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‘Too central to fail’ firms in bi-layered financial networks: evidence of linkages from the US corporate bond and stock markets
(Indian Institute of Management Ahmedabad, 2020-06-02)
Complex mutual dependencies of asset returns are recognized to contribute to systemic risk. A growing literature emphasizes that identification of vulnerable firms is a fundamental requirement for mitigating systemic risk ...
Fractional differencing: (in)stability of spectral structure and risk measures of financial networks
(Indian Institute of Management Ahmedabad, 2020-07-01)
Computation of spectral structure and risk measures from networks of multivariate financial time series data has been at the forefront of the statistical finance literature for a long time. A standard mode of analysis is ...