We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top … 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network … connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank …

This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN …) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return … dynamic bank volatility network. The volatility connectedness increased substantially during the US financial crisis (from …

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance …, system-wide connectedness averages out the information embedded in the covariance matrix in aggregating pairwise directional … model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of …

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top … 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network … connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank …

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the … network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately … the key generators of connectedness of sovereign credit risk shocks while severely problematic countries as well as …

Tantrum of mid-2013 and the ECB’s policy convergence to other major central banks in 2015, the long-term return connectedness … across countries increased, overtaking the short-term connectedness and lowering the dispersion of connectedness measures … across maturities. Over the same period, net connectedness from short- to long-term maturities weakens, while net …

This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …