Concepedia

Measuring systemic risk contribution of global stock markets: A dynamic tail risk network approach

Ze Wang, Xiangyun Gao, Shupei Huang, Qingru Sun, Zhihua Chen, Renwu Tang, Zengru Di

International Review of Financial Analysis · 2022 · 40 citations · 82 references

Concepts

ManagementFinanceRisk ManagementFinancial EconomicsFinancial MarketsFinancial Risk ManagementCapital MarketsFinancial RiskMarket RiskRisk MeasurementRisk-return AnalysisSystemic RiskGlobal Capital MarketsSystemic Risk ForecastingSystemic Risk IdentificationSystemic Risk IndicatorsSystemic Risk ModelingTail RiskTail Risk Modeling

References

82

The Twin Crises: The Causes of Banking and Balance-of-Payments Problems

Graciela Kaminsky, Carmen Reinhart · American Economic Review · 1999 · 5K citations

Social Sciences, Economics, Banking +9

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations

Engineering, Mathematics, Statistical Modeling +16

A simple model of global cascades on random networks

Duncan J. Watts · Proceedings of the National Academy of Sciences · 2002 · 2.7K citations

Engineering, Organization Studies, Collective Behavior +16

Tobias Adrian, Markus K. Brunnermeier · American Economic Review · 2016 · 2.3K citations

Computing, Visualization, Human-computer Interaction +16

Value and Momentum Everywhere

Clifford S. Asness, Tobias J. Moskowitz, Lasse Heje Pedersen · The Journal of Finance · 2013 · 2.2K citations · Full text

Business, Economics, Finance +17