1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.GN2020★ 1 cited
Dynamic Network Risk
Jozef Barunik, Michael Ellington
This paper examines the pricing of short-term and long-term dynamic network risk in the cross-section of stock returns. Stocks with high sensitivities to dynamic network risk earn…
econ.EM2020★ 1 cited
Persistence in Financial Connectedness and Systemic Risk
Jozef Barunik, Michael Ellington
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoo…