Shown is the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity future markets, models for the evolution of interest rates and postoptimality analysis in portfolio management...

Measuring interconnectedness in a banking system and identifying the transmission channels of systemic risk is a main issue for the analysis of financial stability. We develop a methodology based on conditional tail risk networks to assess the channels of transmission in a banking system, and to...

Network analysis is becoming a fundamental tool in the study of systemic risk and financial contagion in the banking sector. Still, the network structure must typically be estimated from noisy and aggregated data, as micro data on the status quo banking network structure are typically...