Financial network connectedness and systemic risk during the COVID-19 pandemic

DOI10.1007/S10690-021-09340-WMaRDI QIDQ2166079zbMATH OpenOpenAlexFDO

Authors Mike K. P. So, Lupe S. H. Chan, Amanda M. Y. Chu

Publication date 23 August 2022

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10690-021-09340-w

zbMATH Keywords

Granger causalityfinancial contagionnetwork densitypandemic networkrisk analytics

Mathematics Subject Classification ID

Financial markets (91G15) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• Contagion in financial networks
• Modeling and forecasting the spread and death rate of coronavirus (COVID-19) in the world using time series models
• Networks
• Risk estimation via regression

Cited in

(12)

• Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness
• Exchange rate and stock prices volatility connectedness and spillover during pandemic induced-crises: evidence from BRICS countries
• Quantitative estimation of the impact of COVID-19 on China's bank loan risk
• The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach
• COVID-19 and market expectations: evidence from option-implied densities
• COVID-19 and credit risk: a long memory perspective
• Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries
• Analysis of impact of Covid-19 pandemic on financial markets
• scientific article; zbMATH DE number 7701195 (Why is no real title available?)
• Flight from COVID-19: multiscale and multilayer analyses of the epidemic-induced network adaptations
• Contagion effects among stock markets, treasury bill, petroleum, gold, and cryptocurrency during the COVID-19 pandemic: a dynamic conditional correlation approach
• Stochastic actor-oriented modelling of the impact of COVID-19 on financial network evolution

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