We propose a simple network–based methodology for ranking systemically important financial institutions. We view the risks of firms –including both the financial sector and the real economy– as a network with nodes representing the volatility shocks. The metric for the connections of the...

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global...

Bank holding companies (BHCs) invest in risky projects through bank entities or sell projects for a fee, thus engaging in shadow banking. BHCs can increase their fee income by guaranteeing sold projects with a recourse to the bank's balance sheet. When the expected guarantee repayments depend on...

The premise underlying the use of citations data is that higher quality journals generally have a higher number of citations. The impact of citations can be distorted in a number of ways. Journals can, and do, inflate the number of citations through self citation practices, which may be...

The paper focuses on the robustness of rankings of academic journal quality and research impact in general, and in Economics, in particular, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). The paper analyses 299 leading international journals in Economics...

The paper analyses academic journal quality and research impact using quality weighted citations versus total citations, based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A new Index of Citations Quality (ICQ) is presented, based on quality weighted citations....

Seasonality is a frequent and important occurrence in the tourism industry, with simultaneous effects on both the volume and financial flows of tourism. The seasonal characteristics of these monetary and non-monetary tourism indicators can show diverging paths. Lack of synchronization between...

See also the article in the <I>Review of Economics</I> (2014). Volume 65(1), pages 35-52.<P> The paper analyses academic journal quality and impact using quality weighted citations that are based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A recently developed Index of...</p></i>

Virtually all rankings of journals are based on citations, including self citations by journals and individual academics. The gold standard for bibliometric rankings based on citations data is the widely-used Thomson Reuters Web of Science (2014) citations database, which publishes, among...

See also the article in <I>Econometrics</I> (2013). Volume 1(3), pages 217-235.<P> The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using...</p></i>