Similar Search Results

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

Networks in Risk Spillovers : A Multivariate GARCH Perspective

Billio, Monica - 2016

We propose a spatial approach for modeling risk spillovers using financial time-varying proximity matrices based on observable networks. We show how these methods could be useful in (i) isolating risk channels, risk spreaders and risk receivers, (ii) investigating the role of portfolio...

Persistent link: https://www.econbiz.de/10012997533

Asymmetric Networks of Global Volatility Spillovers

Yang, Zihui - 2016

We document asymmetric networks of implied volatility spillovers across global stock and commodity markets as well as … the US Treasury market. There are significant asymmetries in the roles of US stock and bond markets as volatility … suppliers to other countries and markets. Shocks from the US generate intensifying volatility spillovers across countries and …

Persistent link: https://www.econbiz.de/10012989008

The impact of pandemic on dynamic volatility spillover network of international stock markets

Lan, Tingting; Shao, Liuguo; Zhang, Hua; Yuan, Caijun - In: Empirical economics : a quarterly journal of the … 65 (2023) 5, pp. 2115-2144

Persistent link: https://www.econbiz.de/10014388918

Spatial linkage of volatility spillovers and its explanation across G20 stock markets : a network framework

Zhang, Weiping; Zhuang, Xintian; Lu, Yang; Wang, Jian - In: International review of financial analysis 71 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012435765

Dynamic volatility spillover and network connectedness across ASX sector markets

Choi, Ki-hong; McIver, Ron; Ferraro, Salvatore; Xu, Lei; … - In: Journal of economics and finance : JEF 45 (2021) 4, pp. 677-691

Persistent link: https://www.econbiz.de/10012656361

The dynamic factor network model with an application to global credit-risk

Bräuning, Falk; Koopman, Siem Jan - 2016

We introduce a dynamic network model with probabilistic link functions that depend on stochastically time-varying parameters. We adopt the widely used blockmodel framework and allow the high-dimensional vector of link probabilities to be a function of a low-dimensional set of dynamic factors....

Persistent link: https://www.econbiz.de/10011566388

The dynamic factor network model with an application to global credit risk

Bräuning, Falk; Koopman, Siem Jan - 2016 - This version: October 31, 2016

We introduce a dynamic network model with probabilistic link functions that depend on stochastically time-varying parameters. We adopt the widely used blockmodel framework and allow the highdimensional vector of link probabilities to be a function of a low-dimensional set of dynamic factors. The...

Persistent link: https://www.econbiz.de/10011562907