Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …

allocation of external assets that minimizes systemic risk varies with the topology of the financial network as long as asset …

This paper analyzes the topology of the network of common asset holdings, where nodes represent managed portfolios and … links, where weak links are those that lead to significant liquidations. We explore the applications of this network … factors. The network of weak links has a scale free structure, similar to financial networks of balance sheet exposures …

structural correlations vary across different versions of the network. Moreover, we employ different configuration models and … examine whether higher-level characteristics of the observed network can be statistically reconstructed by maximizing the … entropy of a randomized ensemble of networks restricted only by the lower-order features of the observed network. We find that …

We examine the effects on a financial network of clearing all contracts though a central node (CN) thereby transforming … the original network into a star-shaped one. The CN is capitalized with external equity and a guaranty fund. We introduce …

This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models …. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding … of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …

We present a study of the network of relationships among elected members of the Finnish parliament, based on a …, we constructed a statistically validated network of members, based on the similarity between the patterns of initiatives … they signed. We looked for communities within the network and characterized them in terms of members’ attributes, such as …