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 examine co-movement between the green bond and financial markets, finding that the
green bond market couples with corporate and treasury bond markets and weakly co-moves …

Unlike previous studies, we employ a relatively newer modelling technique—a time-varying
copula with a switching dependence—to characterise the conditional dependence between …

This study combines the variational mode decomposition (VMD) method and static and time-
varying symmetric and asymmetric copula functions to examine the dependence structure …

This study introduces two novel metrics that calculate the degree of shock asymmetry which
can be utilized to examine whether countries in a currency area face symmetric shocks. In …

We study the relationship between climate change and financial systemic risk. First, we test
whether, to what extent and how quickly the systemic risk of US banking and insurance …

In this study, we examine the potential roles of gold and crude oil as safe-haven assets
against extreme down movements in clean energy stock indices. We employ copulas on …

This paper investigates the dynamic dependence and risk spillover between BRICS stock
returns and different types of oil shocks, combining the Structural VAR model and time …

This study employs dynamic connectedness as a measure of financial risk synchronization
considering government bond yields in 11 EMU member states. In particular, large values of …

In this paper, we explore the dynamics of the return connectedness among major commodity
assets (crude oil, gold and corn) and financial assets (stock, bond and currency) in China …