Too Connected to Fail? Inferring Network Ties From Price Co-Movements-Reference-Cited by-同舟云学术

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Too Connected to Fail? Inferring Network Ties From Price Co-Movements

Published:2017-05-16 Issue:1 Volume:37 Page:67-80
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Bosma Jakob J.¹^ORCID,Koetter Michael²,Wedow Michael³

Affiliation:

1. Faculty of Economics and Business, University of Groningen, 9700 AV Groningen, The Netherlands ()

2. Institute for Economic Research Halle IWH, Deutsche Bundesbank, Otto-von-Guericke University, D-06108 Halle (Saale), Germany ()

3. European Central Bank, 60314 Frankfurt a.M., Germany ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://tandfonline.com/doi/pdf/10.1080/07350015.2016.1272459

Reference39 articles.

1. A theory of systemic risk and design of prudential bank regulation

2. Measuring Systemic Risk

3. Counterparty credit risk and the credit default swap market

4. Factoring and weighting approaches to status scores and clique identification

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