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

DOI10.1080/07350015.2016.1272459MaRDI QIDQ6634841zbMATHFDO

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

• 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
• Bivariate tail estimation: dependence in asymptotic independence
• On maximum likelihood estimation of the extreme value index.
• On tail index estimation using dependent data
• Social and economic networks.
• Statistics for near independence in multivariate extreme values
• Statistics of Heteroscedastic Extremes
• Systemic risk in financial systems
• The Stationary Bootstrap
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.

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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