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Cited by 15 publications
(5 citation statements)
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References 27 publications
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“…Since the unfolding of the recent Russian ruble crisis leading to the dampening of global exports, investigations into the dynamic contemporaneous relationships between different markets have flourished (Demirer et al, 2018a;Capponi, 2016;Diebold et al, 2017;Diebold and Yilmaz, 2015;Diebold and Yılmaz, 2014;Yilmaz et al, 2018;Demirer et al, 2018c;Liu et al, 2017;Malik and Xu, 2017;Vergote, 2016;Badshah, 2018;Liow, 2015;Andrada-Félix et al, 2018;Ghulam and Doering, 2017;Chiang et al, 2017;Badshah, 2018). We complement these studies by investigating the dynamics in a multi-cluster representation.…”
Section: Dynamic Analysismentioning
confidence: 96%
“…Since the unfolding of the recent Russian ruble crisis leading to the dampening of global exports, investigations into the dynamic contemporaneous relationships between different markets have flourished (Demirer et al, 2018a;Capponi, 2016;Diebold et al, 2017;Diebold and Yilmaz, 2015;Diebold and Yılmaz, 2014;Yilmaz et al, 2018;Demirer et al, 2018c;Liu et al, 2017;Malik and Xu, 2017;Vergote, 2016;Badshah, 2018;Liow, 2015;Andrada-Félix et al, 2018;Ghulam and Doering, 2017;Chiang et al, 2017;Badshah, 2018). We complement these studies by investigating the dynamics in a multi-cluster representation.…”
Section: Dynamic Analysismentioning
confidence: 96%
“…A large base of theoretical literature on financial crises places cross-country channels at the centre stage of explaining spill-over and contagion effects (Forbes and Chinn, 2004;Brutti and Sauré, 2016;Efthymios et al, 2016;Ghulam and Doering, 2018;Kim and Lee, 2019). In the empirical literature investigating the transmission mechanisms of economic crises, two important propagation channels have been identified.…”
Section: Transmission Channelsmentioning
confidence: 99%
“…In terms of systemic risk, although the financial markets in Europe (Ghulam & Doering, 2018; Shahzad, Van Hoang, & Arreola‐Hernandez, 2018) and the United States (Billio et al, 2012) have been intensively studied, sparse studies have made efforts on exploring the Chinese market, despite the critical roles of the Chinese financial sector in fueling the country's economic growth and its international importance to systemic risk in the global market. Amongst extant literature focusing on inter‐connectedness and systemic risk in the Chinese financial system, Wang, Jiang, Lin, Xie, and Stanley (2018) construct a dynamic tail‐event driven network (Härdle, Wang, & Yu, 2016) to calculate CoVaR and study the topological features of the network.…”
Section: Literature Reviewmentioning
confidence: 99%