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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

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Cited by:

  1. Chang, Hao-Wen & Chang, Tsangyao & Lee, Chien-Chiang, 2023. "Return and volatility connectedness among the BRICS stock and oil markets," Resources Policy, Elsevier, vol. 86(PA).
  2. Qiao, Sen & Guo, Zi Xin & Tao, Zhang & Ren, Zheng Yu, 2023. "Analyzing the network structure of risk transmission among renewable, non-renewable energy and carbon markets," Renewable Energy, Elsevier, vol. 209(C), pages 206-217.
  3. Uddin, Gazi Salah & Jayasekera, Ranadeva & Park, Donghyun & Luo, Tianqi & Tian, Shu, 2022. "Go green or stay black: Bond market dynamics in Asia," International Review of Financial Analysis, Elsevier, vol. 81(C).
  4. Colin Ellis, 2020. "Are Corporate Bond Defaults Contagious across Sectors?," IJFS, MDPI, vol. 8(1), pages 1-17, January.
  5. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
  6. Alexander Falter & Dennis Wesselbaum, 2018. "Correlated shocks in estimated DSGE models," Economics Bulletin, AccessEcon, vol. 38(4), pages 2026-2036.
  7. 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.
  8. Carlos León & Geun-Young Kim & Constanza Martínez & Daeyup Lee, 2017. "Equity markets’ clustering and the global financial crisis," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1905-1922, December.
  9. Kamal, Javed Bin & Hassan, M. Kabir, 2022. "Asymmetric connectedness between cryptocurrency environment attention index and green assets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
  10. Umar, Zaghum & Yousaf, Imran & Gubareva, Mariya & Vo, Xuan Vinh, 2022. "Spillover and risk transmission between the term structure of the US interest rates and Islamic equities," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  11. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
  12. Inekwe, John Nkwoma, 2020. "Liquidity connectedness and output synchronisation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
  13. Enzo D'Innocenzo & André Lucas & Anne Opschoor & Xingmin Zhang, 2024. "Heterogeneity and dynamics in network models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 150-173, January.
  14. Huang, Shoujun & Bossman, Ahmed & Gubareva, Mariya & Teplova, Tamara, 2024. "International transmission of shocks and African forex markets," Energy Economics, Elsevier, vol. 131(C).
  15. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2023. "Systemwide directional connectedness from Crude Oil to sovereign credit risk," Journal of Commodity Markets, Elsevier, vol. 30(C).
  16. Geng, Jiang-Bo & Du, Ya-Juan & Ji, Qiang & Zhang, Dayong, 2021. "Modeling return and volatility spillover networks of global new energy companies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 135(C).
  17. Mercado, Rogelio & Noviantie, Shanty, 2020. "Financial flows centrality: Empirical evidence using bilateral capital flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 69(C).
  18. Lo Cascio, Iolanda, 2021. "A wavelet analysis of the ripple effect in UK regional housing markets," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1093-1105.
  19. Singh, Jitendra & Ahmad, Wasim & Mishra, Anil, 2019. "Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds," Resources Policy, Elsevier, vol. 61(C), pages 441-460.
  20. Chen, Yu-Lun & Mo, Wan-Shin & Qin, Rong-Ling & Yang, J. Jimmy, 2023. "Return spillover across China's financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  21. Ki-Hong Choi & Ron P. McIver & Salvatore Ferraro & Lei Xu & Sang Hoon Kang, 2021. "Dynamic volatility spillover and network connectedness across ASX sector markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 677-691, October.
  22. Urom, Christian & Mzoughi, Hela & Ndubuisi, Gideon & Guesmi, Khaled, 2022. "Directional predictability and time-frequency spillovers among clean energy sectors and oil price uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 326-341.
  23. Eva F. Janssens & Robin L. Lumsdaine, 2024. "Sectoral slowdowns in the United Kingdom: Evidence from transmission probabilities and economic linkages," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 22-40, January.
  24. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
  25. Mardi Dungey & Renee Fry‐Mckibbin & Vladimir Volkov, 2020. "Transmission of a Resource Boom: The Case of Australia," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(3), pages 503-525, June.
  26. Yosra Ghabri & Luu Duc Toan Huynh & Muhammad Ali Nasir, 2024. "Volatility spillovers, hedging and safe‐havens under pandemics: All that glitters is not gold!," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1318-1344, April.
  27. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  28. Dai, Zhifeng & Zhu, Haoyang & Zhang, Xinhua, 2022. "Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle," Energy Economics, Elsevier, vol. 109(C).
  29. Okorie, David Iheke & Lin, Boqiang, 2022. "Givers never lack: Nigerian oil & gas asymmetric network analyses," Energy Economics, Elsevier, vol. 108(C).
  30. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
  31. Pradiptarathi Panda & Wasim Ahmad & M. Thiripalraju, 2023. "Better to Give than to Receive: A Study of BRICS Countries Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(2), pages 164-188, June.
  32. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
  33. 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).
  34. Hanif, Waqas & Arreola Hernandez, Jose & Kang, Sang Hoon & Boako, Gideon & Yoon, Seong-Min, 2024. "Interdependence and spillovers between big oil companies and regional and global energy equity markets," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 451-469.
  35. Xu, Qifa & Li, Mengting & Jiang, Cuixia, 2021. "Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  36. Goutte, Stéphane & Mhadhbi, Mayssa, 2024. "Analyzing Crisis Dynamics: How metal-energy Markets influence green electricity investments," Energy Economics, Elsevier, vol. 134(C).
  37. Muzi Chen & Yuhang Wang & Boyao Wu & Difang Huang, 2024. "Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy," Papers 2403.19439, arXiv.org.
  38. Song, Lu & Tian, Gengyu & Jiang, Yonghong, 2022. "Connectedness of commodity, exchange rate and categorical economic policy uncertainties — Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  39. Nguyen, Linh Hoang & Chevapatrakul, Thanaset & Yao, Kai, 2020. "Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 333-355.
  40. Iulia Lupu & Radu Lupu & Adina Criste, 2023. "The Nexus between Green Bonds and European Banks: A Cross-Quantilogram Approach," Energies, MDPI, vol. 16(24), pages 1-19, December.
  41. Zheng, Yanting & Luan, Xin & Lu, Xin & Liu, Jiaming, 2023. "A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
  42. Assaf, Ata & Charif, Husni & Mokni, Khaled, 2021. "Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?," Resources Policy, Elsevier, vol. 72(C).
  43. Xu, Xiu & Wang, Weining & Shin, Yongcheol, 2020. "Dynamic Spatial Network Quantile Autoregression," IRTG 1792 Discussion Papers 2020-024, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  44. Huang, Wei-Qiang & Wang, Dan, 2018. "A return spillover network perspective analysis of Chinese financial institutions’ systemic importance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 405-421.
  45. Das, Debojyoti & Bhatia, Vaneet & Kumar, Surya Bhushan & Basu, Sankarshan, 2022. "Do precious metals hedge crude oil volatility jumps?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  46. Clausen Volker & Schlösser Alexander & Thiem Christopher, 2019. "Economic Policy Uncertainty in the Euro Area: Cross-Country Spillovers and Macroeconomic Impact," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(5-6), pages 957-981, October.
  47. Hale, Galina & Lopez, Jose A., 2019. "Monitoring banking system connectedness with big data," Journal of Econometrics, Elsevier, vol. 212(1), pages 203-220.
  48. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  49. Lv, Fei & Yang, Chen & Fang, Libing, 2020. "Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?," International Review of Financial Analysis, Elsevier, vol. 71(C).
  50. Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 665-688, June.
  51. Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor, 2019. "SONIC: SOcial Network with Influencers and Communities," IRTG 1792 Discussion Papers 2019-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  52. Będowska-Sójka, Barbara & Górka, Joanna & Hemmings, Danial & Zaremba, Adam, 2024. "Uncertainty and cryptocurrency returns: A lesson from turbulent times," International Review of Financial Analysis, Elsevier, vol. 94(C).
  53. Rehman, Mobeen Ur & Nautiyal, Neeraj & Vo, Xuan Vinh & Ghardallou, Wafa & Kang, Sang Hoon, 2023. "Is the impact of oil shocks more pronounced during extreme market conditions?," Resources Policy, Elsevier, vol. 85(PA).
  54. Nicole Branger & Patrick Konermann & Christoph Meinerding & Christian Schlag, 2021. "Equilibrium Asset Pricing in Directed Networks [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, vol. 25(3), pages 777-818.
  55. Malik, Farooq & Umar, Zaghum, 2019. "Dynamic connectedness of oil price shocks and exchange rates," Energy Economics, Elsevier, vol. 84(C).
  56. Shakya, Shasta, 2022. "Geographic networks and spillovers between banks," Journal of Corporate Finance, Elsevier, vol. 77(C).
  57. Hedi Ben Haddad & Imed Mezghani & Abdessalem Gouider, 2021. "The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties," Economies, MDPI, vol. 9(2), pages 1-22, June.
  58. Yang, Jian & Tong, Meng & Yu, Ziliang, 2021. "Housing market spillovers through the lens of transaction volume: A new spillover index approach," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 351-378.
  59. Ben Amor, Souhir & Althof, Michael & Härdle, Wolfgang Karl, 2022. "Financial Risk Meter for emerging markets," Research in International Business and Finance, Elsevier, vol. 60(C).
  60. Ben Salem, Leila & Zayati, Montassar & Nouira, Ridha & Rault, Christophe, 2024. "Volatility spillover between oil prices and main exchange rates: Evidence from a DCC-GARCH-connectedness approach," Resources Policy, Elsevier, vol. 91(C).
  61. Chen, Yanhui & Zhou, Xiaoyu & Chen, Shun & Mi, Jackson Jinhong, 2024. "LNG freight rate and LNG price, carbon price, geopolitical risk: A dynamic connectedness analysis," Energy, Elsevier, vol. 302(C).
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