Marco Valerio Geraci
Personal Details
First Name: | Marco Valerio |
Middle Name: | |
Last Name: | Geraci |
Suffix: | |
RePEc Short-ID: | pge279 |
[This author has chosen not to make the email address public] | |
http://mvgeraci.com | |
Affiliation
Nationale Bank van België/Banque national de Belqique (BNB)
Bruxelles/Brussel, Belgiumhttp://www.nbb.be/
RePEc:edi:bnbgvbe (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020.
"Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks,"
Cambridge Working Papers in Economics
2066, Faculty of Economics, University of Cambridge.
- Geraci, Marco Valerio & Gnabo, Jean-Yves & Veredas, David, 2023. "Common short selling and excess comovement: Evidence from a sample of LSE stocks," Journal of Financial Markets, Elsevier, vol. 65(C).
- Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017.
"Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science,"
Papers
1707.00296, arXiv.org, revised Jan 2018.
- Yerali Gandica & Marco Valerio Geraci & Sophie Béreau & Jean-Yves Gnabo, 2018. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
- Marco Valerio Geraci, 2017. "Essays on Complexity in the Financial System," ULB Institutional Repository 2013/257470, ULB -- Universite Libre de Bruxelles.
- Marco Valerio Geraci & Tomas Garbaravicius & David Veredas, 2016. "Short Selling in the Tails," Working Papers ECARES ECARES 2016-30, ULB -- Universite Libre de Bruxelles.
- Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
- Marco Valerio Geraci & Jean-Yves Gnabo, 2015.
"Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions,"
Working Papers ECARES
2015-51, ULB -- Universite Libre de Bruxelles.
- Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
Articles
- M.V.Geraci & J. Mohimont, 2024. "A decomposition of euro area macroeconomic uncertainty," Economic Review, National Bank of Belgium, pages 1-25, July.
- Geraci, Marco Valerio & Gnabo, Jean-Yves & Veredas, David, 2023.
"Common short selling and excess comovement: Evidence from a sample of LSE stocks,"
Journal of Financial Markets, Elsevier, vol. 65(C).
- Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020. "Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks," Cambridge Working Papers in Economics 2066, Faculty of Economics, University of Cambridge.
- M.V. Geraci & I. Samarin & M.D. Zachary, 2023. "The Impact of the Low-Carbon Transition on Financial Markets," Economic Review, National Bank of Belgium, pages 1-37, January.
- M. V. Geraci & J. Mohimont & Ch. Piette, 2021. "The issuance of debt securities by Belgian non-financial corporations," Economic Review, National Bank of Belgium, issue ii, pages 158-172, september.
- Yerali Gandica & Marco Valerio Geraci & Sophie Béreau & Jean-Yves Gnabo, 2018.
"Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science,"
PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
- Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," Papers 1707.00296, arXiv.org, revised Jan 2018.
- Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018.
"Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
- Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions," Working Papers ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
- Geraci, Marco Valerio & Garbaravičius, Tomas & Veredas, David, 2018.
"Short selling in extreme events,"
Journal of Financial Stability, Elsevier, vol. 39(C), pages 90-103.
RePEc:nbb:ecrart:y:2022:m:january1 is not listed on IDEAS
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020.
"Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks,"
Cambridge Working Papers in Economics
2066, Faculty of Economics, University of Cambridge.
- Geraci, Marco Valerio & Gnabo, Jean-Yves & Veredas, David, 2023. "Common short selling and excess comovement: Evidence from a sample of LSE stocks," Journal of Financial Markets, Elsevier, vol. 65(C).
Cited by:
- Michael Ashby, 2024. "Are Regulatory Short Sale Data a Profitable Predictor of UK Stock Returns?," JRFM, MDPI, vol. 17(8), pages 1-33, July.
- Shen, Yiwen & Shi, Meiqi, 2024. "Intraday variation in cross-sectional stock comovement and impact of index-based strategies," Journal of Financial Markets, Elsevier, vol. 68(C).
- Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017.
"Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science,"
Papers
1707.00296, arXiv.org, revised Jan 2018.
- Yerali Gandica & Marco Valerio Geraci & Sophie Béreau & Jean-Yves Gnabo, 2018. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
Cited by:
- Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo, 2019. "A multilevel analysis to systemic exposure: insights from local and system-wide information," Papers 1910.08611, arXiv.org.
- Li, Houjian & Li, Yanjiao & Guo, Lili, 2023. "Extreme risk spillover effect and dynamic linkages between uncertainty and commodity markets: A comparison between China and America," Resources Policy, Elsevier, vol. 85(PA).
- Marco Valerio Geraci & Jean-Yves Gnabo, 2015.
"Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS,"
Working Papers ECARES
ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
Cited by:
- Rodolfo C. Moura & Márcio P. Laurini, 2021. "Spillovers and jumps in global markets: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5997-6013, October.
- Marco Valerio Geraci & Jean-Yves Gnabo, 2015.
"Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions,"
Working Papers ECARES
2015-51, ULB -- Universite Libre de Bruxelles.
- Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
Cited by:
- Liming Chen & Zhi Zhang & Ziqing Du & Lingling Deng, 2021. "Heterogeneous determinants of the exchange rate market in China with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 53(59), pages 6839-6854, December.
- Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Dynamic credit contagion and aggregate loss in networks," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Melle Bijlsma & Malka de Castro Campos & Raymond Chaudron & David-Jan Jansen, 2019. "Building a multilayer macro-network for the Netherlands: A new way of looking at financial accounts and international investment position data," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023.
"Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework,"
Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2022. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Post-Print hal-04478741, HAL.
- Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021.
"COVID-19 spreading in financial networks: A semiparametric matrix regression model,"
Working Papers
2021:05, Department of Economics, University of Venice "Ca' Foscari".
- Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Papers 2101.00422, arXiv.org.
- Billio, Monica & Casarin, Roberto & Costola, Michele & Iacopini, Matteo, 2024. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Econometrics and Statistics, Elsevier, vol. 29(C), pages 113-131.
- Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022.
"Asymmetric network connectedness of fears,"
LSE Research Online Documents on Economics
108199, London School of Economics and Political Science, LSE Library.
- Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2022. "Asymmetric Network Connectedness of Fears," The Review of Economics and Statistics, MIT Press, vol. 104(6), pages 1304-1316, November.
- Jozef Barunik & Mattia Bevilacqua & Radu Tunaru, 2018. "Asymmetric Network Connectedness of Fears," Papers 1810.12022, arXiv.org, revised Oct 2020.
- Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
- Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
- Mardi Dungey & Moses Kangogo & Vladimir Volkov, 2022. "Dynamic effects of network exposure on equity markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 569-629, December.
- Samitas, Aristeidis & Kampouris, Elias & Polyzos, Stathis, 2022. "Covid-19 pandemic and spillover effects in stock markets: A financial network approach," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Aromi, Daniel & Clements, Adam, 2019. "Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil," Energy Economics, Elsevier, vol. 81(C), pages 187-196.
- 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).
- Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
- Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024.
"Time-varying multivariate causal processes,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Papers 2206.00409, arXiv.org.
- Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021.
"Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission,"
Working Papers
hal-03338209, HAL.
- Boeckelmann Lukas & Stalla-Bourdillon Arthur, 2021. "Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission," Working papers 798, Banque de France.
- Yerali Gandica & Marco Valerio Geraci & Sophie Béreau & Jean-Yves Gnabo, 2018.
"Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science,"
PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
- Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," Papers 1707.00296, arXiv.org, revised Jan 2018.
- Jozef Barunik & Michael Ellington, 2020.
"Persistence in Financial Connectedness and Systemic Risk,"
Papers
2007.07842, arXiv.org, revised Nov 2023.
- Baruník, Jozef & Ellington, Michael, 2024. "Persistence in financial connectedness and systemic risk," European Journal of Operational Research, Elsevier, vol. 314(1), pages 393-407.
- Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Kangogo, Moses & Volkov, Vladimir, 2021. "Dynamic effects of network exposure on equity markets," Working Papers 2021-03, University of Tasmania, Tasmanian School of Business and Economics.
- Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo, 2019. "A multilevel analysis to systemic exposure: insights from local and system-wide information," Papers 1910.08611, arXiv.org.
- Rodolfo C. Moura & Márcio P. Laurini, 2021. "Spillovers and jumps in global markets: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5997-6013, October.
- Boyao Wu & Difang Huang & Muzi Chen, 2023. "Estimating contagion mechanism in global equity market with time‐zone effect," Financial Management, Financial Management Association International, vol. 52(3), pages 543-572, September.
- Lubos Hanus & Lukas Vacha, 2018. "Time-Frequency Response Analysis of Monetary Policy Transmission," Working Papers IES 2018/30, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2018.
- Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Jozef Barunik & Michael Ellington, 2020. "Dynamic Network Risk," Papers 2006.04639, arXiv.org, revised Jul 2020.
- Jean-Baptiste Hasse, 2020.
"Systemic Risk: a Network Approach,"
AMSE Working Papers
2025, Aix-Marseille School of Economics, France.
- Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Empirical Economics, Springer, vol. 63(1), pages 313-344, July.
- Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Post-Print hal-03740283, HAL.
- Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
- Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024.
"Bayesian forecasting in economics and finance: A modern review,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
- Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
- Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
- Zhou, Dong-hai & Liu, Xiao-xing, 2024. "Does systemic risk in the fund markets predict future economic downturns?," International Review of Financial Analysis, Elsevier, vol. 92(C).
- Tristan Jourde, 2022. "The Rising Interconnectedness of the Insurance Sector," Working papers 857, Banque de France.
- Shang, Jin & Hamori, Shigeyuki, 2021. "Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis," Resources Policy, Elsevier, vol. 74(C).
- Jiti Gao & Bin Peng & Yayi Yan, 2021. "Parameter Stability Testing for Multivariate Dynamic Time-Varying Models," Monash Econometrics and Business Statistics Working Papers 11/21, Monash University, Department of Econometrics and Business Statistics.
- Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," Working Papers halshs-02893780, HAL.
- Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
- Pagnottoni, Paolo, 2023. "Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
- Ouyang, Zisheng & Zhou, Xuewei, 2023. "Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions," Research in International Business and Finance, Elsevier, vol. 65(C).
- Chen, Yanhua & Li, Youwei & Pantelous, Athanasios & Stanley, Eugene, 2020.
"Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach,"
MPRA Paper
101700, University Library of Munich, Germany.
- Chen, Yanhua & Li, Youwei & Pantelous, Athanasios A. & Stanley, H. Eugene, 2022. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," International Review of Financial Analysis, Elsevier, vol. 79(C).
- So Jung Hwang & Hyunduk Suh, 2018.
"Analyzing Dynamic Connectedness in Korean Housing Markets,"
Inha University IBER Working Paper Series
2018-4, Inha University, Institute of Business and Economic Research.
- So Jung Hwang & Hyunduk Suh, 2021. "Analyzing Dynamic Connectedness in Korean Housing Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(2), pages 591-609, January.
- Tristan Jourde, 2022. "The rising interconnectedness of the insurance sector," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(2), pages 397-425, June.
- Jouchi Nakajima, 2020. "Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions”," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 33-36, February.
- Li, Bingqing & Zhang, Xiaoyuan, 2024. "Systemic risk and financial networks," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 25-36.
- Chen, Yan & Wang, Gang-Jin & Zhu, You & Xie, Chi & Uddin, Gazi Salah, 2023. "Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China," Global Finance Journal, Elsevier, vol. 58(C).
- Gong, Xiao-Li & Feng, Yong-Kang & Liu, Jian-Min & Xiong, Xiong, 2023. "Study on international energy market and geopolitical risk contagion based on complex network," Resources Policy, Elsevier, vol. 82(C).
- 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).
- Samitas, Aristeidis & Kampouris, Elias & Kenourgios, Dimitris, 2020. "Machine learning as an early warning system to predict financial crisis," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "Measuring financial soundness around the world: A machine learning approach," International Review of Financial Analysis, Elsevier, vol. 85(C).
- Wang, Gang-Jin & Chen, Yan & Zhu, You & Xie, Chi, 2024. "Systemic risk prediction using machine learning: Does network connectedness help prediction?," International Review of Financial Analysis, Elsevier, vol. 93(C).
- Zhou, Dong-hai & Liu, Xiao-xing & Tang, Chun & Yang, Guang-yi, 2023. "Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
Articles
- Geraci, Marco Valerio & Gnabo, Jean-Yves & Veredas, David, 2023.
"Common short selling and excess comovement: Evidence from a sample of LSE stocks,"
Journal of Financial Markets, Elsevier, vol. 65(C).
See citations under working paper version above.
- Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020. "Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks," Cambridge Working Papers in Economics 2066, Faculty of Economics, University of Cambridge.
- Yerali Gandica & Marco Valerio Geraci & Sophie Béreau & Jean-Yves Gnabo, 2018.
"Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science,"
PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
See citations under working paper version above.
- Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," Papers 1707.00296, arXiv.org, revised Jan 2018.
- Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018.
"Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
See citations under working paper version above.
- Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions," Working Papers ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
- Geraci, Marco Valerio & Garbaravičius, Tomas & Veredas, David, 2018.
"Short selling in extreme events,"
Journal of Financial Stability, Elsevier, vol. 39(C), pages 90-103.
Cited by:
- Roman Horvath, 2020. "Natural Catastrophes and Financial Development: An Empirical Analysis," Working Papers IES 2020/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2020.
- O'Donnell, Niall & Shannon, Darren & Sheehan, Barry, 2023. "A vaccine for volatility? An empirical analysis of global stock markets and the impact of the COVID-19 vaccine," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
- Luu, Ellie & Xu, Fangming & Zheng, Liyi, 2023. "Short-selling activities in the time of COVID-19," The British Accounting Review, Elsevier, vol. 55(4).
- Horvath, Roman, 2021. "Natural catastrophes and financial depth: An empirical analysis," Journal of Financial Stability, Elsevier, vol. 53(C).
- Ye, Qing & Zhou, Shengjie & Zhang, Jie, 2020. "Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Chen, Xinxin & Guo, Yanhong & Song, Yingying, 2024. "Multiple time scales investor sentiment impact the stock market index fluctuation: From margin trading business perspective," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
- Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020.
"TailCoR,"
Papers
2011.14817, arXiv.org.
- Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
- Bessler, Wolfgang & Vendrasco, Marco, 2021. "The 2020 European short-selling ban and the effects on market quality," Finance Research Letters, Elsevier, vol. 42(C).
- Wu, Qi & Yan, Xing, 2019. "Capturing deep tail risk via sequential learning of quantile dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
- Wang, Yifu & Lu, Wanbo & Lin, Min-Bin & Ren, Rui & Härdle, Wolfgang Karl, 2024. "Cross-exchange crypto risk: A high-frequency dynamic network perspective," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Bessler, Wolfgang & Vendrasco, Marco, 2022. "Short-selling restrictions and financial stability in Europe: Evidence from the Covid-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-BAN: Banking (2) 2015-12-20 2017-04-30. Author is listed
- NEP-FMK: Financial Markets (2) 2016-09-11 2020-08-17. Author is listed
- NEP-ECM: Econometrics (1) 2017-04-30. Author is listed
- NEP-ETS: Econometric Time Series (1) 2015-12-20. Author is listed
- NEP-RMG: Risk Management (1) 2016-09-11. Author is listed
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