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 …