Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks

Acharya, 2014, A pyrrhic victory? Bank bailouts and sovereign credit risk, J. Financ., 69, 2689, 10.1111/jofi.12206 Alter, 2014, The dynamics of spillover effects during the European sovereign debt turmoil, J. Bank. Financ., 42, 134, 10.1016/j.jbankfin.2014.01.030 Bai, 2017, Property rights and CDS spreads: When is there a strong transfer risk from the sovereigns to the corporates?, Quart. J. Financ., 7, 1, 10.1142/S2010139217500136 Bekaert, 2014, The VIX, the variance premium and stock market volatility, J. Econometrics, 10.1016/j.jeconom.2014.05.008 Billio, 2012, Econometric measures of connectedness and systemic risk in the finance and insurance sectors, J. Financ. Econ., 104, 535, 10.1016/j.jfineco.2011.12.010 Blanco, 2005, An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps, J. Finance, 60, 2255, 10.1111/j.1540-6261.2005.00798.x Bollerslev, 2009, Expected stock returns and variance risk premia, Rev. Financ. Stud., 22, 4463, 10.1093/rfs/hhp008 Brüggemann, 2016, Inference in VARs with conditional heteroskedasticity of unknown form, J. Econometrics, 191, 69, 10.1016/j.jeconom.2015.10.004 Buse, 2019, Measuring connectedness of euro area sovereign risk, Int. J. Forecast., 35, 25, 10.1016/j.ijforecast.2018.07.010 Chatterjee, 2010, Asymptotic properties of the residual bootstrap for lasso estimators, Proc. Amer. Math. Soc., 138, 4497, 10.1090/S0002-9939-2010-10474-4 Chatterjee, 2011, Bootstrapping LASSO estimators, J. Amer. Statist. Assoc., 106, 608, 10.1198/jasa.2011.tm10159 Corsi, 2009, A simple approximate long memory model of realized volatility, J. Financ. Econometr., 7, 174, 10.1093/jjfinec/nbp001 Demirer, 2018, Estimating global bank network connectedness, J. Appl. Econometr., 33, 1, 10.1002/jae.2585 Diebold, 2009, Measuring financial asset return and volatility spillovers, with application to global equity markets, the Economic Journal, 119, 158, 10.1111/j.1468-0297.2008.02208.x Diebold, 2014, On the network topology of variance decompositions: measuring the connectedness of financial firms, Journal of Econometrics, 182, 119, 10.1016/j.jeconom.2014.04.012 Feldstein, 2012, The failure of the euro: the little currency that couldn’t, Foreign Aff., January/February 2012 Furman, 2014 Garratt, 2006 Greenwood-Nimmo, 2019, Financial sector bailouts, sovereign bailouts and the transfer of credit risk, J. Financ. Mark., 42, 121, 10.1016/j.finmar.2018.11.001 Greenwood-Nimmo, 2016, Risk and return spillovers among the G10 currencies, J. Financ. Mark., 31, 43, 10.1016/j.finmar.2016.05.001 Greenwood-Nimmo, 2012, Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework, J. Appl. Econometrics, 27, 554, 10.1002/jae.1208 Greenwood-Nimmo, 2017 Greenwood-Nimmo, 2019, Quantifying informational linkages in a global model of currency spot markets Gyntelberg, 2018, Price discovery in euro area sovereign credit markets and the ban on naked CDS, J. Bank. Financ., 96, 106, 10.1016/j.jbankfin.2018.08.008 2008 Laeven, 2013, Systemic banking crises database, IMF Econ. Rev., 61, 225, 10.1057/imfer.2013.12 Longstaff, 2011, How sovereign is sovereign credit risk?, Amer. Econ. J.: Macroecon., 3, 75 Lütkepohl, 1990, Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models, Review of Economics and Statistics, 72, 116, 10.2307/2109746 Pelizzon, 2016, Sovereign credit risk, liquidity, and European central bank intervention: Deus ex machina?, J. Financ. Econ., 122, 86, 10.1016/j.jfineco.2016.06.001 Pesaran, 1998, Generalized impulse response analysis in linear multivariate models, Econ. Lett., 58, 17, 10.1016/S0165-1765(97)00214-0 Song, 2011 Tibshirani, 1996, Regression shrinkage and selection via the lasso, J. R. Statist. Soc. Ser. B, 58, 267 Zou, 2006, The adaptive LASSO and its oracle properties, J. Amer. Statist. Soc., 101, 1418, 10.1198/016214506000000735