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Estimating Global Bank Network Connectedness
Demirer, Mert - 2020
150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network … connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank …
Persistent link: https://www.econbiz.de/10012856145
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Estimating global bank network connectedness
Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2017
Persistent link: https://www.econbiz.de/10011616797
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Estimating Global Bank Network Connectedness
Demirer, Mert - 2017
the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a …
Persistent link: https://www.econbiz.de/10012963187
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Estimating Global Bank Network Connectedness
Demirer, Mert - 2017
the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a …
Persistent link: https://www.econbiz.de/10012455541
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Estimating global bank network connectedness
Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2015
150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network … connectedness using rolling-window estimation. Statistically, we find that global banking connectedness is clearly linked to bank …
Persistent link: https://www.econbiz.de/10011309448
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Credit Suisse's Crisis Impact on Global Banks : A Network Connectedness Approach
Kraus, Florian; Some, Joseph - 2023
The Credit Suisse crisis in 2023 generated important variations in the stock market, and a lot of discussions about the potential contagion effects with other systemic banks. We use the Extended Joint Connectedness measure based on Diebold and Yilmaz (2008, 2012) approach to study this effect....
Persistent link: https://www.econbiz.de/10014354616
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Evaluation of the post-crisis EU banking network connectedness in the global context
Legenzova, Renata; Gaigalienė, Asta; Jurakovaitė, Otilija - In: Oeconomia Copernicana 10 (2019) 1, pp. 37-53
Persistent link: https://www.econbiz.de/10012230279
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Financial connectivity and excessive liquidity : benefit or risk?
Demir, Müge; Önder, Zeynep - In: Journal of international financial markets, … 62 (2019), pp. 203-221
Persistent link: https://www.econbiz.de/10012262527
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Bank volatility connectedness in South East Asia
Yılmaz, Kamil - 2018
This paper presents an analysis of the volatility connectedness of major bank stocks in the South East Asia (SEACEN) region between 2004 and 2016. Applying the Diebold-Yilmaz Connectedness Index (DYCI) framework to daily stock return volatilities of major banks in the region, we obtain results...
Persistent link: https://www.econbiz.de/10011810501
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Assessing interbank connectedness using transmission decomposition techniques : an application to Eurozone SIFIs
Muijsson, C. A.F. - 2014
Persistent link: https://www.econbiz.de/10010504847