Billio, Monica; Getmansky, Mila; Lo, Andrew W.; … - Dipartimento di Economia, Università Ca' Foscari Venezia - 2011
We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over...