Network Connectivity, Systemic and Systematic Risk

Project Start: 01/2016
Status: Ongoing
Researchers: Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon
Category: Financial Markets, Systemic Risk Lab

This project is part of the team project "Systemic Risk and Network Connectivity".

Related Published Papers

Author/s Title Year Research Area Keywords
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò Systemic Co-Jumps
Journal of Financial Economics
2017 Financial Markets, Systemic Risk Lab Jumps; Return predictability; Systemic events; Variance risk premium

Related Working Papers

No. Author/s Title Year Research Area Keywords
149 Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò Systemic Co-Jumps 2016 Financial Markets, Systemic Risk Lab Jumps, Return predictability, Systemic events, Variance Risk Premium
166 Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification 2017 Financial Markets, Systemic Risk Lab CAPM, volatility, network, interconnections, systematic risk
165 Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica Estimation and Model-Based Combination of Causality Networks 2017 Financial Markets, Systemic Risk Lab Granger causality, quantile causality, multi-layer network, network combination

 

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