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Measuring systemic risk using vine-copula

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Cited by:

  1. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.
  2. 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.
  3. Kumar, Satish & Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," Resources Policy, Elsevier, vol. 72(C).
  4. Nevrla, Matěj, 2020. "Systemic risk in European financial and energy sectors: Dynamic factor copula approach," Economic Systems, Elsevier, vol. 44(4).
  5. Agosto, Arianna & Ahelegbey, Daniel Felix & Giudici, Paolo, 2020. "Tree networks to assess financial contagion," Economic Modelling, Elsevier, vol. 85(C), pages 349-366.
  6. Xiangwei Zhao & Qian Gao & Yaojie Yue & Lian Duan & Shun Pan, 2018. "A System Analysis on Steppe Sustainability and Its Driving Forces—A Case Study in China," Sustainability, MDPI, vol. 10(1), pages 1-19, January.
  7. Quanrui Song & Jianxu Liu & Songsak Sriboonchitta, 2019. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas," Mathematics, MDPI, vol. 7(3), pages 1-16, March.
  8. Linhai Zhao & Yingjie Li & Yenchun Jim Wu, 2022. "An Identification Algorithm of Systemically Important Financial Institutions Based on Adjacency Information Entropy," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1735-1753, April.
  9. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
  10. Jianxu Liu & Quanrui Song & Yang Qi & Sanzidur Rahman & Songsak Sriboonchitta, 2020. "Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions," Sustainability, MDPI, vol. 12(10), pages 1-15, May.
  11. Bax, Karoline & Sahin, Özge & Czado, Claudia & Paterlini, Sandra, 2023. "ESG, risk, and (tail) dependence," International Review of Financial Analysis, Elsevier, vol. 87(C).
  12. Adnan Safi & Xianrong Yi & Salman Wahab & Yingying Chen & Hassan Hassan, 2021. "CEO overconfidence, firm-specific factors, and systemic risk: evidence from China," Risk Management, Palgrave Macmillan, vol. 23(1), pages 30-47, June.
  13. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.
  14. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  15. Bukre Yildirim Kulekci & Gulden Poyraz & Ismail Gur & Ozan Evkaya, 2023. "Dependence Analysis of the ISE100 Banking Sector Using Vine Copula," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 55-81, June.
  16. Manner, Hans & Alavi Fard, Farzad & Pourkhanali, Armin & Tafakori, Laleh, 2019. "Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae," Energy Economics, Elsevier, vol. 78(C), pages 143-164.
  17. Mezei, József & Sarlin, Peter, 2018. "RiskRank: Measuring interconnected risk," Economic Modelling, Elsevier, vol. 68(C), pages 41-50.
  18. Joshua Eklund & Jong‐Min Kim, 2024. "Forecasting Consumer Price Index with Federal Open Market Committee Sentiment Index," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1795-1813, September.
  19. Jiang, Cuixia & Li, Yuqian & Xu, Qifa & Liu, Yezheng, 2021. "Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 386-398.
  20. Dai, Xingyu & Wang, Qunwei & Zha, Donglan & Zhou, Dequn, 2020. "Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach," Energy Economics, Elsevier, vol. 88(C).
  21. Mejdoub, Hanène & Ben Arab, Mounira, 2018. "Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach," Research in International Business and Finance, Elsevier, vol. 45(C), pages 208-218.
  22. Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.
  23. Joshua Eklund & Jong-Min Kim, 2022. "Examining Factors That Affect Movie Gross Using Gaussian Copula Marginal Regression," Forecasting, MDPI, vol. 4(3), pages 1-14, July.
  24. Boako, Gideon & Alagidede, Paul, 2017. "Currency price risk and stock market returns in Africa: Dependence and downside spillover effects with stochastic copulas," Journal of Multinational Financial Management, Elsevier, vol. 41(C), pages 92-114.
  25. Kumar, Satish & Tiwari, Aviral Kumar & Chauhan, Yogesh & Ji, Qiang, 2019. "Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 273-284.
  26. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
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