Proper measures of connectedness
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Recommendations
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Connectedness measures of spatial contagion in the banking and insurance sector
- Measures of systemic risk
- Connectedness versus diversification: two sides of the same coin
- Monitoring banking system connectedness with big data
Cites work
- Aggregation functions: means
- scientific article; zbMATH DE number 4213315 (Why is no real title available?)
- scientific article; zbMATH DE number 3753890 (Why is no real title available?)
- scientific article; zbMATH DE number 3023295 (Why is no real title available?)
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Systemic risk in Europe: deciphering leading measures, common patterns and real effects
- Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise
- Toward robust early-warning models: a horse race, ensembles and model uncertainty
Cited in
(7)- Connectedness versus diversification: two sides of the same coin
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Connectedness measures of spatial contagion in the banking and insurance sector
- scientific article; zbMATH DE number 90711 (Why is no real title available?)
- Measuring spillovers and connectedness in \textsf{gretl}
- Global balance and systemic risk in financial correlation networks
- Risk contagion between global commodity and financial markets based on two-layer networks and SIS model
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