Too Connected to Fail? Inferring Network Ties From Price Co-Movements

DOI10.1080/07350015.2016.1272459zbMATH Open1548.62547MaRDI QIDQ6634841FDOQ6634841

Authors: Michael Koetter 

Publication date: 8 November 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Statistics for near independence in multivariate extreme values
• The Stationary Bootstrap
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.
• On tail index estimation using dependent data
• A simple general approach to inference about the tail of a distribution
• Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
• On maximum likelihood estimation of the extreme value index.
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Systemic risk in financial systems
• Bivariate tail estimation: dependence in asymptotic independence
• Social and economic networks.
• Statistics of Heteroscedastic Extremes

Cited In (2)

• Statistically validated coeherence and intensity in temporal networks of information flows
• Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets

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