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banking, insurance, systemic risk
electricity markets, Australia, rebidding
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asset backed securities, subprime mortgages, financial crisis, factor models, Kalman Filter
Flight-to-safety, Flight-to-quality, Mutual excitation in jumps, High frequency data, Stock-bond comovement
Structural VECM Models, Term Premium, Crisis
Global financial crisis, financial contagion, financial markets
Contagion, Structural GARCH, Global Financial Crisis
network, sovereign debt, financial institutions, systemic risk, contagion
Historical decomposition, DY Spillover, Granger Causality, Networks
monetary policy, central banks, latent factor model
Systemic risk; MES; ΔCoVaR; industrial firms; financial crises
Dutch Disease, Australia, China, SVAR, Historical Decomposition, Empirical Steady-State Gap
trend-cycle decomposition, data revision, state-space form
data revisions, state-space models, Kalman filter, Kalman smoother, trend-cycle decomposition
China, SVAR, convergence, catch-up
portfolio diversification, high frequency, realized variance, realized correlation
Asian markets, financial crises, network
Chinese resource demand, SVAR, multivariate historical decomposition, commodity demand shock, commodity supply shock
Sovereign bonds, Debt crisis, Banking crisis, Eurozone, Markov-switching VAR
Factor model, Crisis transmission, Jumps, High frequency data
Exchange rate risk, firm value, European firms
systematic risk, jumps, equity risk premium, high-frequency data
Asian markets, financial crises, networks
Global financial crisis, financial contagion, banking institutions, asset pricing, GARCH
