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

by Francis X. Diebold & Kamil Yilmaz

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  1. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2012. "International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach," Melbourne Institute Working Paper Series wp2012n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  2. Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
  3. Harald Schmidbauer & Angi Roesch & Erhan Uluceviz, 2013. "Information Propagation Between Equity Markets: The Case Of Bric, Turkey, The Usa, And Germany," EcoMod2013 5458, EcoMod.
  4. Greenwood, Robin & Landier, Augustin & Thesmar, David, 2015. "Vulnerable banks," Journal of Financial Economics, Elsevier, vol. 115(3), pages 471-485.
  5. Hałaj, Grzegorz & Kok, Christoffer, 2013. "Assessing interbank contagion using simulated networks," Working Paper Series 1506, European Central Bank.
  6. Margaret Meyer & Bruno Strulovici, 2013. "The Supermodular Stochastic Ordering," Economics Series Working Papers 655, University of Oxford, Department of Economics.
  7. Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Bank risk behavior and connectedness in EMU countries”," IREA Working Papers 201517, University of Barcelona, Research Institute of Applied Economics, revised Jun 2015.
  8. Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol, 2014. "Asymmetric adjustment toward optimal capital structure: Evidence from a crisis," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 226-242.
  9. Masafumi Yabara, 2014. "Assessing exchange rate dynamics of East Africa: fragmented or integrated?," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(1), pages 154-174, March.
  10. Sandoval, Leonidas Junior, 2013. "To lag or not to lag? How to compare indices of stock markets that operate at different times," Insper Working Papers wpe_319, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  11. Alter, Adrian & Beyer, Andreas, 2014. "The dynamics of spillover effects during the European sovereign debt turmoil," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
  12. Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
  13. Matthew Elliott & Benjamin Golub & Matthew O. Jackson, 2014. "Financial Networks and Contagion," American Economic Review, American Economic Association, vol. 104(10), pages 3115-53, October.
  14. Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2014. "The Impact of Oil Price Shocks on U.S. Bond Market Returns," CAMA Working Papers 2014-33, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  15. Dungey, Mardi & Luciani, Matteo & Veredas, David, 2012. "Ranking systemically important financial institutions," Working Papers 15473, University of Tasmania, School of Economics and Finance, revised 21 Nov 2012.
  16. Stolbov, Mikhail, 2012. "International credit cycles: a regional perspective," MPRA Paper 37773, University Library of Munich, Germany.
  17. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series 1517, University of St. Gallen, School of Economics and Political Science.
  18. Kamil Yilmaz, 2014. "Volatility Connectedness of Bank Stocks Across the Atlantic," Koç University-TUSIAD Economic Research Forum Working Papers 1402, Koc University-TUSIAD Economic Research Forum.
  19. Germán López-Espinosa & Antonio Rubia & Laura Valderrama & Antonio Moreno, 2012. "Systemic Risk and Asymmetric Responses in the Financial Industry," IMF Working Papers 12/152, International Monetary Fund.
  20. Calice, Giovanni, 2014. "CDX and iTraxx and their relation to the systemically important financial institutions: Evidence from the 2008–2009 financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 20-37.
  21. Khaled Guesmi & Salma Fattoum & Zied Ftiti, 2014. "Oil prices impact on stock markets: what we learned for the case of oil exporting countries?," Working Papers 2014-443, Department of Research, Ipag Business School.
  22. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, School of Economics and Management, University of Aarhus.
  23. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Working Papers in Economics 14/27, University of Canterbury, Department of Economics and Finance.
  24. Aldasoro, Iñaki & Angeloni, Ignazio, 2013. "Input-Output-based Measures of Systemic Importance," MPRA Paper 49557, University Library of Munich, Germany.
  25. Alessandro Barattieri & Maya Eden & Dalibor Stevanovic, 2013. "The Connection between Wall Street and Main Street: Measurement and Implications for Monetary Policy," CIRANO Working Papers 2013s-31, CIRANO.
  26. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
  27. Gross, Marco & Kok, Christoffer, 2013. "Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR," Working Paper Series 1570, European Central Bank.
  28. Paolo Giudici & Shatha Hashem, 2015. "Systemic risk of Islamic Banks," DEM Working Papers Series 103, University of Pavia, Department of Economics and Management.
  29. Harald Schmidbauer & Angi Rösch & Erhan Uluceviz, 2012. "Connectedness Cycles in Equity Markets: A Wavelet Approach," EcoMod2012 4502, EcoMod.
  30. Klößner, Stefan & Sekkel, Rodrigo, 2014. "International spillovers of policy uncertainty," Economics Letters, Elsevier, vol. 124(3), pages 508-512.
  31. Davide Fiaschi & Angela Parenti, 2015. "How Reliable Are the Geographical Spatial Weights Matrices?," Discussion Papers 2015/198, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
  32. Mardi Dungey & Matteo Luciani & David Veredas, 2012. "Ranking Systemically Important Financial Institutions," Tinbergen Institute Discussion Papers 12-115/IV/DSF44, Tinbergen Institute.
  33. Umberto Cherubini & Sabrina Mulinacci, 2015. "Systemic Risk with Exchangeable Contagion: Application to the European Banking System," Papers 1502.01918, arXiv.org.
  34. Davide fiaschi & Angela Parenti, 2013. "An Estimate of the Degree of Interconnectedness between European Regions: A Bayesian Model Averaging Approach," Discussion Papers 2013/171, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
  35. Tonzer, Lena, 2015. "Cross-border interbank networks, banking risk and contagion," Journal of Financial Stability, Elsevier, vol. 18(C), pages 19-32.
  36. Jozef Barunik & Tomas Krehlik, 2015. "Measuring the frequency dynamics of financial and macroeconomic connectedness," Papers 1507.01729, arXiv.org.
  37. PIERRET, Diane, 2013. "The systemic risk of energy markets," CORE Discussion Papers 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  38. Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig, 2014. "Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models," SFB 649 Discussion Papers SFB649DP2014-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  39. Alter, Adrian & Beyer, Andreas, 2013. "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series 1558, European Central Bank.
  40. Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini, 2015. "An entropy-based early warning indicator for systemic risk," Working Papers 2015:09, Department of Economics, University of Venice "Ca' Foscari".
  41. Angi Roesch & Harald Schmidbauer & Erhan Uluceviz, 2014. "Frequency Aspects Of Information Transmission In Networks Of Equity Markets," EcoMod2014 7200, EcoMod.
  42. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  43. Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
  44. Francis X. Diebold & Kamil Yilmaz, 2013. "Measuring the Dynamics of Global Business Cycle Connectedness," PIER Working Paper Archive 13-070, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  45. Harald Schmidbauer & Angi Roesch & Erhan Uluceviz, 2013. "Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy," Koç University-TUSIAD Economic Research Forum Working Papers 1320, Koc University-TUSIAD Economic Research Forum.
  46. Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
  47. Stefan Klößner & Rodrigo Sekkel, 2014. "International Spillovers of Policy Uncertainty," Working Papers 14-57, Bank of Canada.
  48. Davide FIASCHI & Angela PARENTI, 2014. "How Reliable Are The Geographical Spatial Weights Matrices?," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 40, pages 53-68.
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