Granger causality in risk and detection of extreme risk spillover between financial markets
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Cites work
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 88834 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1987697 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A causality-in-variance test and its application to financial market prices
- A test for volatility spillover with application to exchange rates
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Causality in temporal systems. Characterizations and a Survey
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Financial econometrics: Past developments and future challenges
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Modelling the persistence of conditional variances
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Regression Quantiles
- Safety First and the Holding of Assets
- Stochastic Comparison of Tests
- Testing for independence between two covariance stationary time series
- Volatility and Links between National Stock Markets
Cited in
(18)- Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
- Multilayer information spillover networks: measuring interconnectedness of financial institutions
- Measuring network systemic risk contributions: a leave-one-out approach
- Examining interconnectedness between media attention and cryptocurrency markets: a transfer entropy story
- Extreme risk spillover network: application to financial institutions
- A practical multivariate approach to testing volatility spillover
- New nonparametric measures for instantaneous and granger-causality tail co-dependence
- Testing for Granger-causality in quantiles
- Persistence-robust surplus-lag Granger causality testing
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Granger causality using Jacobian in neural networks
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- Unveiling the relation between herding and liquidity with trader lead-lag networks
- Portfolio rebalancing model using multiple criteria
- On the equivalence between the kinetic Ising model and discrete autoregressive processes
- A consistent nonparametric test for causality in quantile
- Granger causality test in quantiles and conditional VaR estimation of continuously rising and falling returns
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