Extreme risk spillover network: application to financial institutions
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Publication:4555151
DOI10.1080/14697688.2016.1272762zbMATH Open1402.91929OpenAlexW2593136423WikidataQ57713938 ScholiaQ57713938MaRDI QIDQ4555151FDOQ4555151
Kaijian He, Chi Xie, H. Eugene Stanley, Gang-Jin Wang
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1272762
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Cites Work
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- Collective dynamics of ‘small-world’ networks
- Statistical analysis of financial networks
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Financial Network Systemic Risk Contributions
- Economic Networks: The New Challenges
- A causality-in-variance test and its application to financial market prices
- A test for volatility spillover with application to exchange rates
- Harmony in the small-world
- Title not available (Why is that?)
Cited In (10)
- Generalized coefficients of clustering in (un)directed and (un)weighted networks: an application to systemic risk quantification for cryptocoin markets
- Lead-lag detection and network clustering for multivariate time series with an application to the us equity market
- Analysing the systemic risk of Indian banks
- Fractal structure in the S\&P500: a correlation-based threshold network approach
- Multilayer information spillover networks: measuring interconnectedness of financial institutions
- Multiplex network analysis of employee performance and employee social relationships
- Degree distributions and motif profiles of limited penetrable horizontal visibility graphs
- The impact of corporate lifecycle on Fama-French three-factor model
- Tail dependence network of new energy vehicle industry in mainland China
- Fractional interaction of financial agents in a stock market network
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