Econometric measures of connectedness and systemic risk in the finance and insurance sectors
We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over the...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Elsevier
2017
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| Online Access: | http://hdl.handle.net/1721.1/110542 https://orcid.org/0000-0003-2944-7773 |