Financial contagion risk and the stochastic discount factor

This publication has 64 references indexed in Scilit:

• CoVaR
  American Economic Review, 2016
• The Global Crisis and Equity Market Contagion
  The Journal of Finance, 2014
• Financial Intermediaries and the Cross‐Section of Asset Returns
  The Journal of Finance, 2014
• Procyclical Leverage and Value-at-Risk
  The Review of Financial Studies, 2013
• Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
  The Review of Financial Studies, 2012
• Rollover Risk and Market Freezes
  The Journal of Finance, 2011
• Measuring Systemic Risk
  2010
• The Cross‐Section of Volatility and Expected Returns
  The Journal of Finance, 2006
• Illiquidity and stock returns: cross-section and time-series effects
  Journal of Financial Markets, 2002
• Financial Contagion
  Journal of Political Economy, 2000