The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods
Author
Abstract
Suggested Citation
DOI: 10.1016/j.najef.2022.101831
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Chang, Eric C. & Cheng, Joseph W. & Khorana, Ajay, 2000. "An examination of herd behavior in equity markets: An international perspective," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1651-1679, October.
- Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014.
"Modeling and predicting the CBOE market volatility index,"
Journal of Banking & Finance, Elsevier, vol. 40(C), pages 1-10.
- Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil).
- Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2013. "Modeling and predicting the CBOE market volatility index," Textos para discussão 342, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Sarwar, Ghulam, 2020. "Interrelations in market fears of U.S. and European equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Diebold, Francis X. & Yılmaz, Kamil, 2014.
"On the network topology of variance decompositions: Measuring the connectedness of financial firms,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers 1124, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Working Papers 11-45, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yılmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," PIER Working Paper Archive 11-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," NBER Working Papers 17490, National Bureau of Economic Research, Inc.
- Taimur Baig & Ilan Goldfajn, 1999.
"Financial Market Contagion in the Asian Crisis,"
IMF Staff Papers, Palgrave Macmillan, vol. 46(2), pages 1-3.
- Mr. Taimur Baig & Mr. Ilan Goldfajn, 1998. "Financial Market Contagion in the Asian Crisis," IMF Working Papers 1998/155, International Monetary Fund.
- Ilan Goldfajn & Taimur Baig, 1999. "Financial market contagion in the Asian crisis," Textos para discussão 400, Department of Economics PUC-Rio (Brazil).
- Jian Yang & David A. Bessler & David J. Leatham, 2001. "Asset storability and price discovery in commodity futures markets: A new look," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(3), pages 279-300, March.
- James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
- Cipriani Marco & Guarino Antonio, 2008.
"Herd Behavior and Contagion in Financial Markets,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 8(1), pages 1-56, October.
- Marco Cipriani & Antonio Guarino, 2010. "Herd Behavior and Contagion in Financial Markets," Working Papers 2010-01, The George Washington University, Institute for International Economic Policy.
- Marco Cipriani & Antonio Guarino & Giovanni Guazzarotti & Federico Tagliati & Sven Fischer, 2018.
"Informational Contagion in the Laboratory,"
Review of Finance, European Finance Association, vol. 22(3), pages 877-904.
- Marco Cipriani & Sven Fischer & Antonio Guarino & Giovanni Guazzarotti & Federico Tagliati, 2015. "Informational contagion in the laboratory," Staff Reports 715, Federal Reserve Bank of New York.
- Marco Cipriani & Antonio Guarino & Giovanni Guazzarotti & Federico Tagliati & Sven Fischer, 2016. "Informational contagion in the laboratory," Temi di discussione (Economic working papers) 1063, Bank of Italy, Economic Research and International Relations Area.
- Liang, Chin Chia & Troy, Carol & Rouyer, Ellen, 2020. "U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012.
"Econometric measures of connectedness and systemic risk in the finance and insurance sectors,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
- Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017.
"Where the Risks Lie: A Survey on Systemic Risk,"
Review of Finance, European Finance Association, vol. 21(1), pages 109-152.
- Colliard , Jean-Edouard & Perignon , Christophe, 2015. "Where the Risks Lie: A Survey on Systemic Risk," HEC Research Papers Series 1088, HEC Paris.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Post-Print hal-01498631, HAL.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers halshs-01142014, HAL.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers hal-02011395, HAL.
- Baur, Dirk & Jung, Robert C., 2006. "Return and volatility linkages between the US and the German stock market," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 598-613, June.
- Koop, Gary & Korobilis, Dimitris, 2014.
"A new index of financial conditions,"
European Economic Review, Elsevier, vol. 71(C), pages 101-116.
- Gary Koop & Dimitris Korobilis, "undated". "A new index of financial conditions," Working Papers 2013_06, Business School - Economics, University of Glasgow.
- Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
- Gary, Koop & Dimitris, Korobilis, 2013. "A New Index of Financial Conditions," SIRE Discussion Papers 2013-48, Scottish Institute for Research in Economics (SIRE).
- Chung, Kee H. & Chuwonganant, Chairat, 2018. "Market volatility and stock returns: The role of liquidity providers," Journal of Financial Markets, Elsevier, vol. 37(C), pages 17-34.
- Teng-Ching Huang & Kuei-Yuan Wang, 2017. "Investors’ Fear and Herding Behavior: Evidence from the Taiwan Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(10), pages 2259-2278, October.
- Marcello Pericoli & Massimo Sbracia, 2003.
"A Primer on Financial Contagion,"
Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
- Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers) 407, Bank of Italy, Economic Research and International Relations Area.
- James H. James & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," Working Papers 2005-2, Princeton University. Economics Department..
- Li, Ming & Sun, Hang & Zong, Jichuan, 2021. "Intertemporal imitation behavior of interbank offered rate submissions," Journal of Banking & Finance, Elsevier, vol. 132(C).
- Markus Brunnermeier & Darius Palia & Karthik A. Sastry & Christopher A. Sims, 2021.
"Feedbacks: Financial Markets and Economic Activity,"
American Economic Review, American Economic Association, vol. 111(6), pages 1845-1879, June.
- Markus K. Brunnermeier & Darius Palia & Karthik A. Sastry & Christopher A. Sims, 2019. "Feedbacks: Financial Markets and Economic Activity," Working Papers 257, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009.
"International Stock Return Comovements,"
Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005. "International Stock Return Comovements," Working Papers 06-3, University of Pennsylvania, Wharton School, Weiss Center.
- Hodrick, Robert J & Bekaert, Geert & Zhang, Xiaoyan, 2006. "International Stock Return Comovements," CEPR Discussion Papers 5955, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008. "International stock return comovements," Working Paper Series 931, European Central Bank.
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
- Michael Murach & Helmut Wagner, 2021. "The effects of external shocks on the business cycle in China: A structural change perspective," Review of International Economics, Wiley Blackwell, vol. 29(3), pages 681-702, August.
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015. "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 95-114.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005.
"Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(1), pages 387-422.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
- John Hua Fan & Tingxi Zhang, 2020. "The untold story of commodity futures in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 671-706, April.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005.
"A Framework for Exploring the Macroeconomic Determinants of Systematic Risk,"
American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive 05-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," NBER Working Papers 11134, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2005. "A framework for exploring the macroeconomic determinants of systematic risk," CFS Working Paper Series 2005/04, Center for Financial Studies (CFS).
- Meltem Gulenay Chadwick & Fatih Fazilet & Necati Tekatli, 2012. "Common Movement of the Emerging Market Currencies," Working Papers 1207, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017.
"Where the Risks Lie: A Survey on Systemic Risk,"
Review of Finance, European Finance Association, vol. 21(1), pages 109-152.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers halshs-01142014, HAL.
- Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Post-Print hal-03535199, HAL.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Post-Print hal-01498631, HAL.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers hal-02011395, HAL.
- Colliard , Jean-Edouard & Perignon , Christophe, 2015. "Where the Risks Lie: A Survey on Systemic Risk," HEC Research Papers Series 1088, HEC Paris.
- Yang, Lu & Tian, Shuairu & Yang, Wei & Xu, Mingli & Hamori, Shigeyuki, 2018. "Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 116-137.
- Xiao, Jihong & Wen, Fenghua & Zhao, Yupei & Wang, Xiong, 2021. "The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 311-333.
- Hui-Chu Shu & Jung-Hsien Chang, 2019. "Spillovers of volatility index: evidence from U.S., European, and Asian stock markets," Applied Economics, Taylor & Francis Journals, vol. 51(19), pages 2070-2083, April.
- Khalifa, Ahmed A.A. & Otranto, Edoardo & Hammoudeh, Shawkat & Ramchander, Sanjay, 2016. "Volatility transmission across currencies and commodities with US uncertainty measures," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 63-83.
- Diks, Cees & Panchenko, Valentyn, 2006.
"A new statistic and practical guidelines for nonparametric Granger causality testing,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1647-1669.
- Diks, C.G.H. & Panchenko, V., 2004. "A new statistic and practical guidelines for nonparametric Granger causality testing," CeNDEF Working Papers 04-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- David E. Rapach & Jack K. Strauss & Guofu Zhou, 2013. "International Stock Return Predictability: What Is the Role of the United States?," Journal of Finance, American Finance Association, vol. 68(4), pages 1633-1662, August.
- Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
- Jian Yang & Zheng Li & Tao Wang, 2021. "Price discovery in chinese agricultural futures markets: A comprehensive look," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 536-555, April.
- Hiemstra, Craig & Jones, Jonathan D, 1994. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
- Li, Miao & Xiong, Tao, 2021. "Dynamic price discovery in Chinese agricultural futures markets," Journal of Asian Economics, Elsevier, vol. 76(C).
- Claudia Wellenreuther & Jan Voelzke, 2019. "Speculation and volatility—A time‐varying approach applied on Chinese commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 405-417, April.
- Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2021. "Leverage and systemic risk pro-cyclicality in the Chinese financial system," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Ding Liu & Weihong Sun & Xuan Zhang, 2020. "Is the Chinese Economy Well Positioned to Fight the COVID-19 Pandemic? the Financial Cycle Perspective," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(10), pages 2259-2276, August.
- De Vita, Glauco & Trachanas, Emmanouil & Luo, Yun, 2018. "Revisiting the bi-directional causality between debt and growth: Evidence from linear and nonlinear tests," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 55-74.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Li, Xiao-Lin & Li, Haofei & Ge, Xinyu & Si, Deng-Kui, 2023. "Capital market liberalization and systemic risk of non-financial firms: Evidence from Chinese Stock Connect scheme," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Xiao, Jihong & Jiang, Jiajie & Zhang, Yaojie, 2024. "Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
- Chen, Bin-xia & Sun, Yan-lin, 2024. "Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chen, Bin-xia & Sun, Yan-lin, 2024. "Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
- Chen, Bin-xia & Sun, Yan-lin, 2024. "Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
- Umut Akovali, 2020. "Beyond Connectedness: A Covariance Decomposition based Network Risk Model," Koç University-TUSIAD Economic Research Forum Working Papers 2003, Koc University-TUSIAD Economic Research Forum.
- Saffet Akdag & Ömer İskenderoglu & Andrew Adewale Alola, 2020. "The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise," Letters in Spatial and Resource Sciences, Springer, vol. 13(1), pages 49-65, April.
- Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022.
"Risk spillovers and interconnectedness between systemically important institutions,"
Journal of Financial Stability, Elsevier, vol. 58(C).
- Alin Marius Andries & Steven Ongena & Nicu Sprincean & Radu Tunaru, 2020. "Risk Spillovers and Interconnectedness between Systemically Important Institutions," Swiss Finance Institute Research Paper Series 20-40, Swiss Finance Institute.
- Dimitris Korobilis & Maximilian Schröder, 2023.
"Monitoring multicountry macroeconomic risk,"
Working Paper
2023/9, Norges Bank.
- Dimitris Korobilis & Maximilian Schroder, 2023. "Monitoring multicountry macroeconomic risk," Papers 2305.09563, arXiv.org.
- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers 2023_07, Business School - Economics, University of Glasgow.
- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers No 06/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Paper series 23-06, Rimini Centre for Economic Analysis.
- Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2022. "Systemic risk in the Chinese financial system: A panel Granger causality analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
- 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).
- Zhou, Dong-hai & Liu, Xiao-xing, 2023. "Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
- Kanga, Désiré & Soumaré, Issouf & Amenounvé, Edoh, 2023. "Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market," Emerging Markets Review, Elsevier, vol. 55(C).
- Zhang, Weiping & Zhuang, Xintian & Wang, Jian & Lu, Yang, 2020. "Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Irena Vodenska & Alexander P. Becker & Di Zhou & Dror Y. Kenett & H. Eugene Stanley & Shlomo Havlin, 2016. "Community Analysis of Global Financial Markets," Risks, MDPI, vol. 4(2), pages 1-15, May.
- 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).
- Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.
- Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
- Isaiah Hull & Or Sattath & Eleni Diamanti & Göran Wendin, 2024.
"Quantum Technology for Economists,"
Contributions to Economics,
Springer, number 978-3-031-50780-9, January.
- Hull, Isaiah & Sattath, Or & Diamanti, Eleni & Wendin, Göran, 2020. "Quantum Technology for Economists," Working Paper Series 398, Sveriges Riksbank (Central Bank of Sweden).
- Isaiah Hull & Or Sattath & Eleni Diamanti & Goran Wendin, 2020. "Quantum Technology for Economists," Papers 2012.04473, arXiv.org, revised Oct 2021.
- Civitarese, Jamil, 2016. "Volatility and correlation-based systemic risk measures in the US market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 55-67.
- Torri, Gabriele & Giacometti, Rosella & Tichý, Tomáš, 2021. "Network tail risk estimation in the European banking system," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- 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).
More about this item
Keywords
VIX; China’s financial sub-markets; FAVAR; TVP-FAVAR-SV; Non-linear Granger;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001668. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.