Centrality measures of financial system interconnectedness: A multiple crises study
We explore how asset returns could be a good proxy to detect interlinkages in the financial system. This paper employs a US dataset for the 2002–2021 period. Pairwise returns correlation indicate the interconnectedness at the preliminary stage. The Principal Component Analysis captures a significant...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-04-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844023026348 |