NetVIX -- a network volatility index of financial markets

DOI10.1016/J.PHYSA.2022.127017OpenAlexW4210856869MaRDI QIDQ2116552FDOQ2116552

Daniel Felix Ahelegbey, Paolo Giudici

Publication date: 17 March 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: http://dem-web.unipv.it/web/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0192.pdf

zbMATH Keywords

COVID-19centralityfinancial crisesVARVIXcontagion effectNetVIX

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Regularized estimation in sparse high-dimensional time series models
• Parameter priors for directed acyclic graphical models and the characterization of several probability distributions
• Inference from iterative simulation using multiple sequences
• Oracle inequalities for high dimensional vector autoregressions
• Title not available (Why is that?)
• Bayesian nonparametric sparse VAR models
• Networks
• Dynamic matrix-variate graphical models
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• TENET: tail-event driven network risk
• Network valuation in financial systems
• Modeling systemic risk with Markov switching graphical SUR models

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