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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: Network connectivity, systematic and systemic risk, (pp. 9-51). 2018
Persistent link: https://www.econbiz.de/10012305837
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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017 - This version: October 2016
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 … of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …
Persistent link: https://www.econbiz.de/10011598385
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Trading, profits, and volatility in a dynamic information network model
Walden, Johan - In: The review of economic studies : RES 86 (2019) 5, pp. 2248-2283
Persistent link: https://www.econbiz.de/10012111950
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Statistical physics and economic fluctuations
Stanley, H. Eugene; Gopikrishnan, Parameswaran; Plerou, … - In: The complex dynamics of economic interaction : essays …, (pp. 109-141). 2004
Persistent link: https://www.econbiz.de/10002415037
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Handbook of global financial markets : transformations, dependence, and risk spillovers
Boubaker, Sabri (ed.); Nguyen, Duc Khuong (ed.) - 2019
-pricing theory ; ch. 28. What do we know about local bias of individual investors? a literature review ; ch. 29. Does geography …
Persistent link: https://www.econbiz.de/10012643533
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High-dimensional statistical learning techniques for time-varying limit order book networks
Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021
structure of price interdependencies across stocks. For correct empirical network determination of such dynamic liquidity price … bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …
Persistent link: https://www.econbiz.de/10012614016
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Financial markets and the real economy
Cochrane, John H. - 2005
Persistent link: https://www.econbiz.de/10003285703
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Essays on market frictions and model misspecification in asset pricing
Seeger, Norman - 2009
Persistent link: https://www.econbiz.de/10003863665
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Essays on information, hedging, volatility in financial market
Xiao, Yajun - 2009
Persistent link: https://www.econbiz.de/10003916641
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Asset price and wealth dynamics with heterogeneous expectations : a deterministic nonlinear structural model approach
Heitger, Florian - 2010
Based on a classical financial market model different model variants known from the literature are discussed and analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of (heterogeneous) beliefs about future asset prices into the model...
Persistent link: https://www.econbiz.de/10008664303