On the network topology of variance decompositions: measuring the connectedness of financial firms

DOI10.1016/j.jeconom.2014.04.012zbMath1311.91196OpenAlexW3020982786MaRDI QIDQ2451806

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w17490.pdf

zbMATH Keywords

credit risk degree distribution market risk risk management systemic risk risk measurement portfolio allocation asset markets

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10) Credit risk (91G40)

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