We develop a new technique to estimate vector autoregressions with a common factor error
structure by quantile regression. We apply our technique to study credit risk spillovers …

We investigate the changing integration of Asian financial markets within the global financial
network from 1995 to 2016, incorporating the direction of links between markets, the …

This paper analyzes the cross-border risks that could result from a decarbonization of the
world economy. We develop a typology of cross-border risks and their respective channels …

This study combines conditional Granger causality and network analysis to examine the
interconnectedness in the European sovereign credit default swap (CDS) market. We …

Financial institutions have become increasingly interconnected. How does such financial
interconnectedness affect the operation of financial institutions? This study aims to answer …

This study establishes time–frequency networks of sovereign and bank contagion in the
eurozone over the period 2009–2021. By applying discrete wavelet transformation, daily …

We propose a novel risk measure that is built on comparing high-frequency time-varying
volatility and low-frequency return spillover estimates. This measure permits to identify the …

This study examines if the source of uncertainty (newspaper, Twitter, financial market)
matters in its impact on bank stock returns in the United States. By applying discrete wavelet …

We study volatility spillovers between the corporate sector's and Latin American countries'
CDS. Daily data from 14 October 2006 to 23 August 2021 are employed. Spillovers are …

We investigate the information content of stock correlation based network measures for
systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European …