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Structural correlations in the Italian overnight money market: An analysis based on network configuration models
Luu, Duc Thi; Lux, Thomas; Yanovski, Boyan - 2017
We study the structural correlations in the Italian overnight money market over the period 1999-2010. We show that the structural correlations vary across different versions of the network. Moreover, we employ different configuration models and examine whether higher-level characteristics of the...
Persistent link: https://www.econbiz.de/10011627809
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An analysis of systematic risk in worldwide econonomic sentiment indices
Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - 2018
In this paper, we investigate the temporal dynamics of correlations between sentiment indices worldwide. Employing the tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information embedded in the interactions between economic and...
Persistent link: https://www.econbiz.de/10011791083
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An analysis of systemic risk in worldwide economic sentiment indices
Lux, Thomas; Luu, Duc Thi; Yanovski, Boyan - In: Empirica : journal of european economics 47 (2020) 4, pp. 909-928
Persistent link: https://www.econbiz.de/10012309392
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Structural correlations in the Italian overnight money market : an analysis based on network configuration models
Luu, Duc Thi; Lux, Thomas; Yanovski, Boyan - 2017 - Ver. March 28, 2017
We study the structural correlations in the Italian overnight money market over the period 1999-2010. We show that the structural correlations vary across different versions of the network. Moreover, we employ different configuration models and examine whether higher-level characteristics of the...
Persistent link: https://www.econbiz.de/10011627459
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Does the heterogeneity in the local constraints predominantly determine structural correlations in the Italian overnight money market?
Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - In: Empirical applications of network and random matrix …, (pp. 8-101). 2017
Persistent link: https://www.econbiz.de/10011719112
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An analysis of systemic risk in worldwide economic sentiment indices
Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - In: Empirical applications of network and random matrix …, (pp. 284-305). 2017
Persistent link: https://www.econbiz.de/10011719135
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Essays on real-financial interactions and on the application of network and random matrix theories to economic data
Yanovski, Boyan - 2019
Persistent link: https://www.econbiz.de/10012005020
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Structural correlations in the Italian overnight money market: an analysis based on network configuration models
Thi, Luu Duc; Yanovski, Boyan; Lux, Thomas - In: Essays on real-financial interactions and on the …, (pp. 80-173). 2019
Persistent link: https://www.econbiz.de/10012035443
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An analysis of systemic risk in worldwide economic sentiment indices
Thi, Luu Duc; Yanovski, Boyan; Lux, Thomas - In: Essays on real-financial interactions and on the …, (pp. 174-200). 2019
Persistent link: https://www.econbiz.de/10012035449
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An analysis of systematic risk in worldwide econonomic sentiment indices
Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - 2018 - Ver. January 2, 2018
In this paper, we investigate the temporal dynamics of correlations between sentiment indices worldwide. Employing the tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information embedded in the interactions between economic and...
Persistent link: https://www.econbiz.de/10011790790