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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

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

The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - In: International review of economics & finance : IREF 84 (2023), pp. 196-223

Persistent link: https://www.econbiz.de/10014343115

Peering into the mist: social learning over an opaque observation network

Barrdear, John - 2014

Persistent link: https://www.econbiz.de/10010411487

Buyer-supplier networks and aggregate volatility

Mizuno, Takayuki; Sōma, Wataru; Watanabe, Tsutomu - 2015

Persistent link: https://www.econbiz.de/10011380541

Peering into the mist: social learning over an opaque observation network

Barrdear, John - 2014

Persistent link: https://www.econbiz.de/10012170242

Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network

Gong, Xiao-Li; Liu, Jian-Min; Xiong, Xiong; Zhang, Wei - In: International review of financial analysis 84 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013472743

Networks in risk spillovers : a multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2018

We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity and identification of the model, and analyze consistency and asymptotic...

Persistent link: https://www.econbiz.de/10011892696

Networks in risk spillovers : a multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2016

Persistent link: https://www.econbiz.de/10011629466

Networks in risk spillovers : a multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2020

Persistent link: https://www.econbiz.de/10012244841