The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market
Sign Up to like & getrecommendations! Published in 2021 at "Computational Economics"
DOI: 10.1007/s10614-021-10092-y
Abstract: This investigation performs a detailed analysis of how the cross-shareholding network enhances stock market comovement and leads to the rise of the risk contagion effect. We construct a model with random shocks to describe the… read more here.
Keywords: risk contagion; contagion; shareholding network; cross shareholding ... See more keywords
International stock market risk contagion during the COVID-19 pandemic
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102145
Abstract: Abstract This paper examines the risk contagion among international stock markets during the COVID-19 pandemic by using the realized volatility information from sixteen major stock markets in the world. The empirical evidence based on the… read more here.
Keywords: international stock; risk contagion; stock; stock markets ... See more keywords
COVID-19 and schools: what is the risk of contagion? Results of a rapid-antigen-test-based screening campaign in Florence, Italy
Sign Up to like & getrecommendations! Published in 2021 at "International Journal of Infectious Diseases"
DOI: 10.1016/j.ijid.2021.09.027
Abstract: Introduction in the COVID-19 era, the debate around the risk of contagion at school, is intense in Italy. The Department of Welfare and Wealth of Florence promoted a screening campaign with antigen rapid tests for… read more here.
Keywords: screening campaign; florence; school; test ... See more keywords
Tail risk contagion between international financial markets during COVID-19 pandemic
Sign Up to like & getrecommendations! Published in 2020 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2020.101649
Abstract: Abstract In this paper, we combine the time-varying financial network model and FARM-selection approach to analyze the tail risk contagion between international financial market during the COVID-19 epidemic. Since the tail risk acts as a… read more here.
Keywords: tail risk; risk contagion; risk; international financial ... See more keywords
Sovereign Risk Contagion in East Asia: A Mixture of Time-Varying Copulas Approach
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DOI: 10.1080/1540496x.2018.1445989
Abstract: ABSTRACT This study analyzes sovereign risk contagion between four East Asian economies (China, Hong Kong, Japan, and Korea) and its structural changes through the Global Financial Crisis (GFC) and the European Debt Crisis (EDC) by… read more here.
Keywords: dependence; sovereign risk; mixture time; contagion ... See more keywords
Measuring Systemic Risk Contagion Effect of the Banking Industry in China: A Directed Network Approach
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DOI: 10.1080/1540496x.2019.1711368
Abstract: ABSTRACT To capture the impact of investor sentiment on risk contagion of financial institutions and potential tail risks caused by financial network structure, this paper uses a directed network approach to measure systemic risk contagion… read more here.
Keywords: systemic risk; risk contagion; risk; network ... See more keywords
How Connected Is China’s Systemic Financial Risk Contagion Network?—A Dynamic Network Perspective Analysis
Sign Up to like & getrecommendations! Published in 2023 at "Mathematics"
DOI: 10.3390/math11102267
Abstract: Modeling the effects and paths of systemic financial risk contagion is significant for financial stability. This paper focuses on China’s systemic financial risk from the perspective of dynamic networks. First, we construct a high-dimensional dynamic… read more here.
Keywords: network; contagion; risk; systemic financial ... See more keywords