The evidence of financial globalization and the rapid and uniform contagion that it entails among the different international financial markets, have been exposed after the 2008 crisis outbreak, as well as the different chapters of financial stress that have been experienced since then, such as...

In this paper, we explore the relationship between node nestedness contribution and network stability in financial networks. We rely on data from the Brazilian interbank market. For each bank in the network, we computed the individual nestedness contribution (INC), along with two measures of...

In the context of an ever-evolving global economy, ASEAN companies face dynamic systemic risk that reshapes their financial interrelationships. This study examines the transmission of these risks using advanced graph theory techniques, particularly the measurement of eigenvector centrality based...

This study investigates contagion across oil markets in 22 countries during eight crisis episodes from 2007 to 2023 using linear, asymmetric, and extremal dependence tests alongside network analysis. The combination of these methods provides a comprehensive approach to understanding the...

This paper proposes a new framework for measuring systemic financial risk, which combines the Diebold and Yilmaz spillover index model, complex network, and dimensionality reduction method. This framework simulates the process of risk contagion through network dynamics, accounting for the...

This paper uses a statistical test based on entropy theory to propose a new way to distinguish between interdependence, contagion, and the decoupling hypotheses in the context of shock transmission and spillover. Applying the proposed approach, the three hypotheses are examined when measuring...

We estimate network spillovers across East Asian equity markets based on data on index returns to locate markets where equity shocks arise and where they impact. Focussed upon the context of the 1997 East Asian market crisis, our analysis explains why some markets were affected more than others....

Systematic risks in cryptocurrency markets have recently increased and have been gaining a rising number of connections with economics and financial markets; however, in this area, climate shocks could be a new kind of impact factor. In this paper, a spillover network based on a time-varying...

This paper documents the extension of the system-wide stress testing framework of the ECB with the insurance sector for a more thorough assessment of risks to financial stability. The special nature of insurers is captured by the modelling of the liability side and its loss absorbing capacity of...

The objective of this study is to examine the return interconnectedness and asymmetric spillover effects in global commodity futures markets, with a focus on the impact of contagion. A competent asymmetric time-varying parameter vector autoregressive (TVP-VAR) model was employed for highly...

This study explored the complex interplay and potential risk of financial contagion across major financial indices, focusing on the Bucharest Exchange Trading Investment Funds Index (BET-FI), along with global indices like the S&P 500, Nasdaq Composite (IXIC), and Dow Jones Industrial Average...