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Extreme risk spillover network: application to financial institutions
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- Fei Su & Lili Zhai & Yunyan Zhou & Zixi Zhuang & Feifan Wang, 2024. "Risk contagion in financial markets: A systematic review using bibliometric methods," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 163-199, March.
- Zhu, Zongyuan & Luo, Qingtian, 2023. "Inter-industry risk spillover, role reversal, and economic stability," Finance Research Letters, Elsevier, vol. 57(C).
- Ariana Paola Cortés Ángel & Mustafa Hakan Eratalay, 2022. "Deep diving into the S&P Europe 350 index network and its reaction to COVID-19," Journal of Computational Social Science, Springer, vol. 5(2), pages 1343-1408, November.
- Verma, Ramprasad & Ahmad, Wasim & Uddin, Gazi Salah & Bekiros, Stelios, 2019. "Analysing the systemic risk of Indian banks," Economics Letters, Elsevier, vol. 176(C), pages 103-108.
- Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2022. "Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
- Borjigin, Sumuya & Gao, Ting & Sun, Yafei & An, Biao, 2020. "For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
- Stosic, Dusan & Stosic, Darko & de Mattos Neto, Paulo S.G. & Stosic, Tatijana, 2019. "Multifractal characterization of Brazilian market sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 956-964.
- Wang, Gang-Jin & Si, Hui-Bin & Chen, Yang-Yang & Xie, Chi & Chevallier, Julien, 2021.
"Time domain and frequency domain Granger causality networks: Application to China’s financial institutions,"
Finance Research Letters, Elsevier, vol. 39(C).
- Gang-Jin Wang & Hui-Bin Si & Yang-Yang Chen & Chi Xie & Julien Chevallier, 2021. "Time domain and frequency domain Granger causality networks: Application to China’s financial institutions," Post-Print halshs-04250263, HAL.
- 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.
- Ouyang, Zisheng & Zhou, Xuewei, 2023. "Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Wang, Gang-Jin & Wan, Li & Feng, Yusen & Xie, Chi & Uddin, Gazi Salah & Zhu, You, 2023. "Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Nie, Chun-Xiao & Song, Fu-Tie, 2019. "Global Rényi index of the distance matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 902-915.
- Chun-Xiao Nie & Fu-Tie Song, 2021. "Entropy of Graphs in Financial Markets," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1149-1166, April.
- Qifa Xu & Liukai Wang & Cuixia Jiang & Fu Jia & Lujie Chen, 2022. "Tail dependence network of new energy vehicle industry in mainland China," Annals of Operations Research, Springer, vol. 315(1), pages 565-590, August.
- Xinxin Xu & Sheng Ma & Ziqiang Zeng, 2019. "Complex network analysis of bilateral international investment under de-globalization: Structural properties and evolution," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-16, April.
- Wang, Ze & Gao, Xiangyun & Tang, Renwu & Liu, Xueyong & Sun, Qingru & Chen, Zhihua, 2019. "Identifying influential nodes based on fluctuation conduction network model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 355-369.
- Li, Jianping & Li, Jingyu & Zhu, Xiaoqian & Yao, Yinhong & Casu, Barbara, 2020. "Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Li, Jingyu & Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian, 2019. "Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
- Liu, Hao & Gao, Ya-Chun, 2019. "The impact of corporate lifecycle on Fama–French three-factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 390-398.
- Li, Yan & Jiang, Xiong-Fei & Tian, Yue & Li, Sai-Ping & Zheng, Bo, 2019. "Portfolio optimization based on network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 671-681.
- Wang, Luo-Qing & Xu, Yong-Xiang, 2018. "Distribution of individual status in the invisibility similarity network of new social strata in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 426-434.
- Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
- Wen, Danyan & Ma, Chaoqun & Wang, Gang-Jin & Wang, Senzhang, 2018. "Investigating the features of pairs trading strategy: A network perspective on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 903-918.
- Cai, Meng & Wang, Wei & Cui, Ying & Stanley, H. Eugene, 2018. "Multiplex network analysis of employee performance and employee social relationships," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1-12.
- Yajie Yang & Longfeng Zhao & Lin Chen & Chao Wang & Jihui Han, 2021. "Portfolio optimization with idiosyncratic and systemic risks for financial networks," Papers 2111.11286, arXiv.org.
- Liang, Chao & Goodell, John W. & Li, Xiafei, 2024. "Impacts of carbon market and climate policy uncertainties on financial and economic stability: Evidence from connectedness network analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
- Foglia, Matteo & Addi, Abdelhamid & Angelini, Eliana, 2022. "The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness," Global Finance Journal, Elsevier, vol. 51(C).
- Wang, Gang-Jin & Xie, Chi & Wen, Danyan & Zhao, Longfeng, 2019. "When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin," Finance Research Letters, Elsevier, vol. 31(C).
- Jin Chen & Yue Chen & Wei Zhou, 2024. "Relation exploration between clean and fossil energy markets when experiencing climate change uncertainties: substitutes or complements?," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-17, December.
- Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).
- Zhao, Longfeng & Wang, Gang-Jin & Wang, Mingang & Bao, Weiqi & Li, Wei & Stanley, H. Eugene, 2018.
"Stock market as temporal network,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1104-1112.
- Longfeng Zhao & Gang-Jin Wang & Mingang Wang & Weiqi Bao & Wei Li & H. Eugene Stanley, 2017. "Stock market as temporal network," Papers 1712.04863, arXiv.org.
- Chen, Chuanglian & Zhou, Lichao & Sun, Chuanwang & Lin, Yuting, 2024. "Does oil future increase the network systemic risk of financial institutions in China?," Applied Energy, Elsevier, vol. 364(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).
- Linh H. Nguyen & Linh X. D. Nguyen & Linzhi Tan, 2021. "Tail risk connectedness between US industries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3624-3650, July.
- Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.
- Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo, 2022. "The impact of COVID-19 pandemic on the volatility connectedness network of global stock market," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
- Kalpakam G & Krina TRIVEDI, 2021. "Systemic Risk in Indian Banking: Measurement and Impact of COVID-19," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 143-151.
- Yizhuo Zhang & Rui Chen & Ding Ma, 2020. "A Weighted and Directed Perspective of Global Stock Market Connectedness: A Variance Decomposition and GERGM Framework," Sustainability, MDPI, vol. 12(11), pages 1-23, June.
- Chen, Yan & Mo, Dongxu & Xu, Zezhou, 2022. "A study of interconnections and contagion among Chinese financial institutions using a ΔCoV aR network," Finance Research Letters, Elsevier, vol. 45(C).
- Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).
- Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
- Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2024.
"Temporal networks and financial contagion,"
Journal of Financial Stability, Elsevier, vol. 71(C).
- Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2022. "Temporal networks in the analysis of financial contagion," Working Paper Series 2667, European Central Bank.
- Qicheng Zhao & Zhouwei Wang & Yuping Song, 2024. "Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 1137-1162, August.
- Chen, Wei & Hou, Xiaoli & Jiang, Manrui & Jiang, Cheng, 2022. "Identifying systemically important financial institutions in complex network: A case study of Chinese stock market," Emerging Markets Review, Elsevier, vol. 50(C).
- Yong Kheng Goh & Haslifah M Hasim & Chris G Antonopoulos, 2018. "Inference of financial networks using the normalised mutual information rate," PLOS ONE, Public Library of Science, vol. 13(2), pages 1-21, February.
- Ahmad, Wasim & Tiwari, Shiv Ratan & Wadhwani, Akshay & Khan, Mohammad Azeem & Bekiros, Stelios, 2023. "Financial networks and systemic risk vulnerabilities: A tale of Indian banks," Research in International Business and Finance, Elsevier, vol. 65(C).
- Chuangxia Huang & Xian Zhao & Renli Su & Xiaoguang Yang & Xin Yang, 2022. "Dynamic network topology and market performance: A case of the Chinese stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1962-1978, April.
- Yahya, Muhammad & Allahdadi, Mohammad Reza & Uddin, Gazi Salah & Park, Donghyun & Wang, Gang-Jin, 2024. "Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets," Finance Research Letters, Elsevier, vol. 59(C).
- 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).
- Naeem, Muhammad Abubakr & Nguyen, Thi Thu Ha & Karim, Sitara & Lucey, Brian M., 2023. "Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits," Finance Research Letters, Elsevier, vol. 58(PA).
- Jean-Baptiste Hasse, 2022.
"Systemic risk: a network approach,"
Empirical Economics, Springer, vol. 63(1), pages 313-344, July.
- 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," Post-Print hal-03740283, HAL.
- 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).
- 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.
- Stosic, Darko & Stosic, Dusan & Ludermir, Teresa B. & Stosic, Tatijana, 2018. "Collective behavior of cryptocurrency price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 499-509.
- Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
- Wang, Linyu & Ji, Yifan & Ni, Zhongxin, 2023. "Spillover of stock price crash risk: Do environmental, social and governance (ESG) matter?," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Lu, Shan & Zhao, Jichang & Wang, Huiwen & Ren, Ruoen, 2018. "Herding boosts too-connected-to-fail risk in stock market of China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 945-964.
- Longfeng Zhao & Chao Wang & Gang-Jin Wang & H. Eugene Stanley & Lin Chen, 2021. "Community detection and portfolio optimization," Papers 2112.13383, arXiv.org.
- Lavín, Jaime F. & Valle, Mauricio A. & Magner, Nicolás S., 2024. "Stock market pattern recognition using symbol entropy analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(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).
- Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," Working Papers halshs-02893780, HAL.
- Xu, Xiaoyue & Mi, Anran & Li, Xiuting & Li, Xuerong & Dong, Jichang, 2024. "Bad news travels fast: Network analysis of the Chinese housing market connectivity," China Economic Review, Elsevier, vol. 84(C).
- Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
- Tian, Sihua & Li, Shaofang & Gu, Qinen, 2023. "Measurement and contagion modelling of systemic risk in China's financial sectors: Evidence for functional data analysis and complex network," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Dai, Zhifeng & Tang, Rui & Zhang, Xiaotong, 2023. "A new multilayer network for measuring interconnectedness among the energy firms," Energy Economics, Elsevier, vol. 124(C).
- Deng, Chao & Su, Xiaojian & Wang, Gangjin & Peng, Cheng, 2022. "The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds' sectors," Economic Modelling, Elsevier, vol. 113(C).
- Wang, Gang-Jin & Chen, Yang-Yang & Si, Hui-Bin & Xie, Chi & Chevallier, Julien, 2021.
"Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions,"
International Review of Economics & Finance, Elsevier, vol. 73(C), pages 325-347.
- Gang-Jin Wang & Yang-Yang Chen & Hui-Bin Si & Chi Xie & Julien Chevallier, 2021. "Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions," Post-Print halshs-04250264, HAL.
- Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
- Deev, Oleg & Lyócsa, Štefan, 2020. "Connectedness of financial institutions in Europe: A network approach across quantiles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
- Fu Qiao & Yan Yan, 2020. "How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of China's stock market during the outbreak of COVID-19," Papers 2007.07487, arXiv.org.
- Feng, Yusen & Wang, Gang-Jin & Zhu, You & Xie, Chi, 2023. "Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries," Emerging Markets Review, Elsevier, vol. 55(C).
- 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.
- Wu, Fei & Zhang, Dayong & Zhang, Zhiwei, 2019. "Connectedness and risk spillovers in China’s stock market: A sectoral analysis," Economic Systems, Elsevier, vol. 43(3).
- Zhang, Yue-Jun & Ma, Shu-Jiao, 2019. "How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective," Energy Economics, Elsevier, vol. 84(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).
- Jin, Xiaoye, 2018. "Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach," Finance Research Letters, Elsevier, vol. 25(C), pages 202-212.
- Zhang, Junhuan, 2018. "Influence of individual rationality on continuous double auction markets with networked traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 353-392.
- Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
- Jian, Zhihong & Lu, Haisong & Zhu, Zhican & Xu, Huiling, 2023. "Frequency heterogeneity of tail connectedness: Evidence from global stock markets," Economic Modelling, Elsevier, vol. 125(C).
- Su, Zhi & Xu, Fuwei, 2021. "Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
- 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).
- 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.
- Foglia, Matteo & Addi, Abdelhamid & Wang, Gang-Jin & Angelini, Eliana, 2022. "Bearish Vs Bullish risk network: A Eurozone financial system analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
- 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).
- Nguyen, Linh Hoang & Lambe, Brendan John, 2021. "International tail risk connectedness: Network and determinants," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- Yu, Jia-Wei & Xie, Wen-Jie & Jiang, Zhi-Qiang, 2018. "Early warning model based on correlated networks in global crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1335-1343.
- Wang, Luo-Qing & Xu, Yong-Xiang, 2018. "Assessing the relevance of individual characteristics for the structure of similarity networks in new social strata in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 881-889.
- Maghyereh, Aktham & Abdoh, Hussein, 2024. "Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic," The Quarterly Review of Economics and Finance, Elsevier, vol. 96(C).
- Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2022. "Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis," Research in International Business and Finance, Elsevier, vol. 59(C).
- Huang, Chuangxia & Zhao, Xian & Deng, Yunke & Yang, Xiaoguang & Yang, Xin, 2022. "Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 81-94.
- Xin Yang & Shan Chen & Hong Liu & Xiaoguang Yang & Chuangxia Huang, 2023. "Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1201-1213, April.
- Zhang, Yan & Xu, Yushi & Zhu, Xintong & Huang, Jionghao, 2024. "Coal price shock propagation through sectoral financial interconnectedness in China's stock market: Quantile coherency network modelling and shock decomposition analysis," Journal of Commodity Markets, Elsevier, vol. 34(C).
- Syed Jawad Hussain Shahzad & Elie Bouri & Ladislav Kristoufek & Tareq Saeed, 2021. "Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-23, December.
- Zargar, Faisal Nazir & Mohnot, Rajesh & Hamouda, Foued & Arfaoui, Nadia, 2024. "Risk dynamics in energy transition: Evaluating downside risks and interconnectedness in fossil fuel and renewable energy markets," Resources Policy, Elsevier, vol. 92(C).
- Xi, Xian & Gao, Xiangyun & Zhou, Jinsheng & Zheng, Huiling & Ding, Jiazheng & Si, Jingjian, 2021. "Uncovering the impacts of structural similarity of financial indicators on stock returns at different quantile levels," International Review of Financial Analysis, Elsevier, vol. 76(C).
- Zhang, Weiping & Zhuang, Xintian & Lu, Yang, 2020. "Spatial spillover effects and risk contagion around G20 stock markets based on volatility network," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Liu, Bing-Yue & Fan, Ying & Ji, Qiang & Hussain, Nazim, 2022. "High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system," Energy Economics, Elsevier, vol. 105(C).
- Sudarshan Kumar & Tiziana Di Matteo & Anindya S. Chakrabarti, 2020. "Disentangling shock diffusion on complex networks: Identification through graph planarity," Papers 2001.01518, arXiv.org.
- 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).
- Wang, Minggang & Xu, Hua & Tian, Lixin & Eugene Stanley, H., 2018. "Degree distributions and motif profiles of limited penetrable horizontal visibility graphs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 620-634.
- Xu, Qiuhua & Yan, Haoyang & Zhao, Tianyu, 2022. "Contagion effect of systemic risk among industry sectors in China’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
- Foglia, Matteo & Angelini, Eliana, 2020. "From me to you: Measuring connectedness between Eurozone financial institutions," Research in International Business and Finance, Elsevier, vol. 54(C).
- Cho, Younghwan & Song, Jae Wook, 2023. "Hierarchical risk parity using security selection based on peripheral assets of correlation-based minimum spanning trees," Finance Research Letters, Elsevier, vol. 53(C).
- Chen, Bin-xia & Sun, Yan-lin, 2023. "Extreme risk contagion between international crude oil and China's energy-intensive sectors: New evidence from quantile Granger causality and spillover methods," Energy, Elsevier, vol. 285(C).
- Mohammed Bouaddi & Khouzeima Moutanabbir, 2022. "Systematic extreme potential gain and loss spillover across countries," Risk Management, Palgrave Macmillan, vol. 24(4), pages 327-366, December.
- Atasoy, Burak Sencer & Özkan, İbrahim & Erden, Lütfi, 2024. "The determinants of systemic risk contagion," Economic Modelling, Elsevier, vol. 130(C).
- Pacelli, Vincenzo & Miglietta, Federica & Foglia, Matteo, 2022. "The extreme risk connectedness of the new financial system: European evidence," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Fuwei Xu, 2024. "Modeling the Paths of China’s Systemic Financial Risk Contagion: A Ripple Network Perspective Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 47-73, January.
- Zhang, Weiping & Zhuang, Xintian & Lu, Yang & Wang, Jian, 2020. "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework," International Review of Financial Analysis, Elsevier, vol. 71(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).
- Zhang, Xingmin & Zhang, Shuai, 2021. "Optimal time-varying tail risk network with a rolling window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
- Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).
- Ku, Seungmo & Lee, Changju & Chang, Woojin & Wook Song, Jae, 2020. "Fractal structure in the S&P500: A correlation-based threshold network approach," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
- Li, Yanshuang & Zhuang, Xintian & Wang, Jian, 2021. "Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.