Abdel-Latif, H. and El-Gamal, M. (2020). Financial liquidity, geopolitics, and oil prices. Energy Economics, 87:104482.
Alodayni, S. (2016). Oil prices, credit risks in banking systems, and macro-financial linkages across gcc oil exporters. International Journal of Financial Studies, 4(4):23.
Amaya, D., Christoffersen, P., Jacobs, K., and Vasquez, A. (2015). Does realized skewness predict the cross-section of equity returns? Journal of Financial Economics, 118(1):135–167.
Andersen, T. G. and Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review, 39(4):885–905.
Antonakakis, N., Chatziantoniou, I., and Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4):84.
Apergis, N. (2023). Realized higher-order moments spillovers across cryptocurrencies. Journal of International Financial Markets, Institutions and Money, 85:101763.
Badarau, C. and Lapteacru, I. (2020). Bank risk, competition and bank connectedness with firms: A literature review. Research in International Business and Finance, 51:101017.
- Balcilar, M., Gabauer, D., and Umar, Z. (2021). Crude oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 73:102219.
Paper not yet in RePEc: Add citation now
Billio, M., Getmansky, M., Lo, A. W., and Pelizzon, L. (2012). Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of financial economics, 104(3):535–559.
Bluhm, M. and Krahnen, J. P. (2014). Systemic risk in an interconnected banking system with endogenous asset markets. Journal of Financial Stability, 13:75–94.
Bollerslev, T. and Zhou, H. (2006). Volatility puzzles: a simple framework for gauging return-volatility regressions. Journal of Econometrics, 131(1-2):123–150.
- Bouri, E., Lei, X., Jalkh, N., Xu, Y., and Zhang, H. (2021). Spillovers in higher moments and jumps across us stock and strategic commodity markets. Resources Policy, 72:102060.
Paper not yet in RePEc: Add citation now
Bouri, E., Lei, X., Xu, Y., and Zhang, H. (2023). Connectedness in implied higher-order moments of precious metals and energy markets. Energy, 263:125588.
- Butzbach, O. (2016). Systemic risk, macro-prudential regulation and organizational diversity in banking. Policy and Society, 35(3):239–251.
Paper not yet in RePEc: Add citation now
Caloia, F. G., Cipollini, A., and Muzzioli, S. (2019). How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study. Energy Economics, 84:104536.
Chatziantoniou, I., Gabauer, D., and Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204:109891.
Cui, J. and Maghyereh, A. (2023). Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective. Journal of Commodity Markets, 30:100323.
- Daumas, L. (2023). Financial stability, stranded assets and the low-carbon transition–a critical review of the theoretical and applied literatures. Journal of Economic Surveys.
Paper not yet in RePEc: Add citation now
Demirer, M., Diebold, F. X., Liu, L., and Yilmaz, K. (2018). Estimating global bank network connectedness. Journal of Applied Econometrics, 33(1):1–15.
Diebold, F. X. and Yılmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1):57–66.
Diebold, F. X. and Yılmaz, K. (2014a). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of econometrics, 182(1):119–134.
- Diebold, F. X. and Yılmaz, K. (2014b). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182(1):119–134.
Paper not yet in RePEc: Add citation now
- Dittmar, R. F. (2002). Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns. The Journal of Finance, 57(1):369–403.
Paper not yet in RePEc: Add citation now
Fang, H. and Lai, T.-Y. (1997). Co-kurtosis and capital asset pricing. Financial Review, 32(2):293–307.
- Gabauer, D. (2022). Connectedness Approach. R package version 1.0.0. Gabauer, D., Chatziantoniou, I., and Stenfors, A. (2023). Model-free connectedness measures. Finance Research Letters.
Paper not yet in RePEc: Add citation now
Gabauer, D. and Gupta, R. (2018). On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. Economics Letters, 171:63–71.
Gilje, E. P. (2019). Does local access to finance matter? evidence from us oil and natural gas shale booms. Management Science, 65(1):1–18.
Greenwood-Nimmo, M., Nguyen, V. H., and Rafferty, B. (2016). Risk and return spillovers among the g10 currencies. Journal of Financial Markets, 31:43–62.
Hale, G. (2012). Bank relationships, business cycles, and financial crises. Journal of International Economics, 88(2):312–325.
Härdle, W. K., Wang, W., and Yu, L. (2016). Tenet: Tail-event driven network risk. Journal of Econometrics, 192(2):499–513.
Harvey, C. R. and Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of finance, 55(3):1263–1295.
He, X. and Hamori, S. (2021). Is volatility spillover enough for investor decisions? A new viewpoint from higher moments. Journal of International Money and Finance, 116:102412.
He, Z. and Krishnamurthy, A. (2019). A macroeconomic framework for quantifying systemic risk. American Economic Journal: Macroeconomics, 11(4):1–37.
Hwang, S. and Satchell, S. E. (1999). Modelling emerging market risk premia using higher moments. International Journal of Finance & Economics, 4(4):271–296.
Jang, J. and Kang, J. (2017). An intertemporal capm with higher-order moments. The North American Journal of Economics and Finance, 42:314–337.
Koop, G. and Korobilis, D. (2013). Large time-varying parameter VARs. Journal of Econometrics, 177(2):185–198.
Koop, G. and Korobilis, D. (2014). A new index of financial conditions. European Economic Review, 71:101–116.
Koop, G., Pesaran, M. H., and Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1):119–147.
Kraus, A. and Litzenberger, R. H. (1976). Skewness preference and the valuation of risk assets. The Journal of finance, 31(4):1085–1100.
Kurov, A. and Stan, R. (2018). Monetary policy uncertainty and the market reaction to macroeconomic news. Journal of Banking & Finance, 86:127–142.
- Lastrapes, W. D. and Wiesen, T. F. (2021). The joint spillover index. Economic Modelling, 94:681–691.
Paper not yet in RePEc: Add citation now
Luo, J. and Ji, Q. (2018). High-frequency volatility connectedness between the us crude oil market and china’s agricultural commodity markets. Energy Economics, 76:424–438.
Martellini, L. and Ziemann, V. (2010). Improved estimates of higher-order comoments and implications for portfolio selection. The Review of Financial Studies, 23(4):1467–1502.
Merton, R. C. (1980). On estimating the expected return on the market: An exploratory investigation. Journal of financial economics, 8(4):323–361.
- Mirzaei, A. and Moore, T. (2016). Banking performance and industry growth in an oilrich economy: Evidence from qatar. The Quarterly Review of Economics and Finance, 60:58–69.
Paper not yet in RePEc: Add citation now
Nasim, A., Ullah, S., Kim, J. R., and Hameed, A. (2023). Energy shocks and bank efficiency in emerging economies. Energy Economics, 126:107005.
Nekhili, R., Mensi, W., Vo, X. V., and Kang, S. H. (2024). Dynamic spillover and connectedness in higher moments of european stock sector markets. Research in International Business and Finance, 68:102164.
Pesaran, H. H. and Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1):17–29.
Qadan, M. and Nama, H. (2018). Investor sentiment and the price of oil. energy economics, 69:42–58.
- Razmi, S. F., Behname, M., Bajgiran, B. R., and Razmi, S. M. J. (2020). The impact of us monetary policy uncertainties on oil and gas return volatility in the futures and spot markets. Journal of Petroleum Science and Engineering, 191:107232.
Paper not yet in RePEc: Add citation now
Tonzer, L. (2015). Cross-border interbank networks, banking risk and contagion. Journal of Financial Stability, 18:19–32.
- Umar, M., Ji, X., Mirza, N., and Rahat, B. (2021). The impact of resource curse on banking efficiency: Evidence from twelve oil producing countries. Resources Policy, 72:102080.
Paper not yet in RePEc: Add citation now
Urban, M. A. and Wójcik, D. (2019). Dirty banking: Probing the gap in sustainable finance. Sustainability, 11(6):1745.
- Wang, G.-J., Feng, Y., Xiao, Y., Zhu, Y., and Xie, C. (2022). Connectedness and systemic risk of the banking industry along the belt and road. Journal of Management Science and Engineering, 7(2):303–329.
Paper not yet in RePEc: Add citation now
Wang, T. (2021). Local banks and the effects of oil price shocks. Journal of Banking & Finance, 125:106069.
Wu, F., Zhang, D., and Ji, Q. (2021). Systemic risk and financial contagion across top global energy companies. Energy Economics, 97:105221.
Zhang, Y.-J. and Li, S.-H. (2019). The impact of investor sentiment on crude oil market risks: Evidence from the wavelet approach. Quantitative Finance, 19(8):1357–1371.
- Zhang, Y., Li, Y., Zhao, W., and Ji, Q. (2023). Climate risk performance and returns integration of chinese listed energy companies. Energy Economics, page 107272.
Paper not yet in RePEc: Add citation now