Multilayer information spillover networks: measuring interconnectedness of financial institutions

DOI10.1080/14697688.2020.1831047zbMATH Open1479.91433OpenAlexW3094140700WikidataQ111628471 ScholiaQ111628471MaRDI QIDQ5014249FDOQ5014249

Shuyue Yi, Gang-Jin Wang, H. Eugene Stanley, Chi Xie

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1831047

zbMATH Keywords

interconnectednessmultilayer networksfinancial institutionsinformation spillover effects

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Latent Space Approaches to Social Network Analysis
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• Bayesian nonparametric sparse VAR models
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• Granger causality in risk and detection of extreme risk spillover between financial markets
• Financial Network Systemic Risk Contributions
• A test for volatility spillover with application to exchange rates
• The multiplex structure of interbank networks
• Risk Attribution Using the Shapley Value: Methodology and Policy Applications
• The multiplex dependency structure of financial markets
• Multiplex networks of the guarantee market: evidence from China
• Extreme risk spillover network: application to financial institutions
• Modeling systemic risk with Markov switching graphical SUR models
• How news affects the trading behaviour of different categories of investors in a financial market
• Multilayer network analysis of oil linkages

Cited In (1)

• Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers

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