Banking sectors across the globe are under immense stress due to the evolving COVID-19
situation and policy responses thereto. This study investigates how COVID-19 impacted the …

The outbreak of the 2007–2009 financial crisis and of the European sovereign debt crisis
again raised questions about the vulnerability and the behaviour of banking institutions. The …

This paper investigates the systemic risk spillovers and connectedness in the sectoral tail
risk network of Chinese stock market, and explores the transmission mechanism of systemic …

We propose multilayer information spillover networks, including return spillover layer,
volatility spillover layer, and extreme risk spillover layer in the variance decomposition …

We propose interconnected networks through the network VAR model, which can
simultaneously investigate the risk connectedness of intra-and inter-layer. Using the …

This paper shows how sectors in the Chinese stock market are connected and investigates
risk spillovers across these sectors. Using graph theory and a recently developed time …

We propose multilayer networks in the frequency domain, including the short-term, medium-
term, and long-term layers, to investigate the extreme risk connectedness among financial …

This article investigates the volatility connectedness of the Eurozone banking system over
the last 15 years (from 2005 to 2020). Applying the Diebold-Yilmaz Connectedness Index …

In this paper, we investigate China's changing financial interconnectedness via the
presence of Granger-causality between firm level factors (Leverage, Market To Book Value …

This paper studies the multiscale features of extreme risk spillover among global stock
markets over various time–frequency horizons. We propose multiscale risk spillover indexes …