We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a … nonparametric form, which circumvents the problem of model risk and parametric assumptions that the Kalman filter and other widely …

these assets to market-priced events. This process is carried out in two stages. Cluster analysis and association analysis … were applied in the research. First of all, cluster analysis was performed using the variables; the total number of active …

of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …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 …

allocation of external assets that minimizes systemic risk varies with the topology of the financial network as long as asset … crisis of 2007-2009. Recently, Beal et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad Sci … USA 108: 12647-12652, 2011) demonstrated that higher portfolio diversity among banks would reduce systemic risk by …