1. Systemic risk in the US: Interconnectedness as a circuit breaker. (2018). Luciani, Matteo ; Dungey, Mardi ; Veredas, David.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:71:y:2018:i:c:p:305-315.

   Full description at Econpapers || Download paper

2. Liquidity Pricing of Illiquid Assets. (2018). Marcato, Gianluca.
   In: ERES.
   RePEc:arz:wpaper:eres2018_215.

   Full description at Econpapers || Download paper

3. International Trade Finance and Exports: Evidence from Korean Bank-Intermediated Trade Finance Instruments. (2017). Hwang, Sangyeon ; Im, Hyejoon.
   In: Open Economies Review.
   RePEc:kap:openec:v:28:y:2017:i:2:d:10.1007_s11079-016-9423-y.

   Full description at Econpapers || Download paper

4. Do Islamic and Conventional Banks Really Differ? A Panel Data Statistical Analysis. (2016). JAWADI, Fredj ; Cheffou, Abdoulkarim Idi.
   In: Open Economies Review.
   RePEc:kap:openec:v:27:y:2016:i:2:d:10.1007_s11079-015-9373-9.

   Full description at Econpapers || Download paper

5. The role of U.S. subprime mortgage-backed assets in propagating the crisis:contagion or interdependence?. (2015). Sheenan, Lisa ; Flavin, Thomas.
   In: Economics Department Working Paper Series.
   RePEc:may:mayecw:n260-15.pdf.

   Full description at Econpapers || Download paper

6. The role of U.S. subprime mortgage-backed assets in propagating the crisis: Contagion or interdependence?. (2015). Sheenan, Lisa ; Flavin, Thomas.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:34:y:2015:i:c:p:167-186.

   Full description at Econpapers || Download paper

7. Open-economy Distribution Forecast Targeting, Macroeconomic Volatility and Financial Implication. (2014). Milas, Costas ; Hasan, Iftekhar ; Flamini, Alessandro.
   In: DEM Working Papers Series.
   RePEc:pav:demwpp:080.

   Full description at Econpapers || Download paper

8. Ranking Systemically Important Financial Institutions. (2012). Luciani, Matteo ; Dungey, Mardi ; Veredas, David.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20120115.

   Full description at Econpapers || Download paper

9. Ranking systemically important financial institutions. (2012). Luciani, Matteo ; Dungey, Mardi ; Veredas, David.
   In: Working Papers.
   RePEc:tas:wpaper:15473.

   Full description at Econpapers || Download paper

1. Bauwens L, Laurent S, Rombouts JVK (2006) Multivariate GARCH models: a survey. J Appl Econ 21:79–109.

2. Benmelech E, Dlugosz J (2009) The alchemy of CDO credit ratings. J Monet Econ 56:617–634.

3. Bhansali V, Gingrich R, Longstaff F (2008) Systemic credit risk: what is the market telling us? Financ Anal J 64:16–24.
   Paper not yet in RePEc: Add citation now
   

4. Brennan MJ, Hein J, Poon S (2009) Tranching and rating. Eur Financ Manag 15:891–922.

5. Brunnermeier MK (2009) Deciphering the 2007–08 liquidity and credit crunch. J Econ Perspect 23:77–100.

6. Chiesa G (2008) Optimal credit risk transfer, monitored finance, and banks. J Financ Intermed 17:464–477.

7. Classens S, Dell’Ariccia G, Igan D, Laeven L (2010) Lessons and policy implications from the global financial crisis. International Monetary Fund working paper WP/10/44.

8. Coval J, Jurek J, Stafford E (2009) The economics of structured finance. J Econ Perspect 23:3–25.

9. DeMarzo P (2005) The pooling and tranching of securities: a model of informed intermediation. Rev Financ Stud 18:1–35.

10. Demyanyk Y, Van Hemert O (2011) Understanding the subprime mortgage crisis. Rev Financ Stud 24:1848–1880.

11. Diebold FX, Nerlove M (1989) The dynamics of exchange rate volatility: a multivariate latent-factor ARCH model. J Appl Econ 4:1–22.

12. Dungey M, Martin VL (2007) Unravelling financial market linkages during crises. J Appl Econ 22:89–119.

13. Dungey M, Pagan A, Martin VL (2000) A multivariate latent factor decomposition of international bond yield spreads. J Appl Econ 15:697–715.

14. Dwyer GP, Tkac P (2009) The financial crisis of 2008 in fixed income markets. J Int Money Finance 28:1293–1316.

15. Dwyer GP, Tkac P (2011) The financial crisis of 2008 and subprime securities. In: Kolb RW (ed) Financial contagion: the viral threat to the wealth of nations. John Wiley & Sons Inc, New York, pp 229–36.
    Paper not yet in RePEc: Add citation now
    

16. Eichengreen B, Mody A, Nedeljkovic M, Sarno L (2009) How the subprime crisis went global: evidence from bank credit default swap spreads. National Bureau of Economic Research working paper 14904.

17. Fender I, Scheicher M (2009) The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices. Appl Financ Econ 19:1925–1945.

18. Gorton G (2009) Information, liquidity and the (ongoing) panic of 2007. Am Econ Rev 99:567–72.

19. Hu J (2007) Assessing the credit risk of CDOs backed by structured finance securities: rating analysts’ challenges and solutions. Accessed at http://ssrn.com/abstract=1011184 on July 25, 2012.
    Paper not yet in RePEc: Add citation now
    

20. Longstaff FA (2010) The subprime mortgage credit crisis and contagion in financial markets. J Financ Econ 97:436–50.

21. Longstaff FA, Myers B (2009) Valuing toxic assets: an analysis of CDO equity. National Bureau of Economic Research working paper 14871.

22. Longstaff FA, Rajan A (2008) An empirical analysis of the pricing of collateralized debt obligations. J Finance 63:529–563.

23. Lumsdaine RL (1996) Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH(1,1) and covariance stationary GARCH(1,1) models. Econometrica 64:575–96.

24. Mian A, Sufi A (2009) The consequences of mortgage credit expansion: evidence from the 2007 mortgage default crisis. Q J Econ 124:1449–1496.

25. Silvennoinen A, Teräsvirta T et al (2008) In: Anderson TG et al (eds) Multivariate GARCH models. Springer-Verlag, Berlin, pp 201–229.

26. Smithson C (2009) Valuing “hard-to-value” assets and liabilities: notes on valuing structured credit products. J Appl Financ 2:1–12.
    Paper not yet in RePEc: Add citation now
    

27. Zhang J, Sanning LW, Shaffer S (2010) Market efficiency test in the VIX futures market. CAMA working paper 8/2010.

1. Proxy-identification of a structural MGARCH model for asset returns. (2024). Polivka, Jeannine ; Fengler, Matthias.
   In: Economics Working Paper Series.
   RePEc:usg:econwp:2021:03.

   Full description at Econpapers || Download paper

2. Forecasting Covariance Matrices: A Mixed Approach. (2016). Voev, Valeri ; Halbleib, Roxana.
   In: Journal of Financial Econometrics.
   RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

   Full description at Econpapers || Download paper

3. Long memory dynamics for multivariate dependence under heavy tails. (2014). Lucas, Andre ; Koopman, Siem Jan ; Janus, Pawel.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:29:y:2014:i:c:p:187-206.

   Full description at Econpapers || Download paper

4. Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect. (2013). Adams, Zeno ; Gluck, Thorsten.
   In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
   RePEc:zbw:vfsc13:79949.

   Full description at Econpapers || Download paper

5. A latent dynamic factor approach to forecasting multivariate stock market volatility. (2013). Gribisch, Bastian.
   In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
   RePEc:zbw:vfsc13:79823.

   Full description at Econpapers || Download paper

6. Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?. (2013). Bhanumurthy, N R ; Ahmad, Wasim ; Sehgal, Sanjay.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:33:y:2013:i:c:p:209-225.

   Full description at Econpapers || Download paper

7. Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact. (2011). .
   In: Computational Economics.
   RePEc:kap:compec:v:37:y:2011:i:3:p:301-330.

   Full description at Econpapers || Download paper

8. Model based Monte Carlo pricing of energy and temperature quanto options. (2010). Torro, Hipolit ; Caporin, Massimiliano ; Pres, Juliusz .
   In: MPRA Paper.
   RePEc:pra:mprapa:25538.

   Full description at Econpapers || Download paper

9. EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry. (2008). Oberndorfer, Ulrich .
   In: ZEW Discussion Papers.
   RePEc:zbw:zewdip:7382.

   Full description at Econpapers || Download paper

10. Particle Filters for Markov-Switching Stochastic-Correlation Models. (2008). Casarin, Roberto ; amisano, gianni.
    In: Working Papers.
    RePEc:ubs:wpaper:0814.

    Full description at Econpapers || Download paper

11. Volatility and VaR forecasting in the Madrid Stock Exchange. (2008). Ñíguez Grau, Trino ; Iguez, Trino-Manuel.
    In: Spanish Economic Review.
    RePEc:spr:specre:v:10:y:2008:i:3:p:169-196.

    Full description at Econpapers || Download paper

12. Analytical quasi maximum likelihood inference in multivariate volatility models. (2008). Hafner, Christian ; Herwartz, Helmut.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:67:y:2008:i:2:p:219-239.

    Full description at Econpapers || Download paper

13. Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2008). Caporin, Massimiliano ; Kasch, Maria .
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0065.

    Full description at Econpapers || Download paper

14. Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model. (2008). Conrad, Christian ; Karanasos, Menelaos.
    In: KOF Working papers.
    RePEc:kof:wpskof:08-189.

    Full description at Econpapers || Download paper

15. Overestimation in the Traditional GARCH Model During Jump Periods. (2008). Cheng, Wan-Hsiu.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08c30068.

    Full description at Econpapers || Download paper

16. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Zaffaroni, Paolo ; Schleicher, Christoph ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2231.

    Full description at Econpapers || Download paper

17. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Zaffaroni, Paolo ; Schleicher, Christoph ; Pesaran, Mohammad.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0808.

    Full description at Econpapers || Download paper

18. Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study. (2008). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
    In: Working Papers.
    RePEc:awi:wpaper:0472.

    Full description at Econpapers || Download paper

19. Multivariate stochastic volatility using state space models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:0802.0223.

    Full description at Econpapers || Download paper

20. Modelling and Forecasting Multivariate Realized Volatility. (2008). Voev, Valeri ; Halbleib, Roxana.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-39.

    Full description at Econpapers || Download paper

21. Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-06.

    Full description at Econpapers || Download paper

22. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-05.

    Full description at Econpapers || Download paper

23. Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance. (2007). Golosnoy, Vasyl ; Herwartz, Helmut.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:5903.

    Full description at Econpapers || Download paper

24. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model. (2007). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0652.

    Full description at Econpapers || Download paper

25. Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model. (2007). Teräsvirta, Timo ; Nakatani, Tomoaki ; Terasvirta, Timo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0649.

    Full description at Econpapers || Download paper

26. Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados. (2007). Gomez, Karoll ; Portilla, Karoll Gomez.
    In: Revista de Economía del Rosario.
    RePEc:col:000151:004425.

    Full description at Econpapers || Download paper

27. Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution. (2007). Pesaran, Mohammad.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0734.

    Full description at Econpapers || Download paper

28. Multivariate normal mixture GARCH. (2006). Mittnik, Stefan ; Haas, Markus ; PAOLELLA, MARC S..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200609.

    Full description at Econpapers || Download paper

29. An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model. (2006). Vargas, Gregorio.
    In: MPRA Paper.
    RePEc:pra:mprapa:189.

    Full description at Econpapers || Download paper

30. A local dynamic conditional correlation model. (2006). Feng, Yuanhua.
    In: MPRA Paper.
    RePEc:pra:mprapa:1592.

    Full description at Econpapers || Download paper

31. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. (2006). Pramor, Marcus ; Tamirisa, Natalia T.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2006/206.

    Full description at Econpapers || Download paper

32. Does Oil Price Uncertainty Transmit to Stock Markets?. (2006). Ågren, Martin.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2006_023.

    Full description at Econpapers || Download paper

33. Sector diversification during crises: a European perspective. (2006). Szafarz, Ariane ; Beine, Michel ; Preumont, Pierre-Yves .
    In: DULBEA Working Papers.
    RePEc:dul:wpaper:06-07rs.

    Full description at Econpapers || Download paper

34. Multivariate mixed normal conditional heteroskedasticity. (2006). Rombouts, Jeroen ; Hafner, Christian ; Bauwens, Luc ; Luc, Bauwens.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006007.

    Full description at Econpapers || Download paper

35. Intra-Daily FX Optimal Portfolio Allocation. (2006). Ben Omrane, Walid ; Bauwens, Luc ; Erick, Rengifo ; Walid, BEN OMRANE ; Luc, Bauwens.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006005.

    Full description at Econpapers || Download paper

36. Una aproximación a la dinámica de las tasas de interés de corto plazo en Colombia a través de modelos GARCH multivariados. (2006). Melo-Velandia, Luis ; Becerra, Oscar ; oscar Reinaldo Becerra Camargo, .
    In: Borradores de Economia.
    RePEc:bdr:borrec:366.

    Full description at Econpapers || Download paper

37. Exchange rate exposure of stock returns at firm level. (2005). Premaratne, Gamini ; Jayasinghe, Prabhath.
    In: International Finance.
    RePEc:wpa:wuwpif:0503004.

    Full description at Econpapers || Download paper

38. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: Research Paper Series.
    RePEc:uts:rpaper:168.

    Full description at Econpapers || Download paper

39. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2005). Verbeek, Marno ; Rombouts, Jeroen.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:40.

    Full description at Econpapers || Download paper

40. Spatial effects in multivariate ARCH. (2005). Paruolo, Paolo ; Caporin, Massimiliano ; Massimiliano, Caporin.
    In: Economics and Quantitative Methods.
    RePEc:ins:quaeco:qf0501.

    Full description at Econpapers || Download paper

41. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0577.

    Full description at Econpapers || Download paper

42. Decomposing European bond and equity volatility. (2005). Christiansen, Charlotte.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2004-01.

    Full description at Econpapers || Download paper

43. Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management. (2005). Zaffaroni, Paolo ; Pesaran, Mohammad.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5279.

    Full description at Econpapers || Download paper

44. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2004). Verbeek, Marno ; Rombouts, Jeroen.
    In: Cahiers de recherche.
    RePEc:iea:carech:0414.

    Full description at Econpapers || Download paper

45. Temporal aggregation of multivariate GARCH processes. (2004). Hafner, Christian.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:538.

    Full description at Econpapers || Download paper

46. BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS. (2004). Rombouts, Jeroen ; Bauwens, Luc.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:370.

    Full description at Econpapers || Download paper

47. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:230.

    Full description at Econpapers || Download paper

48. A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets. (2004). den Goorbergh, Rob van.
    In: Working Papers.
    RePEc:dnb:dnbwpp:022.

    Full description at Econpapers || Download paper

49. Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Zaffaroni, Paolo ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1358.

    Full description at Econpapers || Download paper

50. Value-at-risk for long and short trading positions. (2003). Laurent, Sébastien ; Giot, Pierre.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:6:p:641-663.

    Full description at Econpapers || Download paper

Report date: 2025-09-22 14:26:08 || Missing content? Let us know