Matches in SemOpenAlex for { <https://semopenalex.org/work/W2157996961> ?p ?o ?g. }
- W2157996961 abstract "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 past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships. These measures can also identify and quantify financial crisis periods, and seem to contain predictive power in out-of-sample tests. Our results show an asymmetry in the degree of connectedness among the four sectors, with banks playing a much more important role in transmitting shocks than other financial institutions." @default.
- W2157996961 created "2016-06-24" @default.
- W2157996961 creator A5002326608 @default.
- W2157996961 creator A5013381820 @default.
- W2157996961 creator A5038861179 @default.
- W2157996961 creator A5049749417 @default.
- W2157996961 date "2011-01-01" @default.
- W2157996961 modified "2023-10-02" @default.
- W2157996961 title "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors" @default.
- W2157996961 cites W1433087689 @default.
- W2157996961 cites W1864497879 @default.
- W2157996961 cites W1994193869 @default.
- W2157996961 cites W1995808291 @default.
- W2157996961 cites W2034309299 @default.
- W2157996961 cites W2035606631 @default.
- W2157996961 cites W2046519558 @default.
- W2157996961 cites W2078237894 @default.
- W2157996961 cites W2091637085 @default.
- W2157996961 cites W2104094302 @default.
- W2157996961 cites W2168175751 @default.
- W2157996961 cites W2170610810 @default.
- W2157996961 cites W2489822048 @default.
- W2157996961 cites W2741974588 @default.
- W2157996961 cites W3021190191 @default.
- W2157996961 cites W3121318849 @default.
- W2157996961 cites W3121630491 @default.
- W2157996961 cites W3122015128 @default.
- W2157996961 cites W3122589966 @default.
- W2157996961 cites W3123129688 @default.
- W2157996961 cites W3123451865 @default.
- W2157996961 cites W3123774674 @default.
- W2157996961 cites W3123899576 @default.
- W2157996961 cites W3124792793 @default.
- W2157996961 cites W3124840302 @default.
- W2157996961 cites W3124979809 @default.
- W2157996961 cites W3125667524 @default.
- W2157996961 cites W3126113144 @default.
- W2157996961 cites W4234118077 @default.
- W2157996961 cites W4241115065 @default.
- W2157996961 cites W4246784033 @default.
- W2157996961 cites W4248503640 @default.
- W2157996961 doi "https://doi.org/10.2139/ssrn.1963216" @default.
- W2157996961 hasPublicationYear "2011" @default.
- W2157996961 type Work @default.
- W2157996961 sameAs 2157996961 @default.
- W2157996961 citedByCount "86" @default.
- W2157996961 countsByYear W21579969612012 @default.
- W2157996961 countsByYear W21579969612013 @default.
- W2157996961 countsByYear W21579969612014 @default.
- W2157996961 countsByYear W21579969612015 @default.
- W2157996961 countsByYear W21579969612016 @default.
- W2157996961 countsByYear W21579969612017 @default.
- W2157996961 countsByYear W21579969612020 @default.
- W2157996961 crossrefType "journal-article" @default.
- W2157996961 hasAuthorship W2157996961A5002326608 @default.
- W2157996961 hasAuthorship W2157996961A5013381820 @default.
- W2157996961 hasAuthorship W2157996961A5038861179 @default.
- W2157996961 hasAuthorship W2157996961A5049749417 @default.
- W2157996961 hasBestOaLocation W21579969612 @default.
- W2157996961 hasConcept C139719470 @default.
- W2157996961 hasConcept C144133560 @default.
- W2157996961 hasConcept C144587487 @default.
- W2157996961 hasConcept C149782125 @default.
- W2157996961 hasConcept C15744967 @default.
- W2157996961 hasConcept C162118730 @default.
- W2157996961 hasConcept C162324750 @default.
- W2157996961 hasConcept C180075932 @default.
- W2157996961 hasConcept C201943243 @default.
- W2157996961 hasConcept C2778300220 @default.
- W2157996961 hasConcept C542102704 @default.
- W2157996961 hasConceptScore W2157996961C139719470 @default.
- W2157996961 hasConceptScore W2157996961C144133560 @default.
- W2157996961 hasConceptScore W2157996961C144587487 @default.
- W2157996961 hasConceptScore W2157996961C149782125 @default.
- W2157996961 hasConceptScore W2157996961C15744967 @default.
- W2157996961 hasConceptScore W2157996961C162118730 @default.
- W2157996961 hasConceptScore W2157996961C162324750 @default.
- W2157996961 hasConceptScore W2157996961C180075932 @default.
- W2157996961 hasConceptScore W2157996961C201943243 @default.
- W2157996961 hasConceptScore W2157996961C2778300220 @default.
- W2157996961 hasConceptScore W2157996961C542102704 @default.
- W2157996961 hasLocation W21579969611 @default.
- W2157996961 hasLocation W21579969612 @default.
- W2157996961 hasLocation W21579969613 @default.
- W2157996961 hasLocation W21579969614 @default.
- W2157996961 hasOpenAccess W2157996961 @default.
- W2157996961 hasPrimaryLocation W21579969611 @default.
- W2157996961 hasRelatedWork W2184023447 @default.
- W2157996961 hasRelatedWork W2886470026 @default.
- W2157996961 hasRelatedWork W2966049956 @default.
- W2157996961 hasRelatedWork W3030662320 @default.
- W2157996961 hasRelatedWork W3046486692 @default.
- W2157996961 hasRelatedWork W3123402722 @default.
- W2157996961 hasRelatedWork W3123503831 @default.
- W2157996961 hasRelatedWork W3123933399 @default.
- W2157996961 hasRelatedWork W3175037012 @default.
- W2157996961 hasRelatedWork W4200497924 @default.
- W2157996961 isParatext "false" @default.
- W2157996961 isRetracted "false" @default.
- W2157996961 magId "2157996961" @default.