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Systemic risk in European sovereign debt markets: A CoVaR-copula approach

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  1. Chatziantoniou, Ioannis & Gabauer, David, 2021. "EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 1-14.
  2. Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  3. Reboredo, Juan C. & Ugolini, Andrea, 2018. "The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach," Energy Economics, Elsevier, vol. 76(C), pages 136-152.
  4. Bai, Xiwen & Lam, Jasmine Siu Lee, 2021. "Freight rate co-movement and risk spillovers in the product tanker shipping market: A copula analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 149(C).
  5. Chen, Lin & Wen, Fenghua & Li, Wanyang & Yin, Hua & Zhao, Lili, 2022. "Extreme risk spillover of the oil, exchange rate to Chinese stock market: Evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 107(C).
  6. Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Shahbaz, Muhammad, 2017. "Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 258-279.
  7. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
  8. 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.
  9. Gabriela-Victoria Anghelache & Dumitru-Cristian Oanea, 2016. "Romanian Commercial Banks’ Systemic Risk and Its Determinants: A CoVAR Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(3), pages 96-109, July.
  10. 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).
  11. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
  12. Aurore Burietz & Loredana Ureche - Rangau, 2016. "A modern Dionysus' tale: new evidence on the Greek debt crisis and the related costs," Economics Bulletin, AccessEcon, vol. 36(4), pages 1938-1950.
  13. Honghai Yu & Wencong Sun & Xiangting Ye & Libing Fang, 2019. "Measuring the increasing connectedness of Chinese assets with global assets: using a variance decompositions method," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(5), pages 1261-1290, March.
  14. Yang, Lu & Yang, Lei & Ho, Kung-Cheng & Hamori, Shigeyuki, 2020. "Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach," Journal of Asian Economics, Elsevier, vol. 68(C).
  15. Zhou, Wei-Xing & Dai, Yun-Shi & Duong, Kiet Tuan & Dai, Peng-Fei, 2024. "The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots," Journal of Economic Behavior & Organization, Elsevier, vol. 217(C), pages 91-111.
  16. Xin Li & Wei Liang, 2022. "Impact of Market Information Efficiency on Corporate Listing and Financing: Evidence from China," Sustainability, MDPI, vol. 14(20), pages 1-22, October.
  17. Ji, Qiang & Liu, Bing-Yue & Fan, Ying, 2019. "Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model," Energy Economics, Elsevier, vol. 77(C), pages 80-92.
  18. Reboredo, Juan C., 2018. "Green bond and financial markets: Co-movement, diversification and price spillover effects," Energy Economics, Elsevier, vol. 74(C), pages 38-50.
  19. Tian, Maoxi & Ji, Hao, 2022. "GARCH copula quantile regression model for risk spillover analysis," Finance Research Letters, Elsevier, vol. 44(C).
  20. Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Al-Yahyaee, Khamis Hamed & Shahbaz, Muhammad, 2017. "Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas," Energy Economics, Elsevier, vol. 67(C), pages 476-495.
  21. Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  22. Reboredo, Juan C. & Ugolini, Andrea, 2015. "Downside/upside price spillovers between precious metals: A vine copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 84-102.
  23. Uddin, Gazi Salah & Hernandez, Jose Arreola & Shahzad, Syed Jawad Hussain & Kang, Sang Hoon, 2020. "Characteristics of spillovers between the US stock market and precious metals and oil," Resources Policy, Elsevier, vol. 66(C).
  24. Abid, Ilyes & Bouri, Elie & Galariotis, Emilios & Guesmi, Khaled & Mzoughi, Hela, 2023. "Bitcoin vs. fiat currencies: Insights from extreme dependence and risk spillover analysis with financial markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
  25. Ji, Qiang & Bouri, Elie & Roubaud, David & Shahzad, Syed Jawad Hussain, 2018. "Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model," Energy Economics, Elsevier, vol. 75(C), pages 14-27.
  26. Faisal Alqahtani & Nader Trabelsi & Nahla Samargandi & Syed Jawad Hussain Shahzad, 2020. "Tail Dependence and Risk Spillover from the US to GCC Banking Sectors," Mathematics, MDPI, vol. 8(11), pages 1-18, November.
  27. Li, Xiafei & Wei, Yu, 2018. "The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method," Energy Economics, Elsevier, vol. 74(C), pages 565-581.
  28. Reboredo, Juan C. & Ugolini, Andrea, 2016. "Quantile dependence of oil price movements and stock returns," Energy Economics, Elsevier, vol. 54(C), pages 33-49.
  29. Reboredo, Juan C. & Ugolini, Andrea, 2015. "A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 98-123.
  30. Warshaw, Evan, 2019. "Extreme dependence and risk spillovers across north american equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 237-251.
  31. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: investigating the crypto-market," Quantitative Finance, Taylor & Francis Journals, vol. 22(9), pages 1731-1745, September.
  32. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Risk spillovers and diversification between oil and non-ferrous metals during bear and bull market states," Resources Policy, Elsevier, vol. 72(C).
  33. Wen, Xiaoqian & Cheng, Hua, 2018. "Which is the safe haven for emerging stock markets, gold or the US dollar?," Emerging Markets Review, Elsevier, vol. 35(C), pages 69-90.
  34. Zehri, Chokri, 2021. "Stock market comovements: Evidence from the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
  35. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
  36. Ji, Qiang & Marfatia, Hardik & Gupta, Rangan, 2018. "Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 103-113.
  37. Guoxiang Xu & Wangfeng Gao, 2019. "Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects," Sustainability, MDPI, vol. 11(5), pages 1-20, March.
  38. Lu Yang & Jason Z. Ma & Shigeyuki Hamori, 2018. "Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach," Sustainability, MDPI, vol. 10(2), pages 1-23, January.
  39. Liu, Xiang-dong & Pan, Fei & Cai, Wen-li & Peng, Rui, 2020. "Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach," Reliability Engineering and System Safety, Elsevier, vol. 197(C).
  40. Mzoughi, Hela & Amar, Amine Ben & Guesmi, Khaled & Benkraiem, Ramzi, 2024. "Blockchain markets, green finance investments, and environmental impacts," Research in International Business and Finance, Elsevier, vol. 69(C).
  41. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
  42. Roman Garcia & Dimitri Lorenzani & Daniel Monteiro & Francesco Perticari & Bořek Vašíček & Lukas Vogel, 2021. "Financial Spillover and Contagion Risks in the Euro Area in 2007-2019," European Economy - Discussion Papers 137, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  43. Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
  44. Tobias Eckernkemper & Bastian Gribisch, 2021. "Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 883-910, August.
  45. Luo, Changqing & Liu, Lan & Wang, Da, 2021. "Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  46. Skouralis, Alexandros, 2021. "The role of systemic risk spillovers in the transmission of Euro Area monetary policy," ESRB Working Paper Series 129, European Systemic Risk Board.
  47. Chakraborty, Sandip & Kakani, Ram Kumar & Sampath, Aravind, 2022. "Portfolio risk and stress across the business cycle," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  48. Dai, Yun-Shi & Dai, Peng-Fei & Zhou, Wei-Xing, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  49. 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.
  50. Yufei Cao, 2021. "Measuring systemic risk and dependence structure between real estates and banking sectors in China using a CoVaR‐copula method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5930-5947, October.
  51. Li, Xiafei & Li, Bo & Wei, Guiwu & Bai, Lan & Wei, Yu & Liang, Chao, 2021. "Return connectedness among commodity and financial assets during the COVID-19 pandemic: Evidence from China and the US," Resources Policy, Elsevier, vol. 73(C).
  52. Bing‐Yue Liu & Qiang Ji & Duc Khuong Nguyen & Ying Fan, 2021. "Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2612-2636, April.
  53. Yufei Cao, 2021. "Modeling the dependence structure and systemic risk of all listed insurance companies in the Chinese insurance market," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 24(4), pages 367-399, December.
  54. Tian, Maoxi & Guo, Fei & Niu, Rong, 2022. "Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  55. Rehman, Mobeen Ur, 2020. "Do bitcoin and precious metals do any good together? An extreme dependence and risk spillover analysis," Resources Policy, Elsevier, vol. 68(C).
  56. Syed Jawad Hussain Shahzad & Elie Bouri & Mobeen Ur Rehman & Muhammad Abubakr Naeem & Tareq Saeed, 2022. "Oil price risk exposure of BRIC stock markets and hedging effectiveness," Annals of Operations Research, Springer, vol. 313(1), pages 145-170, June.
  57. Ahmet Sensoy & Duc Khuong Nguyen & Ahmed Rostom & Erk Hacihasanoglu, 2019. "Dynamic integration and network structure of the EMU sovereign bond markets," Annals of Operations Research, Springer, vol. 281(1), pages 297-314, October.
  58. Ji, Qiang & Liu, Bing-Yue & Cunado, Juncal & Gupta, Rangan, 2020. "Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  59. 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).
  60. Chen, James Ming & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning," Resources Policy, Elsevier, vol. 73(C).
  61. Trabelsi, Nader & Naifar, Nader, 2017. "Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR," Research in International Business and Finance, Elsevier, vol. 42(C), pages 727-744.
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  63. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
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