wang, Yaojun, 2021. "Risk spillover and network connectedness analysis of China’s green bond and financial markets: Evidence from financial events of 2015–2020," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  25. Abuzayed, Bana & Al-Fayoumi, Nedal, 2021. "Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  26. Zhiwei Zhang & Dayong Zhang & Fei Wu & Qiang Ji, 2021. "Systemic risk in the Chinese financial system: A copula‐based network approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2044-2063, April.
  27. Satyam Kumar & Yelleti Vivek & Vadlamani Ravi & Indranil Bose, 2023. "Causal Inference for Banking Finance and Insurance A Survey," Papers 2307.16427, arXiv.org.
  28. Gong, Xiao-Li & Feng, Yong-Kang & Liu, Jian-Min & Xiong, Xiong, 2023. "Study on international energy market and geopolitical risk contagion based on complex network," Resources Policy, Elsevier, vol. 82(C).
  29. Tao, Chen & Zhong, Guang-Yan & Li, Jiang-Cheng, 2023. "Dynamic correlation and risk resonance among industries of Chinese stock market: New evidence from time–frequency domain and complex network perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 614(C).
  30. Fang, Sheng & Cao, Guangxi & Egan, Paul, 2023. "Forecasting and backtesting systemic risk in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 54(C).
  31. Xiaoming Zhang & Chunyan Wei & Stefano Zedda, 2019. "Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach," Sustainability, MDPI, vol. 12(1), pages 1-15, December.
  32. Wen, Jun & Zhao, Xinxin & Fu, Qiang & Chang, Chun-Ping, 2023. "The impact of financial risk on green innovation: Global evidence," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
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