Billio Monica, Casarin Roberto, Costola Michele, Iacopini Matteo
arXiv 2 Jan 2021 · Econometrics · publishedEconometrics and Statistics (2021) · 11 citations (OpenAlex)
arXiv:2101.00422 · PDF · DOI · OpenAlex · Extracted main text
Network models represent a useful tool to describe the complex set of financial relationships among heterogeneous firms in the system. In this paper, we propose a new semiparametric model for temporal multilayer causal networks with both intra- and inter-layer connectivity. A Bayesian model with a hierarchical mixture prior distribution is assumed to capture heterogeneity in the response of the network edges to a set of risk factors including the European COVID-19 cases. We measure the financial connectedness arising from the interactions between two layers defined by stock returns and volatilities. In the empirical analysis, we study the topology of the network before and after the spreading of the COVID-19 disease.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bekaert, G. and Wu, G (2000) Asymmetric volatility and risk in equity markets | 0.644 | 2 | 2 | 100% |
| 2 | Billio, M., Getmansky, M., Lo, A. W., and Pelizzon, L (2012) Econometric measures of connectedness and systemic risk in the finance and insurance sectors | 0.644 | 2 | 2 | 100% |
| 3 | Diebold, F. X. and Ylmaz, K (2014) On the network topology of variance decompositions: Measuring the connectedness of financial firms | 0.511 | 2 | 1 | 100% |
| 4 | Carvalho, C. M. and West, M (2007) Dynamic matrix-variate graphical models | 0.405 | 1 | 1 | 100% |
| 5 | Carvalho, C. M., Massam, H., and West, M (2007) Simulation of hyper-inverse Wishart distributions in graphical models | 0.405 | 1 | 1 | 100% |
| 6 | Chen, E. Y., Tsay, R. S., and Chen, R (2019) Constrained factor models for high-dimensional matrix-variate time series | 0.405 | 1 | 1 | 100% |
| 7 | Ahelegbey, D. F., Billio, M., and Casarin, R (2016) Sparse graphical vector autoregression: A Bayesian approach | 0.405 | 1 | 1 | 100% |
| 8 | Golosnoy, V., Gribisch, B., and Liesenfeld, R (2012) The conditional autoregressive Wishart model for multivariate stock market volatility | 0.405 | 1 | 1 | 100% |
| 9 | Gouriéroux, C., Jasiak, J., and Sufana, R (2009) The Wishart autoregressive process of multivariate stochastic volatility | 0.405 | 1 | 1 | 100% |
| 10 | Harrison, J. and West, M (1999) Bayesian forecasting & dynamic models | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 33 scored citations.