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Multilayer information spillover networks analysis of China's financial institutions based on variance decompositions
Wang, Gang-Jin; Chen, Yang-Yang; Si, Hui-Bin; Chi, Xie; … - In: International review of economics & finance : IREF 73 (2021), pp. 325-347
Persistent link: https://www.econbiz.de/10012692326
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Chapter 11. Empirical Analyses of Networks in Finance
Iori, Giulia; Mantegna, Rosario N. - In: Handbook of computational economics : Volume 4: …, (pp. 637-685). 2018
The recent global financial crisis has triggered a huge interest in the use of network concepts and network tools to better understand how instabilities can propagate through the financial system. The literature is today quite vast, covering both theoretical and empirical aspects. This review...
Persistent link: https://www.econbiz.de/10014024356
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Volatility connectedness of bank stocks across the Atlantic
Yılmaz, Kamil - 2014
This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …
Persistent link: https://www.econbiz.de/10010239322
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Cryptocurrencies and banking sector connectedness : don't worry, be happy … for now
Chan-Lau, Jorge A.; Quach, Toan Long - 2023
Persistent link: https://www.econbiz.de/10014437899
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Inflation and systemic risk : a network econometric model
Sánchez-García, Javier; Cruz Rambaud, Salvador - In: Finance research letters 56 (2023), pp. 1-7
Persistent link: https://www.econbiz.de/10014473673
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Determinants of connectedness in financial institutions : evidence from Taiwan
Chen, Yi-Pei; Chen, Yu-Lun; Chiang, Shu-Hen; Moh, Wan Shin - In: Emerging markets review 55 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014481152
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Financialization and unconventional monetary policy : a financial-network analysis
Perillo, Chiara; Battiston, Stefano - In: Journal of evolutionary economics : JEE 30 (2020) 5, pp. 1385-1428
Persistent link: https://www.econbiz.de/10012590595
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Mapping bank securities across euro area sectors : comparing funding and exposure networks
Huser, Anne-Caroline; Kok Sørensen, Christoffer - In: The journal of network theory in finance 5 (2019) 2, pp. 59-92
Persistent link: https://www.econbiz.de/10012306545
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Mapping bank securities across euro area sectors : comparing funding and exposure networks
Hüser, Anne-Caroline; Kok Sørensen, Christoffer - 2019
Persistent link: https://www.econbiz.de/10012201037
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Mapping bank securities across euro area sectors : comparing funding and exposure networks
Hüser, Anne-Caroline; Kok Sørensen, Christoffer - 2019
We present new evidence on the structure of euro area securities markets using a multilayer network approach. Layers are broken down by key instruments and maturities as well as the secured nature of the transaction. This paper utilizes a unique dataset of banking sector crossholdings of...
Persistent link: https://www.econbiz.de/10011997550