- Aastveit, K.A. ; Bjørnland, H.C. ; Cross, J.L. Inflation expectations and the pass-through of oil prices. 2021 Rev. Econ. Stat.. 1-26
Paper not yet in RePEc: Add citation now
Abadie, A. Bootstrap tests for distributional treatment effects in instrumental variable models. 2002 J. Am. Stat. Assoc.. 97 284-292
Adams, Z. ; Füss, R. ; Gropp, R. Spillover effects among financial institutions: a state-dependent sensitivity value-at-risk approach. 2014 J. Financ. Quant. Anal.. 49 575-598
- Adrian, T. ; Brunnermeier, M.K. CoVaR. 2016 Am. Econ. Rev.. 106 1705-1741
Paper not yet in RePEc: Add citation now
Almeida, C. ; Czado, C. ; Manner, H. Modeling high-dimensional time-varying dependence using dynamic D-vine models. 2016 Appl. Stoch. Models Bus. Ind.. 32 621-638
- Aloui, R. ; Aïssa, M.S.B. ; Nguyen, D.K. Global financial crisis, extreme interdependences, and contagion effects: the role of economic structure?. 2011 J. Bank. Finance. 35 130-141
Paper not yet in RePEc: Add citation now
Amihud, Y. Illiquidity and stock returns: cross-section and time-series effects. 2002 J. Financ. Mark.. 5 31-56
Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. ; Labys, P. Modeling and forecasting realized volatility. 2003 Econometrica. 71 579-625
Andrews, D.W. Tests for parameter instability and structural change with unknown change point. 1993 Econometrica. 821-856
Audrino, F. ; Tetereva, A. Sentiment spillover effects for US and European companies. 2019 J. Bank. Finance. 106 542-567
Baur, D.G. ; Lucey, B.M. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. 2010 Financ. Rev.. 45 217-229
Baur, D.G. ; McDermott, T.K. Is gold a safe haven? International evidence. 2010 J. Bank. Finance. 34 1886-1898
Beckmann, J. ; Berger, T. ; Czudaj, R. Gold price dynamics and the role of uncertainty. 2019 Quant. Finance. 19 663-681
Bekaert, G. ; Ehrmann, M. ; Fratzscher, M. ; Mehl, A. The global crisis and equity market contagion. 2014 J. Finance. 69 2597-2649
Bekaert, G. ; Harvey, C.R. ; Ng, A. Market integration and contagion. 2005 J. Bus.. 78 39-70
Bekiros, S. ; Boubaker, S. ; Nguyen, D.K. ; Uddin, G.S. Black swan events and safe havens: the role of gold in globally integrated emerging markets. 2017 J. Int. Money Financ.. 73 317-334
Bernal, O. ; Gnabo, J.Y. ; Guilmin, G. Assessing the contribution of banks, insurance and other financial services to systemic risk. 2014 J. Bank. Finance. 47 270-287
Blatt, D. ; Candelon, B. ; Manner, H. Detecting contagion in a multivariate time series system: an application to sovereign bond markets in Europe. 2015 J. Bank. Finance. 59 1-13
Borri, N. Conditional tail-risk in cryptocurrency markets. 2019 J. Empir. Finance. 50 1-19
Borri, N. Local currency systemic risk. 2018 Emerg. Mark. Rev.. 34 111-123
Brière, M. ; Chapelle, A. ; Szafarz, A. No contagion, only globalization and flight to quality. 2012 J. Int. Money Financ.. 31 1729-1744
Candelon, B. ; Tokpavi, S. A nonparametric test for granger causality in distribution with application to financial contagion. 2016 J. Bus. Econ. Stat.. 34 240-253
Capie, F. ; Mills, T.C. ; Wood, G. Gold as a hedge against the dollar. 2005 J. Int. Financ. Mark. Inst. Money. 15 343-352
Chan, K. ; Yang, J. ; Zhou, Y. Conditional co-skewness and safe-haven currencies: a regime switching approach. 2018 J. Empir. Finance. 48 58-80
Cheng, X. ; Chen, H. ; Zhou, Y. Is the renminbi a safe-haven currency? Evidence from conditional coskewness and cokurtosis. 2021 J. Int. Money Financ.. 113 -
Christoffersen, P. ; Errunza, V. ; Jacobs, K. ; Langlois, H. Is the potential for international diversification disappearing? A dynamic copula approach. 2012 Rev. Financ. Stud.. 25 3711-3751
Christoffersen, P. ; Jacobs, K. ; Jin, X. ; Langlois, H. Dynamic dependence and diversification in corporate credit. 2018 Rev. Finance. 22 521-560
- Çolak, G. ; Öztekin, Ö. The impact of COVID-19 pandemic on bank lending around the world. 2021 J. Bank. Finance. 133 -
Paper not yet in RePEc: Add citation now
Creal, D. ; Koopman, S.J. ; Lucas, A. Generalized autoregressive score models with applications. 2013 J. Appl. Econom.. 28 777-795
- Czado, C. ; Schepsmeier, U. ; Min, A. Maximum likelihood estimation of mixed C-vines with application to exchange rates. 2012 Stat. Model.. 12 229-255
Paper not yet in RePEc: Add citation now
- Czech, R. ; Huang, S. ; Lou, D. ; Wang, T. Unintended consequences of holding dollar assets. 2022 :
Paper not yet in RePEc: Add citation now
Dungey, M. ; Gajurel, D. Contagion and banking crisis–international evidence for 2007–2009. 2015 J. Bank. Finance. 60 271-283
Dungey, M. ; Milunovich, G. ; Thorp, S. ; Yang, M. Endogenous crisis dating and contagion using smooth transition structural GARCH. 2015 J. Bank. Finance. 58 71-79
Engle, R.F. ; Lee, G.G. A permanent and transitory component model of stock return volatility. 1999 En : Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W.J. Granger. Oxford University Press: Oxford
Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 J. Financ. Econ.. 33 3-56
Fama, E.F. ; French, K.R. The cross-section of expected stock returns. 1992 J. Finance. 47 427-465
Fan, Y. ; Härdle, W.K. ; Wang, W. ; Zhu, L. Single-index-based CoVaR with very high-dimensional covariates. 2018 J. Bus. Econ. Stat.. 36 212-226
Ferson, W.E. ; Harvey, C.R. The variation of economic risk premiums. 1991 J. Polit. Econ.. 99 385-415
Fong, T.P.W. ; Wong, A.Y. Gauging potential sovereign risk contagion in Europe. 2012 Econ. Lett.. 115 496-499
- Forbes, K.J. ; Rigobon, R. No contagion, only interdependence: measuring stock market comovements. 2002 J. Finance. 57 2223-2261
Paper not yet in RePEc: Add citation now
- Girardi, G. ; Ergün, A.T. Systemic risk measurement: multivariate GARCH estimation of CoVaR. 2013 J. Bank. Finance. 37 3169-3180
Paper not yet in RePEc: Add citation now
- Guidotti, E. A worldwide epidemiological database for COVID-19 at fine-grained spatial resolution. 2022 Sci. Data. 9 112-
Paper not yet in RePEc: Add citation now
- Guiso, L. ; Sapienza, P. ; Zingales, L. Time varying risk aversion. 2018 J. Financ. Econ.. 128 403-421
Paper not yet in RePEc: Add citation now
Hafner, C.M. ; Manner, H. Dynamic stochastic copula models: estimation, inference and applications. 2012 J. Appl. Econom.. 27 269-295
Han, Q. ; Liang, J. Index futures trading restrictions and spot market quality: evidence from the recent Chinese stock market crash. 2017 J. Futures Mark.. 37 411-428
Hanspal, T. ; Weber, A. ; Wohlfart, J. Exposure to the COVID-19 stock market crash and its effect on household expectations. 2021 Rev. Econ. Stat.. 103 994-1010
Hu, J. ; Wang, T. ; Hu, W. ; Tong, J. The impact of trading restrictions and margin requirements on stock index futures. 2020 J. Futures Mark.. 40 1176-1191
- Jaffe, J.F. Gold and gold stocks as investments for institutional portfolios. 1989 Financ. Anal. J.. 45 53-59
Paper not yet in RePEc: Add citation now
John, K. ; Li, J. COVID-19, volatility dynamics, and sentiment trading. 2021 J. Bank. Finance. 133 -
Joy, M. Gold and the US dollar: hedge or haven?. 2011 Finance Res. Lett.. 8 120-131
Kaplanski, G. ; Levy, H. Sentiment and stock prices: the case of aviation disasters. 2010 J. Financ. Econ.. 95 174-201
Kiyotaki, N. ; Moore, J. Balance-sheet contagion. 2002 Am. Econ. Rev.. 92 46-50
Levine, R. ; Lin, C. ; Tai, M. ; Xie, W. How did depositors respond to COVID-19?. 2021 Rev. Financ. Stud.. 34 5438-5473
Li, S. ; Lucey, B.M. Reassessing the role of precious metals as safe havens–what colour is your haven and why?. 2017 J. Commod. Mark.. 7 1-14
Lin, L. Bank deposits and the stock market. 2020 Rev. Financ. Stud.. 33 2622-2658
Longin, F. ; Solnik, B. Extreme correlation of international equity markets. 2001 J. Finance. 56 649-676
- Mainik, G. ; Schaanning, E. On dependence consistency of CoVaR and some other systemic risk measures. 2014 Stat. Risk. Model.. 31 49-77
Paper not yet in RePEc: Add citation now
Mensi, W. ; Hammoudeh, S. ; Shahzad, S.J.H. ; Shahbaz, M. Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method. 2017 J. Bank. Finance. 75 258-279
Michaelides, A. ; Milidonis, A. ; Nishiotis, G.P. Private information in currency markets. 2019 J. Financ. Econ.. 131 643-665
Michaelides, A. ; Milidonis, A. ; Nishiotis, G.P. ; Papakyriakou, P. The adverse effects of systematic leakage ahead of official sovereign debt rating announcements. 2015 J. Financ. Econ.. 116 526-547
Patton, A.J. A review of copula models for economic time series. 2012 J. Multivar. Anal.. 110 4-18
Pericoli, M. ; Sbracia, M. A primer on financial contagion. 2003 J. Econ. Surv.. 17 571-608
Reboredo, J.C. Is gold a safe haven or a hedge for the US dollar? Implications for risk management. 2013 J. Bank. Finance. 37 2665-2676
Reboredo, J.C. ; Rivera-Castro, M.A. ; Ugolini, A. Downside and upside risk spillovers between exchange rates and stock prices. 2016 J. Bank. Finance. 62 76-96
Reboredo, J.C. ; Ugolini, A. Systemic risk in European sovereign debt markets: a CoVaR-copula approach. 2015 J. Int. Money Financ.. 51 214-244
Reinhart, C.M. ; Rogoff, K.S. This Time Is Different. 2009 Princeton University Press: Princeton
Rodriguez, J.C. Measuring financial contagion: a copula approach. 2007 J. Empir. Finance. 14 401-423
Sjaastad, L.A. ; Scacciavillani, F. The price of gold and the exchange rate. 1996 J. Int. Money Financ.. 15 879-897
Støve, B. ; Tjøstheim, D. ; Hufthammer, K.O. Using local Gaussian correlation in a nonlinear re-examination of financial contagion. 2014 J. Empir. Finance. 25 62-82
Wang, K.M. ; Lee, Y.M. ; Thi, T.B.N. Time and place where gold acts as an inflation hedge: an application of long-run and short-run threshold model. 2011 Econ. Model.. 28 806-819
Weiß, G.N. ; Supper, H. Forecasting liquidity-adjusted intraday value-at-risk with vine copulas. 2013 J. Bank. Finance. 37 3334-3350
Yang, Z. ; Zhou, Y. Quantitative easing and volatility spillovers across countries and asset classes. 2017 Manag. Sci.. 63 333-354