For each component in the diffusion matrix of a d-dimensional diffusion process, we propose a test for the parametric specification of this component. Overall, d(d−1)/2 t[...]

We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to a common [...]

The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of ti[...]

When contagion is defined as a significant increase in market comovement after a shock to one country, we propose a test for financial contagion based on a nonparametric [...]

Based on a new approach for measuring the comovements between stock market returns, we provide a new test for the null hypothesis of symmetric comovements in the sense th[...]

The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: C[...]

In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the fina[...]

This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregressio[...]

Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock mar[...]

The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that [...]