The latest financial crisis has stressed the need of understanding the world financial system as a network of interconnected institutions, where financial linkages play a fundamental role in the spread of systemic risks. In this paper we propose to enrich the topological perspective of network...

The study of the interactions of cellular components is an essential base step to understand the structure and dynamics of biological networks. Various methods were recently developed for this purpose. While most of them combine different types of data and a priori knowledge, methods based on...

The graphical lasso (glasso) is a widely-used fast algorithm for estimating sparse inverse covariance matrices. The glasso solves an ℓ1 penalized maximum likelihood problem and is available as an R library on CRAN. The output from the glasso, a regularized covariance matrix estimate Σˆglasso...

Risk aversion is a key element of utility maximizing hedge strategies; however, it hastypically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of riskaversion that is based on the observed risk...