Extreme risk spillover effects in world gold markets and the global financial crisis

GJ Wang, C Xie, ZQ Jiang, HE Stanley - International Review of Economics …, 2016 - Elsevier
Using the approach of Granger causality in risk, we investigate extreme risk spillover effects
among four major world gold markets (London, New York, Tokyo and Shanghai) before and …

Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China

Y Li, X Zhuang, J Wang - The North American Journal of Economics and …, 2021 - Elsevier
This article uses the stock market regional indexes of 31 provinces (include Province-level
municipalities and Minority Autonomous Regions) in mainland China as a sample, and …

Measuring Systemic Risk Using Multivariate Quantile-Located ES Models

L Garcia-Jorcano… - Journal of Financial …, 2023 - academic.oup.com
We examine the tail systemic risk between the global financial system and financial
institutions that belong to different industry groups. Our main contribution is the development …

Bond Spreads, Market Integration and Contagion in the 2007-2008 Crisis

JY Kim, DH Ahn, EY Ko - Seoul Journal of Economics, 2017 - papers.ssrn.com
Yield spreads on sovereign bonds represent market expectations for the economic
performance of issuing countries. In the international financial market, yield spreads also …