This article presents an analysis of the literature on systemic financial risk. To that end, we
analyze and classify 266 articles that were published no later than September 2016 in the …

We propose an alternative measure of system-wide connectedness to the popular
generalized spillover index, based on generalized forecast error variance decompositions …

We model a large panel of time series as a vector autoregression where the autoregressive
matrices and the inverse covariance matrix of the system innovations are assumed to be …

Gaussian graphical models (GGM; partial correlation networks) have become increasingly
popular in the social and behavioral sciences for studying conditional (in) dependencies …

There are diverging results in the literature on whether engaging in ESG related activities
increases or decreases the financial and systemic risks of firms. In this study, we explore …

We investigate the changing integration of Asian financial markets within the global financial
network from 1995 to 2016, incorporating the direction of links between markets, the …

This study seeks to explore the impact of corporate environmental responsibility (CER) on
idiosyncratic volatility contagion. We first adopt the general dynamic factor model to extract …

The Australian financial sector (AFS) is highly concentrated and interconnected. Besides,
Australian banks' lending portfolios are dominated by residential mortgage loans, and 70 …

The recent global financial crisis has triggered a huge interest in the use of network
concepts and network tools to better understand how instabilities can propagate through the …

Network analysis is becoming a fundamental tool in the study of systemic risk and financial
contagion in the banking sector. Still, the network structure must typically be estimated from …