On the network topology of variance decompositions: measuring the connectedness of financial firms
From MaRDI portal
Publication:2451806
Recommendations
- A network analysis of the volatility of high-dimensional financial series
- Financial and macroeconomic connectedness. A network approach to measurement and monitoring
- Monitoring banking system connectedness with big data
- Time-varying general dynamic factor models and the measurement of financial connectedness
- Proper measures of connectedness
Cites work
- Causation, prediction, and search
- Collective dynamics of `small-world' networks
- Economic networks: the new challenges
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Financial Network Systemic Risk Contributions
- Generalized impulse response analysis in linear multivariate models
- scientific article; zbMATH DE number 3150484 (Why is no real title available?)
- scientific article; zbMATH DE number 42816 (Why is no real title available?)
- scientific article; zbMATH DE number 1493045 (Why is no real title available?)
- scientific article; zbMATH DE number 854558 (Why is no real title available?)
- Impulse response analysis in nonlinear multivariate models
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
- Modeling and Forecasting Realized Volatility
- Networks, crowds and markets. Reasoning about a highly connected world.
- Networks. An introduction.
- Non-linear models: where do we go next - time varying parameter models?
- Settable systems: an extension of Pearl's causal model with optimization, equilibrium, and learning
- Short and long run causality measures: theory and inference
- Short Run and Long Run Causality in Time Series: Theory
- Social and economic networks.
Cited in
(only showing first 100 items - show all)- Are generalized spillover indices overstating connectedness?
- Financial data science
- Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach
- Measuring network systemic risk contributions: a leave-one-out approach
- Modeling maxima with autoregressive conditional Fréchet model
- Tail event driven networks of SIFIs
- Modeling systemic risk with Markov switching graphical SUR models
- Robust and sparse banking network estimation
- Power-law partial correlation network models
- R\&D and wholesale trade are critical to the economy: identifying dominant sectors from economic networks
- Proper measures of connectedness
- Risk attribution and interconnectedness in the EU via CDS data
- Connectedness versus diversification: two sides of the same coin
- Financial contagion through space-time point processes
- Modeling risk contagion in the Italian zonal electricity market
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- Fat tails, serial dependence, and implied volatility index connections
- Effective transfer entropy to measure information flows in credit markets
- A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
- Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
- A spatial panel quantile model with unobserved heterogeneity
- NetVIX -- a network volatility index of financial markets
- Assessing the connectedness between proof of work and proof of stake/other digital coins
- Network model of credit risk contagion in the interbank market by considering bank runs and the fire sale of external assets
- Effective network inference through multivariate information transfer estimation
- Coherence, connectedness, dynamic linkages among oil and China's sectoral commodities with portfolio implications
- Network interdependence and optimization of bank portfolios from developed and emerging Asia Pacific countries
- Markov switching panel with endogenous synchronization effects
- Mapping out network connections between residential property markets
- Combining permutation tests to rank systemically important banks
- Detecting granular time series in large panels
- Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk
- Network tail risk estimation in the European banking system
- Econometric modeling of risk measures: a selective review of the recent literature
- Bayesian nonparametric sparse VAR models
- Monitoring banking system connectedness with big data
- Network quantile autoregression
- How to measure interconnectedness between banks, insurers and financial conglomerates
- Time-varying general dynamic factor models and the measurement of financial connectedness
- Cross-category, trans-pacific spillovers of policy uncertainty and financial market volatility
- Impact of the RMB joining in the SDR basket on its internationalization from the perspective of risk spillover
- SONIC: social network analysis with influencers and communities
- A study on volatility spillovers among international stock markets during the Russia-Ukraine conflict
- Identification of systemically important financial institutions in a multiplex financial network: a multi-attribute decision-based approach
- High-dimensional VARs with common factors
- On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
- Structural inference in sparse high-dimensional vector autoregressions
- Connectedness measures of spatial contagion in the banking and insurance sector
- TENET: tail-event driven network risk
- Extreme risk spillover network: application to financial institutions
- Can bank-specific variables predict contagion effects?
- Equity markets' clustering and the global financial crisis
- Contagion in financial systems: a Bayesian network approach
- Systemic risk contagion in FX market: a frequency connectedness and network analysis
- Connectedness of markets with heterogeneous agents and the information cascades
- Graph theoretical representations of equity indices and their centrality measures
- Multilayer information spillover networks: measuring interconnectedness of financial institutions
- Financial Econometrics and Systemic Risk
- Least squares estimation of large dimensional threshold factor models
- `Too central to fail' firms in bi-layered financial networks: linkages in the US corporate bond and stock markets
- Bootstrapping volatility spillover index
- A network analysis of the volatility of high-dimensional financial series
- Feature screening for network autoregression model
- Financial and macroeconomic connectedness. A network approach to measurement and monitoring
- Joint tests of contagion with applications
- Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design
- Dynamic credit default swap curves in a network topology
- Towards a generalized measure of systemic risk: systemic turbulence measure
- Market integration, systemic risk and diagnostic tests in large mixed panels
- The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model
- Moments, shocks and spillovers in Markov-switching VAR models
- Estimating time-varying proximity with a state–space model
- Beyond distance: the spatial relationships of European regional economic growth
- Clearing payments in dynamic financial networks
- Wasserstein barycenter regression for estimating the joint dynamics of renewable and fossil fuel energy indices
- Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers
- A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
- Review of statistical approaches for modeling high-frequency trading data
- Time-varying multivariate causal processes
- Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach
- Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19
- Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
- Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
- Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms
- We modeled long memory with just one lag!
- Graphical models for nonstationary time series
- Bridging factor and sparse models
- Tail risk connectedness in clean energy and oil financial market
- Time-frequency information transmission among financial markets: evidence from implied volatility
- Generalized coefficients of clustering in (un)directed and (un)weighted networks: an application to systemic risk quantification for cryptocoin markets
- Fast estimation of a large TVP-VAR model with score-driven volatilities
- Dynamic industry uncertainty networks and the business cycle
- Vector error correction models to measure connectedness of bitcoin exchange markets
- Time Series Approach to the Evolution of Networks: Prediction and Estimation
- Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
- Community Detection in Partial Correlation Network Models
- Dynamic Network Quantile Regression Model
- Large Spillover Networks of Nonstationary Systems
This page was built for publication: On the network topology of variance decompositions: measuring the connectedness of financial firms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2451806)
