15
H index
21
i10 index
1157
Citations
HEC Paris (École des Hautes Études Commerciales) | 15 H index 21 i10 index 1157 Citations RESEARCH PRODUCTION: 23 Articles 68 Papers RESEARCH ACTIVITY: 22 years (1999 - 2021). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ppe841 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Christophe Perignon. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 8 |
Review of Finance | 2 |
Journal of Financial and Quantitative Analysis | 2 |
Year | Title of citing document | |
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2023 | FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera. Full description at Econpapers || Download paper | |
2024 | Formation of Optimal Interbank Lending Networks under Liquidity Shocks. (2022). Sircar, Ronnie ; Rigobon, Daniel E. In: Papers. RePEc:arx:papers:2211.12404. Full description at Econpapers || Download paper | |
2023 | Ruin Probabilities for Risk Processes in Stochastic Networks. (2023). Sulem, Agnes ; Minca, Andreea ; Cao, Zhongyuan ; Amini, Hamed. In: Papers. RePEc:arx:papers:2302.06668. Full description at Econpapers || Download paper | |
2023 | Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030. Full description at Econpapers || Download paper | |
2023 | The Dark Side of Algorithms? The Effect of Recommender Systems on Online Investor Behaviors. (2023). Hu, Yu Jeffrey ; He, Cheng ; Zhu, Ruiqi Rich. In: Papers. RePEc:arx:papers:2303.14263. Full description at Econpapers || Download paper | |
2024 | Statistical Validation of Contagion Centrality in Financial Networks. (2024). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337. Full description at Econpapers || Download paper | |
2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper | |
2024 | Pre-Publication Revisions of Bank Financial Statements: a novel way to monitor banks?. (2024). van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Working Papers Series. RePEc:bcb:wpaper:590. Full description at Econpapers || Download paper | |
2023 | Stablecoins and the Financing of the Real Economy. (2023). Nguyen, Benoit ; Gardin, Paul ; Barthelemy, Jean. In: Working papers. RePEc:bfr:banfra:908. Full description at Econpapers || Download paper | |
2023 | Swing Pricing et dynamique des flux au regard de la crise Covid-19. (2023). Garcia, Thomas ; Baena, Antoine. In: Working papers. RePEc:bfr:banfra:914. Full description at Econpapers || Download paper | |
2024 | Sectoral Dynamics of Safe Assets in Advanced Economies. (2024). Kuvshinov, Dmitry ; Jauregui, Madalen Castells ; Vanasco, Victoria ; Richter, Bjorn. In: Working Papers. RePEc:bge:wpaper:1438. Full description at Econpapers || Download paper | |
2023 | Supervisory policy stimulus: evidence from the euro area dividend recommendation. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Dautovi, Ernest. In: BIS Working Papers. RePEc:bis:biswps:1085. Full description at Econpapers || Download paper | |
2023 | Do banks practice what they preach? Brown lending and environmental disclosure in the euro area. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Scannella, Enzo ; Polizzi, Salvatore. In: BIS Working Papers. RePEc:bis:biswps:1143. Full description at Econpapers || Download paper | |
2023 | Financial effects of carbon risk and carbon disclosure: A review. (2023). Wang, Qingxia. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:4175-4219. Full description at Econpapers || Download paper | |
2023 | Consuming Contests: The Effect of Outcome Uncertainty on Spectator Attendance in the Australian Football League. (2023). Lakhani, Karim R ; Ferguson, Patrick J. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:326:p:410-435. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Supervisory policy stimulus: evidence from the euro area dividend recommendation. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Dautovi, Ernest. In: Working Paper Series. RePEc:ecb:ecbwps:20232796. Full description at Econpapers || Download paper | |
2023 | Do banks practice what they preach? Brown lending and environmental disclosure in the euro area. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Scannella, Enzo ; Polizzi, Salvatore. In: Working Paper Series. RePEc:ecb:ecbwps:20232872. Full description at Econpapers || Download paper | |
2023 | Intermediaries’ substitutability and financial network resilience: A hyperstructure approach. (2023). Ugolini, Stefano ; Lucena-Piquero, Delio ; Accominotti, Olivier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001069. Full description at Econpapers || Download paper | |
2023 | Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070. Full description at Econpapers || Download paper | |
2023 | The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074. Full description at Econpapers || Download paper | |
2023 | Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365. Full description at Econpapers || Download paper | |
2023 | Competitive intensity and industry performance of professional sports. (2023). Guironnet, Jean-Pascal. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002535. Full description at Econpapers || Download paper | |
2023 | Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy. (2018). de Mendonça, Helder ; da Silva, Rafael Bernardo ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:141-157. 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 | 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 | |
2024 | Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596. Full description at Econpapers || Download paper | |
2024 | Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x. Full description at Econpapers || Download paper | |
2024 | How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x. Full description at Econpapers || Download paper | |
2024 | Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk. (2024). Muller, Fernanda Maria ; Righi, Marcelo Brutti ; Foguesatto, Cristian Rogerio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000652. Full description at Econpapers || Download paper | |
2024 | Dynamic monitoring of financial security risks: A novel China financial risk index and an early warning system. (2024). Zhang, Wenyu. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004718. Full description at Econpapers || Download paper | |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper | |
2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper | |
2024 | Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407. Full description at Econpapers || Download paper | |
2023 | Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250. Full description at Econpapers || Download paper | |
2023 | Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market. (2023). Amenounve, Edoh ; Soumare, Issouf ; Kanga, Desire. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000365. Full description at Econpapers || Download paper | |
2023 | Optimizing systemic risk through credit network reconstruction. (2023). Xiaoxing, Liu ; Jing, MA ; Chao, Wang. In: Emerging Markets Review. RePEc:eee:ememar:v:57:y:2023:i:c:s1566014123000651. Full description at Econpapers || Download paper | |
2023 | Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets. (2023). Zhang, Xinhua ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378. Full description at Econpapers || Download paper | |
2023 | The systemic risk of US oil and natural gas companies. (2023). Panzica, Roberto ; Fontini, Fulvio ; Caporin, Massimiliano. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001482. Full description at Econpapers || Download paper | |
2023 | Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective. (2023). Xiong, Xiong ; Jia, Kai-Wen ; Wu, Zhuo-Cheng ; Zhao, Min ; Gong, Xiao-Li. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001767. Full description at Econpapers || Download paper | |
2024 | Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. (2024). Yang, MO ; Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Chang, Jianing. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002081. Full description at Econpapers || Download paper | |
2023 | Extreme risk contagion between international crude oil and Chinas energy-intensive sectors: New evidence from quantile Granger causality and spillover methods. (2023). Sun, Yan-Lin ; Chen, Bin-Xia. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028621. Full description at Econpapers || Download paper | |
2023 | Explain systemic risk of commodity futures market by dynamic network. (2023). Zhang, Zuominyang ; Wang, Tianqi ; Lin, Jianwu ; Huang, KE ; He, Chengying. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001746. Full description at Econpapers || Download paper | |
2023 | Can CoCo-bonds mitigate systemic risk?. (2023). Petras, Matthias ; Kund, Arndt-Gerrit. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002028. Full description at Econpapers || Download paper | |
2023 | The crucial role of the five-year Treasury in the US yield curve. (2023). Chen, Yu-Lun. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003447. Full description at Econpapers || Download paper | |
2023 | Fintech inputs, non-performing loans risk reduction and bank performance improvement. (2023). Wu, Wanting ; Mao, Kunyuan ; Wang, Haijun ; Luo, Haohan. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003654. Full description at Econpapers || Download paper | |
2023 | Time-varying bond market integration and the impact of financial crises. (2023). Hyde, Stuart ; Cho, Sungjun ; Qin, Weiping. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004258. Full description at Econpapers || Download paper | |
2023 | Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295. Full description at Econpapers || Download paper | |
2023 | Forecasting and backtesting systemic risk in the cryptocurrency market. (2023). Egan, Paul ; Cao, Guangxi ; Fang, Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001617. Full description at Econpapers || Download paper | |
2023 | Dynamic spillover and systemic importance analysis of global clean energy companies: A tail risk network perspective. (2023). Xing, Xiaoyun ; Zheng, Huike ; Deng, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003628. Full description at Econpapers || Download paper | |
2023 | Uncertainty in systemic risks rankings: Bayesian and frequentist analysis. (2023). Goldman, Elena. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004002. Full description at Econpapers || Download paper | |
2023 | European bank credit risk transmission during the credit Suisse collapse. (2023). Bouri, Elie ; Foglia, Matteo ; Nekhili, Ramzi. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008243. Full description at Econpapers || Download paper | |
2023 | Macro-prudential policy and systemic risk of real estate firms: Evidence from China. (2023). Kong, Dongmin ; Wang, Lijuan ; Li, Xiao-Lin. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008905. Full description at Econpapers || Download paper | |
2024 | Measuring systemic risk contribution: A higher-order moment augmented approach. (2024). Huang, Guanglin ; Wang, Peiwen. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012059. Full description at Econpapers || Download paper | |
2024 | Commonality in volatility among green, brown, and sustainable energy indices. (2024). Sensoy, Ahmet ; Palma, Alessia ; Rahman, Molla Ramizur ; Banerjee, Ameet Kumar. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004148. Full description at Econpapers || Download paper | |
2024 | External wealth of nations and systemic risk. (2024). Ongena, Steven ; Chiper, Alexandra Maria ; Andrie, Alin Marius ; Sprincean, Nicu. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s157230892300092x. Full description at Econpapers || Download paper | |
2024 | Bank opacity, systemic risk and financial stability. (2024). Mies, Michael. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001110. Full description at Econpapers || Download paper | |
2024 | Probability equivalent level for CoVaR and VaR. (2024). Suarez-Llorens, Alfonso ; Sordo, Miguel A ; Pellerey, Franco ; Ortega-Jimenez, Patricia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:22-35. Full description at Econpapers || Download paper | |
2023 | Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513. Full description at Econpapers || Download paper | |
2023 | Policy uncertainty and bank systemic risk: A perspective of risk decomposition. (2023). Wang, QI ; Fang, YI ; Zhao, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000951. Full description at Econpapers || Download paper | |
2023 | Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001117. Full description at Econpapers || Download paper | |
2023 | The impact of COVID-19 related policy interventions on international systemic risk. (2023). Vioto, Davide ; Duygun, Meryem ; Bevilacqua, Mattia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001270. Full description at Econpapers || Download paper | |
2023 | Liquidity risk, return performance, and tracking error: Synthetic vs. Physical ETFs. (2023). Seok, Sangik ; Cho, Hoon ; Kim, Jinhwan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001531. Full description at Econpapers || Download paper | |
2024 | Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543. Full description at Econpapers || Download paper | |
2024 | Liquidity dynamics between virtual and equity markets. (2024). Huang, Sherena S. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001853. Full description at Econpapers || Download paper | |
2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. Full description at Econpapers || Download paper | |
2023 | Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap. (2023). Koetter, Michael ; Wagner, Konstantin ; Colonnello, Stefano. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000994. Full description at Econpapers || Download paper | |
2023 | Impact of systemic risk regulation on optimal policies and asset prices. (2023). Cui, Xuecan ; Bernard, Carole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002011. Full description at Econpapers || Download paper | |
2023 | The case for CASE: Estimating heterogeneous systemic effects. (2023). Zhu, Guangwei ; Escanciano, Juan Carlos ; Du, Zaichao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:157:y:2023:i:c:s0378426623002133. Full description at Econpapers || Download paper | |
2024 | Pre-publication revisions of bank financial statements: A novel way to monitor banks?. (2024). van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000020. Full description at Econpapers || Download paper | |
2023 | The network and own effects of global-systemically-important-bank designations. (2023). Egger, Peter ; Zhu, Jiaqing ; Li, Jie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000803. Full description at Econpapers || Download paper | |
2024 | Smart systemic-risk scores. (2024). Benoit, Sylvain. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001699. Full description at Econpapers || Download paper | |
2024 | Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376. Full description at Econpapers || Download paper | |
2023 | Dividend taxes and corporate choice: Evidence from 2015 tax cut in South Korea. (2023). Park, Saeyeul S ; Lee, Seung Chul. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000495. Full description at Econpapers || Download paper | |
2023 | Systemically important financial institutions and drivers of systemic risk: Evidence from India. (2023). Bouri, Elie ; Kumar, Dilip ; Narayan, Shivani. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002263. Full description at Econpapers || Download paper | |
2024 | Political uncertainty and commonality in liquidity. (2024). Dang, Tung ; Nguyen, MY ; Luong, Hoang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:83:y:2024:i:c:s0927538x23003207. Full description at Econpapers || Download paper | |
2023 | Is there a risk premium? Evidence from thirteen measures. (2023). Ramos, Henrique Pinto ; Muller, Fernanda Maria ; Fracasso, Lais Martins ; Righi, Marcelo Brutti. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:182-199. Full description at Econpapers || Download paper | |
2024 | Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Bellalah, Makram ; ben Amar, Amine ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246. Full description at Econpapers || Download paper | |
2024 | Investment network and stock’s systemic risk contribution: Evidence from China. (2024). Borjigin, Sumuya ; Xiang, Youtao. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:113-132. Full description at Econpapers || Download paper | |
2023 | Risk spillovers in global financial markets: Evidence from the COVID-19 crisis. (2023). Zhao, Yang ; Shao, Zhiquan ; Fang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:821-840. Full description at Econpapers || Download paper | |
2024 | Media sentiment, deposit stability and bank systemic risk: Evidence from China. (2024). Yuan, Yan ; Wang, Yanru ; Fang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:1150-1172. Full description at Econpapers || Download paper | |
2024 | Measuring spatial impacts and tracking cross-border risk. (2024). Xiao, Yang ; Wang, BO. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:50-84. Full description at Econpapers || Download paper | |
2023 | Measurement and prediction of systemic risk in China’s banking industry. (2023). Zhao, Yue ; Lee, Chien-Chiang ; Zhang, Xinsong. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002604. Full description at Econpapers || Download paper | |
2023 | Financial market spillovers and macroeconomic shocks: Evidence from China. (2023). Guo, Kun ; Wu, Jie ; Liu, Yue ; Feng, Haoyuan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000879. Full description at Econpapers || Download paper | |
2024 | Over-expected shocks and financial market security: Evidence from Chinas markets. (2024). Sensoy, Ahmet ; Chen, Shoudong ; Li, Yueshan ; Wang, LU. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003203. Full description at Econpapers || Download paper | |
2024 | Commonality in liquidity and corporate default risk - Evidence from China. (2024). Zan, Bingyan ; Li, Jintian ; He, Feng ; Fu, Yumei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000734. Full description at Econpapers || Download paper | |
2023 | Bank Risk Literature (1978–2022): A Bibliometric Analysis and Research Front Mapping. (2023). , Abdallah ; Omran, Mohamed ; Khatatbeh, Ibrahim N ; Abdelwahed, Ahmed S ; Marie, Mohamed ; Qi, Baolei. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:5:p:4508-:d:1086194. Full description at Econpapers || Download paper | |
2023 | Intermediaries’ Substitutability and Financial Network Resilience: A Hyperstructure Approach. (2023). Ugolini, Stefano ; Lucena-Piquero, Delio ; Accominotti, Olivier. In: Post-Print. RePEc:hal:journl:hal-04160805. Full description at Econpapers || Download paper | |
2023 | Distributionally Robust Chance-Constrained p -Hub Center Problem. (2023). Zhang, Zhenzhen ; Chen, Zhi ; Zhao, Yue. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:35:y:2023:i:6:p:1361-1382. Full description at Econpapers || Download paper | |
2024 | Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. Full description at Econpapers || Download paper | |
2023 | Bank Consolidation and Systemic Risk: M&A During the 2008 Financial Crisis. (2023). Senel, Gonca ; Maslak, Gregory D. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:2:d:10.1007_s10693-022-00380-5. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2002 | Extracting Information from Options Markets: Smiles, State-Price Densities and Risk Aversion In: European Financial Management. [Full Text][Citation analysis] | article | 14 |
2002 | Extracting information from options markets : smiles, state-price densities and risk-aversion.(2002) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2021 | The Private Production of Safe Assets In: Journal of Finance. [Full Text][Citation analysis] | article | 16 |
2017 | The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2017 | The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2017 | The Private Production of Safe Assets.(2017) In: HEC Research Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2013 | Derivatives Clearing, Default Risk, and Insurance In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 21 |
2013 | Derivatives Clearing, Default Risk, and Insurance.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2019 | Machine learning et nouvelles sources de données pour le scoring de crédit In: Revue d'économie financière. [Full Text][Citation analysis] | article | 5 |
2019 | Machine Learning et nouvelles sources de données pour le scoring de crédit.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2019 | Machine Learning et nouvelles sources de données pour le scoring de crédit.(2019) In: LEO Working Papers / DR LEO. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2009 | Commonality in Liquidity: A Global Perspective In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 110 |
2009 | Commonality in Liquidity: A Global Perspective.(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 110 | paper | |
2017 | CoMargin In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 0 |
2015 | CoMargin.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2013 | Systemic Risk Score: A Suggestion In: HEC Research Papers Series. [Full Text][Citation analysis] | paper | 3 |
2013 | Systemic Risk Score: A Suggestion.(2013) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2013 | Systemic Risk Score: A Suggestion.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2014 | The Collateral Risk of ETFs In: HEC Research Papers Series. [Full Text][Citation analysis] | paper | 2 |
2015 | Where the Risks Lie: A Survey on Systemic Risk In: HEC Research Papers Series. [Full Text][Citation analysis] | paper | 268 |
2017 | Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 268 | paper | |
2015 | Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 268 | paper | |
2015 | Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 268 | paper | |
2017 | Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 268 | article | |
2017 | Wholesale Funding Dry-Ups In: HEC Research Papers Series. [Full Text][Citation analysis] | paper | 17 |
2017 | Wholesale funding dry-ups.(2017) In: ESRB Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2019 | The counterparty risk exposure of ETF investors In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2014 | The Counterparty Risk Exposure of ETF Investors.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2001 | Evolution of market uncertainty around earnings announcements In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
2000 | Evolution of Market Uncertainty around Earnings Announcements.(2000) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
1999 | Evolution of Market Uncertainty around Earnings Announcements..(1999) In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-. [Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2007 | Yield-factor volatility models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
2007 | Yield-factor volatility models.(2007) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2008 | Do banks overstate their Value-at-Risk? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 76 |
2008 | Do banks overstate their Value-at-Risk?.(2008) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
2010 | Diversification and Value-at-Risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 40 |
2010 | Diversification and Value-at-Risk.(2010) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2010 | The level and quality of Value-at-Risk disclosure by commercial banks In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 142 |
2009 | The Level and Quality of Value-at-Risk Disclosure by Commercial Banks.(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 142 | paper | |
2010 | The level and quality of Value-at-Risk disclosure by commercial banks.(2010) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 142 | paper | |
2011 | The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2010 | The pernicious effects of contaminated data in risk management.(2010) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2011 | The Pernicious Effects of Contaminated Data in Risk Management.(2011) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2013 | The Risk Map: A new tool for validating risk models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 28 |
2012 | The Risk Map: A New Tool for Validating Risk Models.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2008 | How common are common return factors across the NYSE and Nasdaq? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 15 |
2008 | How common are common return factors across NYSE and Nasdaq?.(2008) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2019 | Pitfalls in systemic-risk scoring In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 26 |
2019 | Pitfalls in systemic-risk scoring.(2019) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2017 | Pitfalls in Systemic-Risk Scoring.(2017) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2007 | Why common factors in international bond returns are not so common In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 24 |
2005 | Repurchasing Shares on a Second Trading Line In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 12 |
2005 | Repurchasing Shares on a Second Trading Line.(2005) In: FSES Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2007 | Repurchasing Shares on a Second Trading Line.(2007) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2019 | What if dividends were tax-exempt? Evidence from a natural experiment In: FSES Working Papers. [Full Text][Citation analysis] | paper | 7 |
2020 | What If Dividends Were Tax?Exempt? Evidence from a Natural Experiment.(2020) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
1999 | On the Dynamic Interdependence of International Stock Markets: a Swiss Perspective. In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-. [Citation analysis] | paper | 8 |
2000 | On the dynamic interdependence of international stock markets: A Swiss perspective.(2000) In: Swiss Journal of Economics and Statistics (SJES). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
In: . [Citation analysis] | paper | 36 | |
In: . [Citation analysis] | paper | 0 | |
In: . [Citation analysis] | paper | 0 | |
In: . [Citation analysis] | paper | 0 | |
In: . [Citation analysis] | paper | 0 | |
2008 | Impact of Overwhelming Joy on Consumer Demand In: Post-Print. [Citation analysis] | paper | 13 |
2009 | Marchés Financiers: Gestion de portefeuille et des risques In: Post-Print. [Citation analysis] | paper | 0 |
2009 | Marchés financiers, gestion de portefeuilles et des risques.(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2009 | Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data In: Post-Print. [Citation analysis] | paper | 3 |
2010 | La gestion des risques fait sa révolution In: Post-Print. [Citation analysis] | paper | 0 |
2011 | Clearing house, margin requirements, and systemic risk In: Post-Print. [Citation analysis] | paper | 4 |
2011 | Clearing house, margin requirements, and systemic risk.(2011) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2008 | Representative yield curve shocks and stress testing In: Post-Print. [Citation analysis] | paper | 2 |
2012 | Representative Yield Curve Shocks and Stress Testing.(2012) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2008 | A New Approach to Comparing VaR Estimation Methods In: Post-Print. [Citation analysis] | paper | 28 |
2015 | Implied Risk Exposures In: Post-Print. [Citation analysis] | paper | 2 |
2014 | Implied Risk Exposures.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2015 | Implied Risk Exposures.(2015) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2004 | Component Proponents II In: Post-Print. [Citation analysis] | paper | 3 |
2002 | Component Proponents.(2002) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2002 | Estimation empirique de laversion au risque : lapport des marchés doptions In: Post-Print. [Citation analysis] | paper | 0 |
2006 | Sources of time variation in the covariance matrix of interest rates In: Post-Print. [Citation analysis] | paper | 12 |
2006 | Sources of Time Variation in the Covariance Matrix of Interest Rates.(2006) In: The Journal of Business. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2015 | Wholesale Funding Runs In: Working Papers. [Citation analysis] | paper | 0 |
2011 | Is Mister Mayor Running a Hedge Fund? The Use of Toxic Loans by Local Authorities In: Working Papers. [Citation analysis] | paper | 0 |
2019 | A Theoretical and Empirical Comparison of Systemic Risk Measures In: Working Papers. [Citation analysis] | paper | 105 |
2013 | A Theoretical and Empirical Comparison of Systemic Risk Measures.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 105 | paper | |
2020 | Reproducibility Certification in Economics Research In: Working Papers. [Citation analysis] | paper | 0 |
2012 | RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Margin Backtesting In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2021 | Non-Standard Errors In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2017 | The Political Economy of Financial Innovation: Evidence from Local Governments In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 7 |
2000 | Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports In: Applied Economics. [Full Text][Citation analysis] | article | 60 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team