interdependence from joint extreme movements based on bivariate extreme value theory and classification analysis. Furthermore, we … propose a new ranking strategy regarding the influence of institutions based on the network effects and quantile regression …

This paper identifies new currency risk stemming from a network of idiosyncratic option-based currency volatilities and … shows how such network risk is priced in the cross-section of currency returns. A portfolio that buys net-receivers and … network strategy formed on causal connections is uncorrelated with popular benchmarks and generates a significant alpha, while …