Extreme risk spillover network: application to financial institutions
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Publication:4555151
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Cites work
- scientific article; zbMATH DE number 6497102 (Why is no real title available?)
- A causality-in-variance test and its application to financial market prices
- A test for volatility spillover with application to exchange rates
- Collective dynamics of `small-world' networks
- Economic networks: the new challenges
- Emergence of Scaling in Random Networks
- Financial Network Systemic Risk Contributions
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Harmony in the small-world
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Statistical analysis of financial networks
Cited in
(15)- 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
- Dynamic large financial networks \textit{via} conditional expected shortfalls
- TENET: tail-event driven network risk
- Granger causality in risk and detection of extreme risk spillover between financial markets
- 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
- Systemic risk contagion in FX market: a frequency connectedness and network analysis
- Measuring climate transition risk spillovers
- Fractional interaction of financial agents in a stock market network
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