{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,4,8]],"date-time":"2025-04-08T23:37:42Z","timestamp":1744155462135,"version":"3.37.3"},"reference-count":50,"publisher":"Springer Science and Business Media LLC","issue":"18","license":[{"start":{"date-parts":[[2020,2,24]],"date-time":"2020-02-24T00:00:00Z","timestamp":1582502400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"},{"start":{"date-parts":[[2020,2,24]],"date-time":"2020-02-24T00:00:00Z","timestamp":1582502400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Soft Comput"],"published-print":{"date-parts":[[2020,9]]},"DOI":"10.1007\/s00500-020-04772-4","type":"journal-article","created":{"date-parts":[[2020,2,24]],"date-time":"2020-02-24T13:06:52Z","timestamp":1582549612000},"page":"13871-13878","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Liquidity transmission and the subprime mortgage crisis: a multivariate GARCH approach"],"prefix":"10.1007","volume":"24","author":[{"given":"Ling","family":"Xiao","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Gurjeet","family":"Dhesi","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Eduard Gabriel","family":"Ceptureanu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Kevin","family":"Lin","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Claudiu","family":"Herteliu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Babar","family":"Syed","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8849-7960","authenticated-orcid":false,"given":"Sebastian Ion","family":"Ceptureanu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2020,2,24]]},"reference":[{"key":"4772_CR1","doi-asserted-by":"crossref","unstructured":"Adrian T, Shin H (2008) Liquidity and financial cycles. BIS working paper 256","DOI":"10.2139\/ssrn.1165583"},{"key":"4772_CR2","volume-title":"Understanding financial crises","author":"F Allen","year":"2006","unstructured":"Allen F, Gale D (2006) Understanding financial crises. Oxford University Press, Oxford"},{"issue":"45","key":"4772_CR3","doi-asserted-by":"crossref","first-page":"18338","DOI":"10.1073\/pnas.1213767109","volume":"109","author":"N Arinaminpathy","year":"2012","unstructured":"Arinaminpathy N, Kapadia S, May RM (2012) Size and complexity in model financial systems. Proc Natl Acad Sci 109(45):18338\u201318343","journal-title":"Proc Natl Acad Sci"},{"key":"4772_CR4","unstructured":"Baba Y, Engle RF, Kraft D, Kroner KF (1989) Multivariate simultaneous generalized ARCH. Unpublished manuscript, Department of Economics, University of California at San Diego"},{"key":"4772_CR5","doi-asserted-by":"crossref","first-page":"355","DOI":"10.1016\/j.physa.2015.07.011","volume":"438","author":"SR Bentes","year":"2015","unstructured":"Bentes SR (2015) Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: new evidence. Physica A Stat Mech Appl 438:355\u2013364","journal-title":"Physica A Stat Mech Appl"},{"issue":"8","key":"4772_CR6","doi-asserted-by":"crossref","first-page":"2566","DOI":"10.1016\/j.matcom.2008.12.011","volume":"79","author":"M Billio","year":"2009","unstructured":"Billio M, Caporin M (2009) A generalized dynamic conditional correlation model for portfolio risk evaluation. Math Comput Simul 79(8):2566\u20132578","journal-title":"Math Comput Simul"},{"key":"4772_CR7","doi-asserted-by":"crossref","first-page":"246","DOI":"10.1016\/j.jfs.2018.04.002","volume":"36","author":"M Bluhm","year":"2018","unstructured":"Bluhm M (2018) Persistent liquidity shocks and interbank funding. J Financ Stab 36:246\u2013262","journal-title":"J Financ Stab"},{"key":"4772_CR8","doi-asserted-by":"crossref","first-page":"367","DOI":"10.1007\/978-1-4757-3314-3_14","volume-title":"International financial contagion","author":"MD Bordo","year":"2001","unstructured":"Bordo MD, Murshid AP (2001) Are financial crises becoming more contagious? What is the historical evidence on contagion. In: Claessens S, Forbes KJ (eds) International financial contagion. Springer, Boston, pp 367\u2013403"},{"key":"4772_CR9","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1007\/978-3-319-12805-4_6","volume-title":"Complexity and geographical economics","author":"S Bougheas","year":"2015","unstructured":"Bougheas S, Kirman A (2015) Complex financial networks and systemic risk: a review. In: Commendatore P, Kayam S, Kubin I (eds) Complexity and geographical economics. Springer, Cham, pp 115\u2013139"},{"issue":"1","key":"4772_CR10","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1257\/jep.23.1.77","volume":"23","author":"MK Brunnermeier","year":"2009","unstructured":"Brunnermeier MK (2009) Deciphering the liquidity and credit crunch 2007\u20132008. J Econ Perspect 23(1):77\u2013100","journal-title":"J Econ Perspect"},{"issue":"4","key":"4772_CR11","first-page":"345","volume":"17","author":"M Burda","year":"2012","unstructured":"Burda M, Maheu JM (2012) Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models. Stud Nonlinear Dyn Econom 17(4):345\u2013372","journal-title":"Stud Nonlinear Dyn Econom"},{"issue":"4","key":"4772_CR12","doi-asserted-by":"crossref","first-page":"736","DOI":"10.1111\/j.1467-6419.2011.00683.x","volume":"26","author":"M Caporin","year":"2012","unstructured":"Caporin M, McAleer M (2012) Do we really need both BEKK and DCC? A tale of two multivariate GARCH models. J Econ Surv 26(4):736\u2013751","journal-title":"J Econ Surv"},{"key":"4772_CR13","doi-asserted-by":"crossref","first-page":"45","DOI":"10.1016\/j.physa.2014.10.097","volume":"429","author":"A Chakrabarty","year":"2015","unstructured":"Chakrabarty A, De A, Gunasekaran A, Dubey R (2015) Investment horizon heterogeneity and wavelet: overview and further research directions. Phys A 429:45\u201361","journal-title":"Phys A"},{"key":"4772_CR14","doi-asserted-by":"crossref","first-page":"116","DOI":"10.1016\/j.najef.2012.06.002","volume":"25","author":"CL Chang","year":"2013","unstructured":"Chang CL, McAleer M, Tansuchat R (2013) Conditional correlations and volatility spillovers between crude oil and stock index returns. North Am J Econ Finance 25:116\u2013138","journal-title":"North Am J Econ Finance"},{"issue":"9","key":"4772_CR15","doi-asserted-by":"crossref","first-page":"2072","DOI":"10.1016\/j.physa.2013.01.003","volume":"392","author":"A Constantinides","year":"2013","unstructured":"Constantinides A, Savelev SE (2013) Modelling price dynamics: a hybrid truncated Levy Flight-GARCH approach. Phys A 392(9):2072\u20132078","journal-title":"Phys A"},{"key":"4772_CR16","unstructured":"Cristescu, M. P. (2020). Tools used in modeling of the economic processes. KnE Social Sciences 141\u2013152"},{"key":"4772_CR17","unstructured":"Degryse H, Nguyen G (2004) Interbank exposures: an empirical examination of systemic risk in the Belgian banking system. National Bank of Belgium, Working Paper No. 43"},{"key":"4772_CR18","doi-asserted-by":"crossref","first-page":"367","DOI":"10.1111\/j.1538-4616.2011.00491.x","volume":"44","author":"G Dell\u2019Ariccia","year":"2008","unstructured":"Dell\u2019Ariccia G, Igan D, Laeven K (2008) Credit booms and lending standards: evidence from the subprime mortgage market. J Money Credit Bank 44:367\u2013384","journal-title":"J Money Credit Bank"},{"key":"4772_CR19","unstructured":"Demirguc-Kunt A, Baybars K, Luc L (2005) Deposit insurance around the world: a comprehensive database. World Bank Policy Research Working Paper 3628"},{"key":"4772_CR20","unstructured":"Ding Z, Engle R (2001) Large scale conditional covariance matrix modeling, estimation and testing. NYU Working Paper No. S-DRP-01-07"},{"issue":"3","key":"4772_CR21","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1198\/073500102288618487","volume":"20","author":"R Engle","year":"2002","unstructured":"Engle R (2002) Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J Bus Econ Stat 20(3):339\u2013350","journal-title":"J Bus Econ Stat"},{"issue":"1","key":"4772_CR22","doi-asserted-by":"crossref","first-page":"122","DOI":"10.1017\/S0266466600009063","volume":"11","author":"RF Engle","year":"1995","unstructured":"Engle RF, Kroner KF (1995) Multivariate simultaneous generalized arch. Econom Theory 11(1):122\u2013150","journal-title":"Econom Theory"},{"key":"4772_CR23","unstructured":"Engle RF, Sheppard K (2001) Theoretical and empirical properties and dynamic conditional correlation multivariate GARCH. University of California, San Diego, Department of Economics discussion paper 2001-15"},{"issue":"6","key":"4772_CR24","first-page":"507","volume":"59","author":"E Frank","year":"2009","unstructured":"Frank E, Hesse H (2009) Financial spillovers to emerging markets during the global financial crisis. Czech J Econ Finance 59(6):507\u2013521","journal-title":"Czech J Econ Finance"},{"key":"4772_CR25","unstructured":"Frank E, Gonzalez-Hermosillo B, Hesse H (2008) Transmission of liquidity shocks: evidence from the 2007 subprime crisis. IMF Working Paper, WP\/08\/200"},{"key":"4772_CR26","doi-asserted-by":"publisher","first-page":"113043","DOI":"10.1088\/1367-2630\/12\/11\/113043","volume":"12","author":"A Garas","year":"2010","unstructured":"Garas A, Argyrakis P, Rozenblat C, Tomassini M, Havlin S (2010) Worldwide spreading of economic crisis. New J Phys 12:113043. https:\/\/doi.org\/10.1088\/1367-2630\/12\/11\/113043","journal-title":"New J Phys"},{"issue":"23\u201324","key":"4772_CR27","doi-asserted-by":"crossref","first-page":"4304","DOI":"10.1016\/j.physa.2011.06.054","volume":"390","author":"S Ghosh","year":"2011","unstructured":"Ghosh S, Manimaran P, Panigrahi PK (2011) Characterizing multi-scale self-similar behavior and non-statistical properties of fluctuations in financial time series. Phys A 390(23\u201324):4304\u20134316","journal-title":"Phys A"},{"key":"4772_CR28","doi-asserted-by":"crossref","unstructured":"Hesse H, Frank N, Gonz\u00e1lez-Hermosillo MB (2008) Transmission of liquidity shocks: evidence from the 2007 subprime crisis. International Monetary Fund, No. 8\/200","DOI":"10.5089\/9781451870589.001"},{"issue":"11","key":"4772_CR29","doi-asserted-by":"crossref","first-page":"2529","DOI":"10.1016\/j.matcom.2011.04.003","volume":"81","author":"SC Huang","year":"2011","unstructured":"Huang SC (2011) Wavelet-based multi-resolution GARCH model for financial spillover effects. Math Comput Simul 81(11):2529\u20132539","journal-title":"Math Comput Simul"},{"key":"4772_CR30","doi-asserted-by":"crossref","first-page":"13","DOI":"10.1016\/j.physa.2015.03.059","volume":"434","author":"SP Huang","year":"2015","unstructured":"Huang SP, An HZ, Gao XY, Huang X (2015) Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level. Phys A 434:13\u201324","journal-title":"Phys A"},{"key":"4772_CR31","unstructured":"International Monetary Fund (2008) Global financial stability report. World economic and financial surveys (Washington, April)"},{"key":"4772_CR32","unstructured":"Ionescu SA, Murgoci CS, Gheorghe CM, Ionescu E (2009) Making predictions of the profitability on the financial markets using discriminant analysis. In: Proceedings of the 8th WSEAS international conference on artificial intelligence, knowledge engineering and data bases. World Scientific and Engineering Academy and Society (WSEAS), pp. 495\u2013500"},{"issue":"8","key":"4772_CR33","doi-asserted-by":"crossref","first-page":"1795","DOI":"10.1016\/j.physa.2013.01.017","volume":"392","author":"SH Kang","year":"2013","unstructured":"Kang SH, Cheong C, Yoon SM (2013) Intraday volatility spillovers between spot and futures indices: evidence from the Korean stock market. Phys A 392(8):1795\u20131802","journal-title":"Phys A"},{"issue":"3","key":"4772_CR34","doi-asserted-by":"crossref","first-page":"197","DOI":"10.1080\/1350485042000203850","volume":"11","author":"HS Lee","year":"2004","unstructured":"Lee HS (2004) International transmission of stock market movements: a wavelet analysis. Appl Econ Lett 11(3):197\u2013201","journal-title":"Appl Econ Lett"},{"key":"4772_CR35","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1016\/j.jfs.2016.10.008","volume":"35","author":"C Le\u00f3n","year":"2018","unstructured":"Le\u00f3n C, Machado C, Sarmiento M (2018) Identifying central bank liquidity super-spreaders in interbank funds networks. J Financ Stab 35:75\u201392","journal-title":"J Financ Stab"},{"key":"4772_CR36","doi-asserted-by":"crossref","first-page":"185","DOI":"10.1016\/j.na.2013.08.010","volume":"94","author":"M Marinescu","year":"2014","unstructured":"Marinescu M, Ijacu D (2014) Reversible stochastic flows associated with nonlinear SPDEs. Nonlinear Anal Theory Methods Appl 94:185\u2013193","journal-title":"Nonlinear Anal Theory Methods Appl"},{"issue":"1987","key":"4772_CR37","first-page":"20120376","volume":"371","author":"RM May","year":"2013","unstructured":"May RM (2013) Networks and webs in ecosystems and financial systems. Philos Trans R Soc A Math Phys Eng Sci 371(1987):20120376","journal-title":"Philos Trans R Soc A Math Phys Eng Sci"},{"issue":"1","key":"4772_CR38","doi-asserted-by":"crossref","first-page":"232","DOI":"10.1017\/S0266466605050140","volume":"21","author":"M McAleer","year":"2005","unstructured":"McAleer M (2005) Automated inference and learning in modeling financial volatility. Econom Theory 21(1):232\u2013261","journal-title":"Econom Theory"},{"issue":"5","key":"4772_CR39","doi-asserted-by":"crossref","first-page":"422","DOI":"10.1080\/07474930802467217","volume":"28","author":"M McAleer","year":"2009","unstructured":"McAleer M, Hoti S, Chan F (2009) Structure and asymptotic theory for multivariate asymmetric conditional volatility. Econom Rev 28(5):422\u2013440","journal-title":"Econom Rev"},{"issue":"2","key":"4772_CR41","first-page":"256","volume":"5","author":"S Rampone","year":"2012","unstructured":"Rampone S, Russo C (2012) A fuzzified BRAIN algorithm for learning DNF from incomplete data. Electron J Appl Stat Anal (EJASA) 5(2):256\u2013270","journal-title":"Electron J Appl Stat Anal (EJASA)"},{"key":"4772_CR42","isbn-type":"print","doi-asserted-by":"crossref","first-page":"109","DOI":"10.1007\/978-3-642-32903-6_9","volume-title":"Advanced dynamic modeling of economic and social systems, studies in computational intelligence series","author":"G Rotundo","year":"2013","unstructured":"Rotundo G (2013) An investigation of computational complexity of the method of symbolic images. In: Proto Araceli N, Squillante Massimo, Kacpryzk Janusz (eds) Advanced dynamic modeling of economic and social systems, studies in computational intelligence series. Springer, Berlin, pp 109\u2013126. ISBN 978-3-642-32902-9","ISBN":"https:\/\/id.crossref.org\/isbn\/9783642329029"},{"key":"4772_CR43","first-page":"209","volume-title":"Complex networks and non linear dynamics. Lecture notes in economics and mathematical systems","author":"G Rotundo","year":"2016","unstructured":"Rotundo G, D\u2019Arcangelis AM (2016) Complex networks in finance. In: Commendatore P, Matilla-Garc\u00eda M, Varela LM, C\u00e1novas JS (eds) Complex networks and non linear dynamics. Lecture notes in economics and mathematical systems, vol 683. Springer, Berlin, pp 209\u2013235"},{"issue":"4","key":"4772_CR44","doi-asserted-by":"crossref","first-page":"859","DOI":"10.1007\/s00500-014-1413-7","volume":"19","author":"KY Shen","year":"2015","unstructured":"Shen KY, Tzeng GH (2015) A decision rule-based soft computing model for supporting financial performance improvement of the banking industry. Soft Comput 19(4):859\u2013874","journal-title":"Soft Comput"},{"key":"4772_CR45","unstructured":"Sheppard K (2001) Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. National Bureau of Economic Research"},{"key":"4772_CR46","doi-asserted-by":"crossref","unstructured":"Strahan P (2008) Liquidity production in 21st century banking. Working Paper No. 13798, National Bureau of Economic Research","DOI":"10.3386\/w13798"},{"key":"4772_CR47","doi-asserted-by":"crossref","unstructured":"Upper C, Worms A (2002) Estimating bilateral exposures in the german interbank market: is there a danger of contagion. Discussion Paper 09\/02, Economic Research Centre of Deutsche Bank","DOI":"10.2139\/ssrn.304454"},{"key":"4772_CR48","doi-asserted-by":"crossref","unstructured":"Varela Cabo LM, Rotundo G, Ausloos A, Carrete J (2015) Complex networks analysis in socioeconomic models. In: Commendatore P, Kayam SS, Kubin I (eds) Complexity and geographical economics\u2014topics and tools. Dynamic Modeling and Econometrics in Economics and Finance.vol 19, Springer, Berlin, pp. 209\u2013245. ISBN 978-3-319-12805-4. ISSN: 2409-7497","DOI":"10.1007\/978-3-319-12805-4_9"},{"issue":"17","key":"4772_CR49","doi-asserted-by":"crossref","first-page":"5625","DOI":"10.1007\/s00500-017-2551-5","volume":"22","author":"H Wu","year":"2018","unstructured":"Wu H, Jiang Y, Ma Y, Zhang B (2018) Credit spread index of fixed income securities in China. Soft Comput 22(17):5625\u20135630","journal-title":"Soft Comput"},{"issue":"2","key":"4772_CR50","first-page":"148","volume":"3","author":"L Xiao","year":"2010","unstructured":"Xiao L, Dhesi G (2010) Volatility spillover and time-varying conditional correlation between the European and US stock markets. Glob Econ Finance J 3(2):148\u2013164","journal-title":"Glob Econ Finance J"},{"issue":"16","key":"4772_CR51","doi-asserted-by":"crossref","first-page":"5279","DOI":"10.1007\/s00500-017-2979-7","volume":"22","author":"WG Zhang","year":"2018","unstructured":"Zhang WG, Mo GL, Liu F, Liu YJ (2018) Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio. Soft Comput 22(16):5279\u20135297","journal-title":"Soft Comput"}],"container-title":["Soft Computing"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00500-020-04772-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00500-020-04772-4\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00500-020-04772-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,2,23]],"date-time":"2021-02-23T00:35:03Z","timestamp":1614040503000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00500-020-04772-4"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,2,24]]},"references-count":50,"journal-issue":{"issue":"18","published-print":{"date-parts":[[2020,9]]}},"alternative-id":["4772"],"URL":"https:\/\/doi.org\/10.1007\/s00500-020-04772-4","relation":{},"ISSN":["1432-7643","1433-7479"],"issn-type":[{"type":"print","value":"1432-7643"},{"type":"electronic","value":"1433-7479"}],"subject":[],"published":{"date-parts":[[2020,2,24]]},"assertion":[{"value":"24 February 2020","order":1,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"order":1,"name":"Ethics","group":{"name":"EthicsHeading","label":"Compliance with ethical standards"}},{"value":"The authors declare that they have no conflict of interest.","order":2,"name":"Ethics","group":{"name":"EthicsHeading","label":"Conflict of interest"}}]}}