Systemic Contagion

DOI10.1080/07350015.2024.2394580MaRDI QIDQ6938216zbMATH OpenFDO

Authors Soon Heng Leong

Publication date 25 August 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2024.2394580

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A causality-in-variance test and its application to financial market prices
• A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion
• A practical multivariate approach to testing volatility spillover
• A test for volatility spillover with application to exchange rates
• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• Consistent Testing for Serial Correlation of Unknown Form
• Dynamic Conditional Correlation: On Properties and Estimation
• Financial Network Systemic Risk Contributions
• Granger causality in risk and detection of extreme risk spillover between financial markets
• HAR Inference: Recommendations for Practice
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Measuring network systemic risk contributions: a leave-one-out approach
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• TENET: tail-event driven network risk
• Testing for independence between two covariance stationary time series
• Where the risks lie: a survey on systemic risk

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