On the network topology of variance decompositions: measuring the connectedness of financial firms (Q2451806)
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scientific article; zbMATH DE number 6300679
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| English | On the network topology of variance decompositions: measuring the connectedness of financial firms |
scientific article; zbMATH DE number 6300679 |
Statements
On the network topology of variance decompositions: measuring the connectedness of financial firms (English)
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4 June 2014
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risk measurement
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risk management
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portfolio allocation
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market risk
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credit risk
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systemic risk
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asset markets
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degree distribution
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0.8132368922233582
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0.8024588227272034
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0.796345591545105
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0.7822608351707458
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0.7796155214309692
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