14
H index
14
i10 index
1899
Citations
Barcelona School of Economics (BSE) | 14 H index 14 i10 index 1899 Citations RESEARCH PRODUCTION: 23 Articles 24 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Christian T. Brownlees. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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The Journal of Financial Econometrics | 3 |
Journal of Econometrics | 3 |
International Journal of Forecasting | 2 |
Journal of Applied Econometrics | 2 |
Journal of Monetary Economics | 2 |
Working Papers Series with more than one paper published | # docs |
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Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" | 9 |
Working Papers / Barcelona School of Economics | 2 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 2 |
Year | Title of citing document | |
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2022 | A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01. Full description at Econpapers || Download paper | |
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. Full description at Econpapers || Download paper | |
2022 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
2022 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper | |
2023 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper | |
2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2022 | Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341. Full description at Econpapers || Download paper | |
2022 | Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780. Full description at Econpapers || Download paper | |
2022 | A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data. (2021). Oya, Sakae. In: Papers. RePEc:arx:papers:2103.05880. Full description at Econpapers || Download paper | |
2022 | Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673. Full description at Econpapers || Download paper | |
2022 | Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149. Full description at Econpapers || Download paper | |
2022 | Derivatives Holdings and Systemic Risk in the U.S. Banking Sector. (2022). Mayordomo, Sergio ; Pena, Juan Ignacio ; Rodriguez-Moreno, Maria. In: Papers. RePEc:arx:papers:2202.02254. Full description at Econpapers || Download paper | |
2022 | Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032. Full description at Econpapers || Download paper | |
2022 | Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin. In: Papers. RePEc:arx:papers:2203.10777. Full description at Econpapers || Download paper | |
2023 | Policy Choice in Time Series by Empirical Welfare Maximization. (2022). Xu, Mengshan ; Wang, Weining ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2205.03970. Full description at Econpapers || Download paper | |
2023 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
2022 | Increasing countries financial resilience through global catastrophe risk pooling. (2022). Bresch, David N ; Martius, Olivia ; Meiler, Simona ; Strobl, Eric ; Ciullo, Alessio. In: Papers. RePEc:arx:papers:2206.13895. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2022 | Quantitative Stock Investment by Routing Uncertainty-Aware Trading Experts: A Multi-Task Learning Approach. (2022). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2207.07578. Full description at Econpapers || Download paper | |
2022 | Efficiency of the Moscow Stock Exchange before 2022. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2207.10476. Full description at Econpapers || Download paper | |
2022 | Distributional Correlation--Aware Knowledge Distillation for Stock Trading Volume Prediction. (2022). Sun, XU ; Harimoto, Keiko ; Bao, Ruihan ; Zhang, Zhiyuan ; Li, Lei. In: Papers. RePEc:arx:papers:2208.07232. Full description at Econpapers || Download paper | |
2022 | Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685. Full description at Econpapers || Download paper | |
2023 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper | |
2022 | Identifying the regional drivers of influenza-like illness in Nova Scotia with dominance analysis. (2022). Ditzen, Jan ; Aydede, Yigit . In: Papers. RePEc:arx:papers:2212.06684. Full description at Econpapers || Download paper | |
2023 | Systemic robustness: a mean-field particle system approach. (2022). Bayraktar, Erhan ; Zhang, Yuming Paul ; Tang, Wenpin ; Guo, Gaoyue. In: Papers. RePEc:arx:papers:2212.08518. Full description at Econpapers || Download paper | |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper | |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper | |
2023 | Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808. Full description at Econpapers || Download paper | |
2023 | A tale of two tails: 130 years of growth-at-risk. (2023). Huber, Florian ; Hasler, Elias ; Gachter, Martin. In: Papers. RePEc:arx:papers:2302.08920. Full description at Econpapers || Download paper | |
2023 | Implicit Nickell Bias in Panel Local Projection. (2023). Shi, Zhentao ; Sheng, Liugang ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2302.13455. Full description at Econpapers || Download paper | |
2023 | Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Papers. RePEc:arx:papers:2303.10117. Full description at Econpapers || Download paper | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192. Full description at Econpapers || Download paper | |
2023 | Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719. Full description at Econpapers || Download paper | |
2022 | Deep Growth-at-Risk Model: Nowcasting the 2020 Pandemic Lockdown Recession in Small Open Economies. (2022). Yanchev, Mihail. In: Economic Studies journal. RePEc:bas:econst:y:2022:i:7:p:20-41. Full description at Econpapers || Download paper | |
2022 | Asymmetric Systemic Risk. (2022). Silva Buston, Consuelo ; Raykov, Radoslav ; Silva-Buston, Consuelo. In: Staff Working Papers. RePEc:bca:bocawp:22-19. Full description at Econpapers || Download paper | |
2023 | Bayesian Local Projections. (2023). Ricco, Giovanni ; Ferreira, Leonardo ; Miranda-Agrippino, Silvia. In: Working Papers Series. RePEc:bcb:wpaper:581. Full description at Econpapers || Download paper | |
2022 | SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021. (2022). Sanchez-Quinto, Camilo Eduardo. In: Borradores de Economia. RePEc:bdr:borrec:1207. Full description at Econpapers || Download paper | |
2022 | The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857. Full description at Econpapers || Download paper | |
2022 | Comparison of Models for Growth-at-Risk Forecasting. (2022). Kipriyanov, Aleksei. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:1:p:23-45. Full description at Econpapers || Download paper | |
2022 | Can “Concerted” Macroprudential Policies Mitigate Cross?border Contagion of Financial Risks? Evidence from China and Its Financially Connected Economies. (2021). Chen, Xiaoli ; Liu, Xiaoyu. In: China & World Economy. RePEc:bla:chinae:v:29:y:2021:i:3:p:26-54. Full description at Econpapers || Download paper | |
2023 | Bondholder representatives on bank boards: A device for market discipline. (2023). Hieu, Phan Huy ; Strobel, Frank ; Lepetit, Laetitia ; Distinguin, Isabelle. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:3:p:738-765. Full description at Econpapers || Download paper | |
2023 | The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57. Full description at Econpapers || Download paper | |
2022 | Going the Extra Mile: Distant Lending and Credit Cycles. (2022). Leuz, Christian ; Rajan, Raghuram G ; Granja, Joo. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1259-1324. Full description at Econpapers || Download paper | |
2022 | The Fragility of Market Risk Insurance. (2022). Yogo, Motohiro. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:815-862. Full description at Econpapers || Download paper | |
2022 | Bank–client cross?ownership of bank stocks: A network analysis. (2022). Lee, Kangbok ; Joo, Sunghoon ; Barth, James R. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:280-312. Full description at Econpapers || Download paper | |
2022 | The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425. Full description at Econpapers || Download paper | |
2023 | Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246. Full description at Econpapers || Download paper | |
2022 | A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations. (2022). Lee, Byoungchan ; Baek, Chaewon. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:5:p:1101-1122. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | White elephants on quicksand: Low oil prices and high geopolitical risk. (2022). Elgamal, Mahmoud ; Abdellatif, Hany. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:1:p:60-107. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Measuring Capital at Risk in the UK banking sector: a microstructural network approach. (2022). Brookes, James ; Covi, Giovanni ; Raja, Charumathi. In: Bank of England working papers. RePEc:boe:boeewp:0983. Full description at Econpapers || Download paper | |
2023 | The impact of changes in bank capital requirements. (2023). Raja, Akash. In: Bank of England working papers. RePEc:boe:boeewp:1004. Full description at Econpapers || Download paper | |
2022 | Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach. (2022). Bougheas, Spiros ; Spencer, Adam Hal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10111. Full description at Econpapers || Download paper | |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper | |
2022 | Estimating dynamic systemic risk measures. (2022). Zakoian, Jean-Michel ; Francq, Christian ; Cantin, Loic. In: Working Papers. RePEc:crs:wpaper:2022-11. Full description at Econpapers || Download paper | |
2023 | Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765. Full description at Econpapers || Download paper | |
2023 | Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768. Full description at Econpapers || Download paper | |
2023 | Nightless City: Impacts of Policymakers Questions on Overtime Work of Government Officials. (2023). Yamada, Katsunori ; Murakami, Yuki ; Katayama, Munechika ; Hamano, Masashige ; Arai, Natsuki. In: ISER Discussion Paper. RePEc:dpr:wpaper:1206. Full description at Econpapers || Download paper | |
2023 | Is Quantitative Easing Productive? The Role of Bank Lending in the Monetary Transmission Process. (2023). Saadaoui, Jamel ; Roderweis, Philipp ; Serranito, Francisco. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-17. Full description at Econpapers || Download paper | |
2022 | A narrative database of labour market reforms in euro area economies. (2022). Runstler, Gerhard ; di Tommaso, Valerio ; Aumond, Romain. In: Working Paper Series. RePEc:ecb:ecbwps:20222657. Full description at Econpapers || Download paper | |
2022 | Temporal networks in the analysis of financial contagion. (2022). Vouldis, Angelos ; Nocciola, Luca ; Franch, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222667. Full description at Econpapers || Download paper | |
2022 | Latent fragility: conditioning banks joint probability of default on the financial cycle. (2022). Segoviano, Miguel ; Schuler, Yves S ; Hiebert, Paul ; Bochmann, Paul. In: Working Paper Series. RePEc:ecb:ecbwps:20222698. Full description at Econpapers || Download paper | |
2022 | A sensitivities based CoVaR approach to assets commonality and its application to SSM banks. (2022). Cappelletti, Giuseppe ; Spano, Guido ; Shaw, Frances ; Giglio, Carla ; del Vecchio, Leonardo. In: Working Paper Series. RePEc:ecb:ecbwps:20222725. Full description at Econpapers || Download paper | |
2023 | Medium-term growth-at-risk in the euro area. (2023). Greiwe, Moritz ; Rusnak, Marek ; Lang, Jan Hannes. In: Working Paper Series. RePEc:ecb:ecbwps:20232808. Full description at Econpapers || Download paper | |
2023 | Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840. Full description at Econpapers || Download paper | |
2023 | Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842. Full description at Econpapers || Download paper | |
2023 | Systemic Risk: A Comparative Study between Public and Private Banks. (2023). Mahmoud, Imen ; Mselmi, Aymen. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-03-12. Full description at Econpapers || Download paper | |
2022 | A closer look at Chinese housing market: Measuring intra-city submarket connectedness in Shanghai and Guangzhou. (2022). Nong, Huifu ; Li, Qiang. In: China Economic Review. RePEc:eee:chieco:v:74:y:2022:i:c:s1043951x2200061x. Full description at Econpapers || Download paper | |
2022 | A multilayer approach for systemic risk in the insurance sector. (2022). Cornaro, Alessandra ; Clemente, Gian Paolo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006087. Full description at Econpapers || Download paper | |
2022 | Measuring market efficiency: The Shannon entropy of high-frequency financial time series. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006130. Full description at Econpapers || Download paper | |
2022 | Non-financial corporations and systemic risk. (2022). Wosser, Michael ; O'Connor, Thomas ; Flavin, Thomas ; Dungey, Mardi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002510. Full description at Econpapers || Download paper | |
2023 | Liability taxes, risk, and the cost of banking crises. (2023). Fatica, Serena ; Pagano, Andrea ; Kvedaras, Virmantas ; Heynderickx, Wouter ; Bellucci, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000366. Full description at Econpapers || Download paper | |
2022 | Time series graphical lasso and sparse VAR estimation. (2022). Pourahmadi, Mohsen ; Kim, Rakheon ; Dallakyan, Aramayis. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:176:y:2022:i:c:s0167947322001372. Full description at Econpapers || Download paper | |
2022 | Comparison of local projection estimators for proxy vector autoregressions. (2022). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Bruns, Martin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002128. Full description at Econpapers || Download paper | |
2022 | Are government spending shocks inflationary at the zero lower bound? New evidence from daily data. (2022). Choi, Sangyup ; Yoo, Seung Yong ; Shin, Junhyeok. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001294. Full description at Econpapers || Download paper | |
2022 | Statistical arbitrage and risk contagion. (2022). Ladley, Daniel ; Gao, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002329. Full description at Econpapers || Download paper | |
2022 | Measuring systemic risk in the global banking sector: A cross-quantilogram network approach. (2022). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma ; Hussain, Syed Jawad ; Hoang, Thi-Hong-Van, ; Bouri, Elie. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000219. Full description at Econpapers || Download paper | |
2022 | Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach. (2022). Milacic, Veselin ; Milosevic, Igor ; Jolicic, Ivan ; Radulovic, Mladen ; Mihailovic, Andrej ; Bracanovic, Andrej ; Muhadinovic, Milica ; Bojaj, Martin M. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000384. Full description at Econpapers || Download paper | |
2022 | Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602. Full description at Econpapers || Download paper | |
2023 | Systemic political risk. (2023). Uribe, Jorge ; Chuliá, Helena ; Estevez, Marc ; Chulia, Helena. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001876. Full description at Econpapers || Download paper | |
2022 | Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19. (2022). Meng, Qiaoyu ; Li, Zijian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001728. Full description at Econpapers || Download paper | |
2022 | Contagion effect of systemic risk among industry sectors in China’s stock market. (2022). Zhao, Tianyu ; Yan, Haoyang ; Xu, Qiuhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001819. Full description at Econpapers || Download paper | |
2022 | Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250. Full description at Econpapers || Download paper | |
2022 | Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274. Full description at Econpapers || Download paper | |
2022 | Does diversification promote systemic risk?. (2022). He, Jianmin ; Liu, Xiaoxing ; Wang, Chao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000353. Full description at Econpapers || Download paper | |
2022 | Instability spillovers in the banking sector: A spatial econometrics approach. (2022). Karkowska, Renata ; Acedaski, Jan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000493. Full description at Econpapers || Download paper | |
2023 | Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054. Full description at Econpapers || Download paper | |
2023 | US structural drivers of international portfolio returns. (2023). Tong, Eric ; So, Inhwan ; Jang, Bosung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078. Full description at Econpapers || Download paper | |
2023 | Systemic risk of Chinese financial institutions and asset price bubbles. (2023). Tian, Yiming ; Lee, Chien-Chiang ; Wei, Chunyan ; Zhang, Xiaoming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000037. Full description at Econpapers || Download paper | |
2023 | How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013. Full description at Econpapers || Download paper | |
2023 | A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177. Full description at Econpapers || Download paper | |
2023 | Topological properties of reconstructed credit networks and banking systemic risk. (2023). Li, Menyu ; Chen, Boyi ; Liu, Xiaoxing ; Wang, Chao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000360. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2023 | Performance of Empirical Risk Minimization for Linear Regression with Dependent Data In: Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Nets: Network Estimation for Time Series In: Working Papers. [Full Text][Citation analysis] | paper | 80 |
2018 | Nets: network estimation for time series.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
2013 | Nets: Network estimation for time series.(2013) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
2019 | NETS: Network estimation for time series.(2019) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | article | |
2017 | Detecting Granular Time Series in Large Panels In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2021 | Detecting granular time series in large panels.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2013 | A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 4 |
2016 | Impulse Response Estimation By Smooth Local Projections In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 82 |
2019 | Impulse Response Estimation by Smooth Local Projections.(2019) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 82 | article | |
2017 | Back to the Future: Backtesting Systemic Risk Measures during Historical Bank Runs and the Great Depression In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 20 |
2020 | Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression.(2020) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
2022 | Corporate hedging and the variance of stock returns In: Journal of Corporate Finance. [Full Text][Citation analysis] | article | 1 |
2006 | Financial econometric analysis at ultra-high frequency: Data handling concerns In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 146 |
2006 | Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns.(2006) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 146 | paper | |
2014 | Disentangling systematic and idiosyncratic dynamics in panels of volatility measures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 29 |
2014 | Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures.(2014) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2021 | Detecting groups in large vector autoregressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2019 | Hierarchical GARCH In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
2017 | Credit risk interconnectedness: What does the market really know? In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 16 |
2016 | Credit risk interconnectedness: What does the market really know?.(2016) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2011 | Shrinkage estimation of semiparametric multiplicative error models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
2011 | Shrinkage estimation of semiparametric multiplicative error models.(2011) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2021 | Bank credit risk networks: Evidence from the Eurozone In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 7 |
2021 | Backtesting global Growth-at-Risk In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 19 |
2015 | Backtesting Systemic Risk Measures During Historical Bank Runs In: Working Paper Series. [Full Text][Citation analysis] | paper | 14 |
2007 | Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
2007 | Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 0 |
2007 | Comparison of Volatility Measures: a Risk Management Perspective In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 97 |
2008 | Comparison of Volatility Measures: a Risk Management Perspective.(2008) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2010 | Comparison of Volatility Measures: a Risk Management Perspective.(2010) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | article | |
2009 | Intra-daily Volume Modeling and Prediction for Algorithmic Trading In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 39 |
2011 | Intra-daily Volume Modeling and Prediction for Algorithmic Trading.(2011) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
2010 | Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 7 |
2011 | Multiplicative Error Models In: Econometrics Working Papers Archive. [Full Text][Citation analysis] | paper | 30 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 2 |
2021 | Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Non-Standard Errors.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Non-standard errors.(2021) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2008 | On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 8 |
2017 | SRISK: A Conditional Capital Shortfall Measure of Systemic Risk In: Review of Financial Studies. [Full Text][Citation analysis] | article | 332 |
2017 | SRISK: a conditional capital shortfall measure of systemic risk.(2017) In: ESRB Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 332 | paper | |
2020 | On the estimation of integrated volatility in the presence of jumps and microstructure noise In: Econometric Reviews. [Full Text][Citation analysis] | article | 5 |
2022 | Community Detection in Partial Correlation Network Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
2018 | Realized networks In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 15 |
2018 | EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT In: Annals of Financial Economics (AFE). [Full Text][Citation analysis] | article | 2 |
2013 | MEASURING SYSTEMIC RISK In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 925 |
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