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This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models …. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding … of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …
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financial institutions. Focusing on a multi sector economy linked through a supply network, we show how structural properties of … the supply network determine both whether aggregate volatility disappears as the number of sectors increases (i … aggregate output from its mean) to sector-specific volatility and to the structural properties of the supply network …
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the different network topologies, mimetic contagion arises through the adaptive behavior of the heterogeneous agents … communication networks. Simulation results suggest a correlation between the network centralization measures and the volatility of … the resulting stock prices. -- microsimulation ; financial markets ; network topologies ; mimetic contagion ; herd …
Persistent link: https://www.econbiz.de/10009511655
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financial institutions. Focusing on a multi sector economy linked through a supply network, we show how structural properties of … the supply network determine both whether aggregate volatility disappears as the number of sectors increases (i … aggregate output from its mean) to sector-specific volatility and to the structural properties of the supply network …
Persistent link: https://www.econbiz.de/10008738431
Persistent link: https://www.econbiz.de/10011380541