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Measuring the interconnectedness of financial institutions

Bhar, Ramaprasad; Nikolova, Biljana - In: Economic systems 37 (2013) 1, pp. 17-29

Persistent link: https://www.econbiz.de/10009737761

A gradient boosting approach to estimating tail risk interconnectedness

Long, Yunshen; Zeng, LinQing; Wang, Jing; Long, Xingchen; … - In: Applied economics 54 (2022) 8, pp. 862-879

Persistent link: https://www.econbiz.de/10012874756

Bad bad contagion

Londono, Juan M. - In: Journal of banking & finance 108 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012224755

Oil prices and stock markets : a review of the theory and empirical evidence

Degiannakis, Stavros; Filis, George; Arora, Vipin - In: The energy journal 39 (2018) 5, pp. 85-130

Persistent link: https://www.econbiz.de/10011903865

European stock market volatility connectedness : the role of country and sector membership

Vidal-Llana, Xenxo; Uribe, Jorge; Guillén, Montserrat - In: Journal of international financial markets, … 82 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014245900

A multilevel factor model for economic activity with observation-driven dynamic factors

Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan - 2023

We analyze the role of industrial and non-industrial production sectors in the US economy by adopting a novel multilevel factor model. The proposed model is suitable for high-dimensional panels of economic time series and allows for interdependence structures across multiple sectors. The...

Persistent link: https://www.econbiz.de/10014249846