NetVIX -- a network volatility index of financial markets

DOI10.1016/J.PHYSA.2022.127017MaRDI QIDQ2116552zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• A network analysis of the volatility of high-dimensional financial series
• Unraveling S\&P\(500\) stock volatility and networks -- an encoding-and-decoding approach
• Network GARCH model

Cites work

• scientific article; zbMATH DE number 1085989 (Why is no real title available?)
• Bayesian nonparametric sparse VAR models
• Dynamic matrix-variate graphical models
• Inference from iterative simulation using multiple sequences
• Modeling systemic risk with Markov switching graphical SUR models
• Network valuation in financial systems
• Networks. An introduction.
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Oracle inequalities for high dimensional vector autoregressions
• Parameter priors for directed acyclic graphical models and the characterization of several probability distributions
• Regularized estimation in sparse high-dimensional time series models
• TENET: tail-event driven network risk

This page was built for publication: NetVIX -- a network volatility index of financial markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116552)