Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?

Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

(2016) Markku Lanne et al.   OXFORD BULLETIN OF ECONOMICS AND STATISTICS

Modelling the emergence of the interbank networks

(2015) Grzegorz Haᴌaj et al.   QUANTITATIVE FINANCE

On the network topology of variance decompositions: Measuring the connectedness of financial firms

(2014) Francis X. Diebold et al.   JOURNAL OF ECONOMETRICS

Expectations and systemic risk in EMU government bond spreads

(2014) Paolo Canofari et al.   QUANTITATIVE FINANCE

Does financial connectedness predict crises?

(2014) Camelia Minoiu et al.   QUANTITATIVE FINANCE

Interbank contagion and resolution procedures: inspecting the mechanism

(2014) E. Gaffeo et al.   QUANTITATIVE FINANCE

The multiplex structure of interbank networks

(2014) L. Bargigli et al.   QUANTITATIVE FINANCE

Filling in the blanks: network structure and interbank contagion

(2014) Kartik Anand et al.   QUANTITATIVE FINANCE

Dynamic Equicorrelation

(2012) Robert Engle et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS