On the network topology of variance decompositions: Measuring the connectedness of financial firms
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- Type
- article
- Published
- 2014-04-24
- Cited by
- 4,440
- References
- 54
- OpenAlex
- https://openalex.org/W3020982786
Keywords
Social connectedness, Variance (accounting), Econometrics, Stock (firearms), Variance decomposition of forecast errors
References
- The Oxford Handbook of Bayesian Econometrics
- Causation, prediction, and search
- Social and Economic Networks
- The End of Wall Street
- Time varying Hierarchical Archimedean Copulae
- Short and long run causality measures: Theory and inference
- Networks: An Introduction
- Settable Systems: An Extension of Pearl's Causal Model with Optimization, Equilibrium, and Learning
- Impulse response analysis in nonlinear multivariate models
- MACROECONOMICS AND REALITY
- Better to give than to receive: Predictive directional measurement of volatility spillovers
- Generalized Impulse Response Analysis in Linear Multivariate Models
- Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
- Short-Run and Long-Rub Causality in Time Series: Theory.
- Economic Networks: The New Challenges
- ESTIMATION , INFERENCE AND SPECIFICATION ANALYSIS
- On the Informational Properties of Trading Networks
- Collective dynamics of ‘small-world’ networks
- Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †
- Asset commonality, debt maturity and systemic risk.
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- Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy
- Multivariate variance ratio statistics
- Oil prices impact on stock markets: what we learned for the case of oil exporting countries?
- Eurozone network “Connectedness” after fiscal year 2008
- Interconnectedness of the banking sector as a vulnerability to crises
- Surfing Through the GFC: Systemic Risk in Australia
- Is There a Competition-Stability Trade-Off in European Banking?
- Estimating Global Bank Network Connectedness
- Measuring connectedness of euro area sovereign risk
- Interconnectedness in the CDS Market
- Modeling Contagion and Systemic Risk
- Measuring the Connectedness of the Global Economy
- Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures
- Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index
- NETS: Network estimation for time series
- Bayesian Approach
- Syndication, Interconnectedness, and Systemic Risk
- Melting Down: Systemic Financial Instability and the Macroeconomy
- Where the Risks Lie: A Survey on Systemic Risk
- Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market
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- On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms