Acharya, V. Engle, R. & Richardson, M. (2012). Capital shortfall: A new approach to ranking and regulating systemic risks. American Economic Review, 102: 59-64.
Acharya, V. V. Pedersen, L. H. Philippon, T. & Richardson, M. (2017). Measuring systemic risk. The Review of Financial Studies, 30: 2-47.
Adrian, T. & Brunnermeier, M. (2011). CoVar. NBER Working Paper, No. 17454.
Andre, C. Gabauer, D. & Gupta, R. (2021). Time-varying spillovers between housing sentiment and housing market in the United States.
Finance Research Letters, 42,
doi: 10.1016/j.frl.2021.101925
Antonakakis, N. Chatziantoniou, I. & Filis, G. (2017). Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest. International Review of Financial Analysis, 50: 1-26.
Antonakakis, N. Chatziantoniou, I. & Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4): 84.
Balcilar, M. Gabauer, D. & Umar, Z. (2022). Crude oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach.
Resources Policy, 73, doi:
10.1016/j.resourpol.2021.102219
Benoit, S. Colliard, J.E. Hurlin, C. & Pérignon, C. (2017). Where the risks lie: A survey on systemic risk. Review of Finance, 21: 109-152.
Billio, M. Getmansky, M. Lo, A. W. & Pelizzon, L. (2012). Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of Financial Economics, 104: 535-559.
Bisias, D. Flood, M. Lo, A. W. & Valavanis, S. (2012). A Survey of systemic risk analytics. Annual Review of Financial Economics, 4 (4): 255-296.
Bouri, E. Gabauer, D. Gupta, R., & Tiwari, A.K. (2021). Volatility connectedness of major cryptocurrencies: The role of investor happiness.
Journal of Behavioral Experimental Finance 30, doi:
10.1016/j.jbef.2021.100463.
Broadstock, D., Chatziantoniou, I., Gabauer, D. (2020). Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity. Working paper.
Bui, H.Q. Tran, T. Pham, T.T. Nguyen, H.L. & Vo, D.H. (2022). Market volatility and spillover across 24 sectors in Vietnam. Cogent Economics & Finance, 10 (1): 1-20.
Candelon, B. & Tokpavi, S. (2016). A Nonparametric test for granger causality in distribution with application to financial contagion. Journal of Business & Economic Statistics, 34: 240-253.
Chatziantoniou, I. & Gabauer, D. (2021). EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness. The Quarterly Review of Economics and Finance, 79:1–14.
Chatziantoniu, I. Gabauer, D. & Marfatia, H.A. (2021). Dynamic connectedness and spillovers across sectors: evidence from the Indian stock market. Scottish Journal of Political Economy, 69 (3): 283-300.
Choi, S. Y. (2022). Dynamic volatility between Industries in the US stock market: evidence from the COVID-19 pandemic and black monday.
The North American Journal of Economics and Finance, 59, doi:
10.1016/j.najef.2021.101614
Christoffersen, P., Errunza, V., Jacobs, K., and Jin, X. (2014). Correlation Dynamics and International Diversification Benefits. International Journal of Forecasting, 30(3):807–824.
Corsi, F. Lillo, F. Pirino, D. & Trapin, L. (2018). Measuring the propagation of financial distress with Granger-causality tail risk networks. Journal of Financial Stability, 38: 18-36.
Diebold, F.X. & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. Economic Journal, 119: 158–171.
Diebold, F.X. & Yilmaz, K. (2012). Better to give than to receive: predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1): 57–66.
Diebold, F.X. & Yilmaz, K. (2014). On the network topology of variance decompositions: measuring the connectedness of financial firms. Journal of Econometrics, 182: 119–134.
Dornbusch, R. Park, Y. C. & Claessens, S. (2000). Contagion: understanding how it spreads. The World Bank Research Observer, 15: 177-197.
Ederington, L. H. (1979). The Hedging Performance of the New Futures Markets. Journal of Finance, 34(1): 157–170.
Engle, R.F. & Kelly, B.T. (2012). Dynamic equicorrelation. Journal of Business and Economics Statistics, 30: 212-228.
European Central Bank (ECB) (2010). Financial networks and financial stability. Financial Stability Review, 2010, 155–160.
Ewing, B. T. (2002). The transmission of shocks among S&P indexes. Applied Financial Economics, 12: 285-290.
Ewing, B. T. Forbes, S. M. & Payne, J. E. (2003). The effects of macroeconomic shocks on sector-specific returns. Applied Economics, 35: 201-207.
Fassas, A.P., Siriopoulos, C. (2019). Intraday price discovery and volatility spillovers in an emerging market. International Review of Economics and Finance, 59: 333–346.
Financial Stability Board, (2010). Reducing the moral hazard posed by systemically important financial institutions. http://www.fsb.org/wpcontent/uploads/r_101111a.pdf?page_moved=1.
Glasserman, P. & Young, H. P. (2016). Contagion in financial networks. Journal of Economic Literature, 54: 779-831.
Hong, Y. Liu, Y. & Wang, S. (2009). Granger causality in risk and detection of extreme risk spillover between financial markets. Journal of Econometrics, 150: 271-287
Huang, W.-Q. & Wang, D. (2018). A return spillover network perspective analysis of Chinese financial institutions’ systemic importance. Physica A: Statistical Mechanics and its Applications, 509: 405-421.
Ji, Q. Zhang, D. & Geng, J.B. (2018). Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets. Journal of Cleaner Production, 198: 972-978.
Jung, R.C. & Maderitsch, R. (2014). Structural breaks in volatility spillovers between international financial markets: Contagion or Mere Interdependence? Journal of Banking & Finance, 47: 331–342.
Keshtkar Tiola, E., Gholizadeh, M.H., & Aghajan Nashtaei, R. (2023). Modeling the effects of the behavioral biases of investors in Tehran Stock Exchange in hetrogenous agent model and its optimization. Journal of Securities Exchange, 16(61), 241-260 (In Persian).
Koop, G. Pesaran, M. H. & Potter, S. M. (1996). Impulse response analysis in non-linear multivariate models. Journal of Econometrics, 74: 119–147.
Laborda, R. & Olmo, J. (2021). Volatility spillover between economic sectors in financial crisis prediction: evidence spanning the great financial crisis and COVID-19 pandemic.
Research in International Business and Finance, 57, doi:
10.1016/j.ribaf.2021.101402.
Mensi, W. Nekhili, R. Vo, X.V., Suleman, T. Kang, S. H. (2020). Asymmetric volatility connectedness among U.S. stock sectors”, North American Journal of Economics & Finance: 21(3): 291-306.
Pesaran, M. H. & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58: 17–29.
Mohajeri, P. & Taleblou, R. (2021).Investigating the dynamics of volatility spillovers across sector’s returns utilizing a time-varying parameter vector autoregressive connectedness approach; evidence from Iranian stock market. Economic Research, 57(2), 321-356 (In Persian).
Ranjeeni, K. (2014). Sectoral and industrial performance during a stock market crisis. Economic Systems, 38: 178-193.
Rodríguez-Moreno, M. & Peña, J. I. (2013). Systemic risk measures: The simpler the better? Journal of Banking & Finance, 37: 1817-1831.
Sedunov, J. (2016). What is the systemic risk exposure of financial institutions? Journal of Financial Stability, 24: 71-87.
Sewraj, D., Gebka, B. & Anderson, R. D. (2018). Identifying contagion: A unifying approach. Journal of International Financial Markets, Institutions and Money. 55: 224-240.
Shahzad, S. J. H. Mensi, W. Hammoudeh, S., Rehman, M. U. & Al-Yahyaee, K. H. (2018). Extreme dependence and risk spillovers between oil and Islamic stock markets. Emerging Markets Review, 34: 42-63.
Shen, Y.Y. Jiang, Z.Q. Ma J.C. Wang, G.J. & Zhou, W.X. (2022). Sector connectedness in the Chinese stock markets. Empirical Economics, 62(2): 825–852.
Silva, W. Kimura, H. & Sobreiro, V. A. (2017). An analysis of the literature on systemic financial risk: A survey. Journal of Financial Stability, 28: 91-114.
Taleblou, R. & Mohajeri, P. (2023). Modeling the Daily Volatility of Oil, Gold, Dollar, Bitcoin and Iranian Stock Markets: An Emprical Application of a Nonlinear Space State Model. Iranian Economic Review, 27(3), 1033-1063.
Taleblou, R. & Mohajeri, P. (2021). Connectedness and risk spillovers in Iranian Stock market: using TVP-VAR in a Sectrol Analysis. Econometric Modeling, 7(3), 95-125 (In Persian).
Taleblou, R. & Mohajeri, P. (2021). Modeling the volatility of Iranian asset markets using factor multivariate stochastic volatility model. Econometric Modeling, 6(3), 63-96 (In Persian).
Taleblou, R. & Mohajeri, P. (2021). Modeling the transmission of volatility in the Iranian stock markets; space-state nonlinear approach. Economic Research, 55(4), 963-990 (In Persian).
Tohidi, M. & Fereydooni, M.M. (2022). Measuring the effect of noise trading on price volatility in Tehran Stock Exchange. Journal of Securities Exchange, 15(60), 325-350 (In Persian).
Tiwari, AK. Aikins Abakah, E. Gabauer, D. & Dwumfour, RA. (2022). Green bond, renewable energy stocks and carbon price: dynamic connectedness, hedging and investment strategies during COVID-19 pandemic. Global Finance Journal. 51(3), doi: 10.1016/j.gfj.2021.100692.
Wang, G.J. Xie, C. He, K. & Stanley, H. E. (2017). Extreme risk spillover network: application to financial institutions. Quantitative Finance, 17: 1417-1433.
Yin, K. Liu, Z. & Jin, X. (2020). Interindustry volatility spillover effects in China’s stock market.
Physica A: Statistical Mechanics and its Applications, 539 (1), doi:
10.1016/j.physa.2019.122936.
Zhang, D. (2017). Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. Energy Economics, 62: 323-333.
Zhang, D. & Broadstock, D. C. (2018). Global financial crisis and rising connectedness in the international commodity markets.
International Review of Financial Analysis.
doi: 10.1016/j.irfa.2018.08.003.
Zhang, D. Lei, L. Ji, Q. & Kutan, A. M. (2018). Economic policy uncertainty in the US and China and their impact on the global markets. Economic Modelling. doi: 10.1016/j.econmod.2018.09.028.
Zhang, D. Shi, M. & Shi, X. (2018). Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade. Energy Economics, 69: 33-41.
