The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the form of the conditional covariance matrix. It contains one component describing the market and a second simple component to account for the remaining...

The problems related to the application of multivariate GARCH models to a market with a large number of stocks are solved by restricting the form of the conditional covariance matrix. It contains one component describing the market and a second simple component to account for the remaining...

This paper reviews the response of the European stock markets to the Brexit referendum. We analyze the correlation of market indices, stock volatility and the special role of stocks from the financial sector. While the impact of the vote was very similar for the stock markets in France, Germany...

A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation of some of the stylized facts of financial markets. It now seems that...

A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation of some of the stylized facts of financial markets. It now seems that...

We analyze the dynamics of the Japanese board network from 2004 until 2013. We find that the network exhibits some clustering with visible firm conglomerates. Ties between firms are rather persistent, despite noticeable churning among directors. Ownership relations explain only a small fraction...

Kirman’s “ant model” has been used to characterize the expectation formation of financial investors who are prone to herding. The model’s original version suffers from the problem of N-dependence: its ability to replicate the statistical features of financial returns vanishes once the...

We examine the bipartite graphs of German corporate boards in 1993, 1999 and 2005, and identify cores of directors who are highly central in the entire network while being densely connected among themselves. Germany’s corporate governance has experienced significant changes during this time,...

The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. This paper analyzes the dependencies among nearly 4,000...