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Graphical Network Models for International Financial Flows

Citations

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Cited by:

  1. Rui Faustino, 2016. "Portuguese National Accounts: a network approach," Working Papers Department of Economics 2016/18, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  2. Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Dynamic credit contagion and aggregate loss in networks," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  3. Erick Treviño Aguilar, 2020. "The interdependency structure in the Mexican stock exchange: A network approach," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-31, October.
  4. Paolo Giudici & Laura Parisi, 2016. "Bail in or Bail out? The Atlante example from a systemic risk perspective," DEM Working Papers Series 124, University of Pavia, Department of Economics and Management.
  5. Chao, Xiangrui & Ran, Qin & Chen, Jia & Li, Tie & Qian, Qian & Ergu, Daji, 2022. "Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions," International Review of Financial Analysis, Elsevier, vol. 80(C).
  6. Erick Trevi~no Aguilar, 2020. "The interdependency structure in the Mexican stock exchange: A network approach," Papers 2004.06676, arXiv.org.
  7. Paolo Giudici & Laura Parisi, 2016. "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series 116, University of Pavia, Department of Economics and Management.
  8. Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022. "Risk spillovers and interconnectedness between systemically important institutions," Journal of Financial Stability, Elsevier, vol. 58(C).
  9. Paolo Giudici & Laura Parisi, 2017. "Sovereign risk in the Euro area: a multivariate stochastic process approach," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1995-2008, December.
  10. Gian Paolo Clemente & Rosanna Grassi & Chiara Pederzoli, 2020. "Networks and market-based measures of systemic risk: the European banking system in the aftermath of the financial crisis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 159-181, January.
  11. Paolo Giudici & Laura Parisi, 2018. "CoRisk: Credit Risk Contagion with Correlation Network Models," Risks, MDPI, vol. 6(3), pages 1-19, September.
  12. Yun Feng & Xin Li, 2022. "The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 357-381, January.
  13. Zhu, Bo & Liu, Jiahao & Lin, Renda & Chevallier, Julien, 2021. "Cross-border systemic risk spillovers in the global oil system: Does the oil trade pattern matter?," Energy Economics, Elsevier, vol. 101(C).
  14. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2022. "Smart network based portfolios," Annals of Operations Research, Springer, vol. 316(2), pages 1519-1541, September.
  15. Abedifar, Pejman & Giudici, Paolo & Hashem, Shatha Qamhieh, 2017. "Heterogeneous market structure and systemic risk: Evidence from dual banking systems," Journal of Financial Stability, Elsevier, vol. 33(C), pages 96-119.
  16. Isaiah Hull & Or Sattath & Eleni Diamanti & Göran Wendin, 2024. "Quantum Technology for Economists," Contributions to Economics, Springer, number 978-3-031-50780-9, January.
  17. Paolo Giudici & Shatha Hashem, 2015. "Systemic risk of Islamic Banks," DEM Working Papers Series 103, University of Pavia, Department of Economics and Management.
  18. Araújo, Tanya & Faustino, Rui, 2017. "The topology of inter-industry relations from the Portuguese national accounts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 236-248.
  19. Roy Cerqueti & Gian Paolo Clemente & Rosanna Grassi, 2018. "Systemic risk assessment through high order clustering coefficient," Papers 1810.13250, arXiv.org, revised Jul 2020.
  20. Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.
  21. Li, Jingwei & Li, Shouwei, 2023. "Immunization of systemic risk in trade–investment networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
  22. Nicola, Giancarlo & Cerchiello, Paola & Aste, Tomaso, 2020. "Information network modeling for U.S. banking systemic risk," LSE Research Online Documents on Economics 107563, London School of Economics and Political Science, LSE Library.
  23. Paolo Giudici & Laura Parisi, 2019. "Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution," Risks, MDPI, vol. 7(1), pages 1-25, January.
  24. Sigríður Benediktsdóttir & Margrét V. Bjarnadóttir & Guðmundur A. Hansen, 2016. "Large exposure estimation through automatic business group identification," Annals of Operations Research, Springer, vol. 247(2), pages 503-521, December.
  25. Pagnottoni, Paolo & Spelta, Alessandro, 2023. "The motifs of risk transmission in multivariate time series: Application to commodity prices," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
  26. Ahelegbey, Daniel Felix & Cerchiello, Paola & Scaramozzino, Roberta, 2022. "Network based evidence of the financial impact of Covid-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 81(C).
  27. Paola Cerchiello & Paolo Giudici, 2017. "Categorical network models for systemic risk measurement," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(4), pages 1593-1609, July.
  28. Paolo Giudici & Peter Sarlin & Alessandro Spelta, 2016. "The multivariate nature of systemic risk: direct and common exposures," DEM Working Papers Series 118, University of Pavia, Department of Economics and Management.
  29. Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 665-688, June.
  30. Giudici, Paolo & Abu-Hashish, Iman, 2019. "What determines bitcoin exchange prices? A network VAR approach," Finance Research Letters, Elsevier, vol. 28(C), pages 309-318.
  31. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
  32. Khai X. Chiong & Hyungsik Roger Moon, 2017. "Estimation of Graphical Models using the $L_{1,2}$ Norm," Papers 1709.10038, arXiv.org, revised Oct 2017.
  33. Jinzhou Li & Marloes H. Maathuis, 2021. "GGM knockoff filter: False discovery rate control for Gaussian graphical models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(3), pages 534-558, July.
  34. Giudici, Paolo, 2018. "Financial data science," Statistics & Probability Letters, Elsevier, vol. 136(C), pages 160-164.
  35. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
  36. Mikhail Stolbov & Daniil Parfenov, 2023. "Credit risk linkages in the international banking network, 2000–2019," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-38, September.
  37. Ahelegbey, Daniel Felix & Celani, Alessandro & Cerchiello, Paola, 2024. "Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment," Socio-Economic Planning Sciences, Elsevier, vol. 92(C).
  38. Dawei Cheng & Yao Zou & Sheng Xiang & Changjun Jiang, 2024. "Graph Neural Networks for Financial Fraud Detection: A Review," Papers 2411.05815, arXiv.org, revised Nov 2024.
  39. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series 188, University of Pavia, Department of Economics and Management.
  40. Chen, Naixi & Fan, Hong, 2023. "Credit risk contagion and optimal dual control—An SIS/R model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 210(C), pages 448-472.
  41. Laurenţiu Cătălin Hinoveanu & Fabrizio Leisen & Cristiano Villa, 2020. "A loss‐based prior for Gaussian graphical models," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 62(4), pages 444-466, December.
  42. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2018. "Asset allocation: new evidence through network approaches," Papers 1810.09825, arXiv.org.
  43. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2019. "Smart network based portfolios," Papers 1907.01274, arXiv.org.
  44. Ahelegbey, Daniel Felix & Giudici, Paolo & Hadji-Misheva, Branka, 2019. "Latent factor models for credit scoring in P2P systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 112-121.
  45. Lucas Paiva de Carvalho & Tanya Araújo, 2023. "The Dynamics of Exchange Traded Funds: a geometrical and topological approach," Working Papers REM 2023/0302, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  46. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2021. "Asset allocation: new evidence through network approaches," Annals of Operations Research, Springer, vol. 299(1), pages 61-80, April.
  47. Ying Chen & Paolo Giudici & Branka Hadji Misheva & Simon Trimborn, 2020. "Lead Behaviour in Bitcoin Markets," Risks, MDPI, vol. 8(1), pages 1-14, January.
  48. Li, Bingqing & Zhang, Xiaoyuan, 2024. "Systemic risk and financial networks," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 25-36.
  49. Paolo Giudici & Laura Parisi, 2015. "Modeling Systemic Risk with Correlated Stochastic Processes," DEM Working Papers Series 110, University of Pavia, Department of Economics and Management.
  50. Frank Emmert-Streib & Aliyu Musa & Kestutis Baltakys & Juho Kanniainen & Shailesh Tripathi & Olli Yli-Harja & Herbert Jodlbauer & Matthias Dehmer, 2017. "Computational Analysis of the structural properties of Economic and Financial Networks," Papers 1710.04455, arXiv.org.
  51. Bhattacharya, Mita & Inekwe, John Nkwoma & Valenzuela, Maria Rebecca, 2020. "Credit risk and financial integration: An application of network analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
  52. Paolo Bartesaghi & Gian Paolo Clemente & Rosanna Grassi, 2020. "Community structure in the World Trade Network based on communicability distances," Papers 2001.06356, arXiv.org, revised Jul 2020.
  53. Makoto Naraoka & Teruaki Hayashi & Takaaki Yoshino & Toshiaki Sugie & Kota Takano & Yukio Ohsawa, 2021. "Explaining Dynamic Changes in Various Asset’s Relationships in Financial Markets," The Review of Socionetwork Strategies, Springer, vol. 15(2), pages 597-611, November.
  54. Roy Cerqueti & Gian Paolo Clemente & Rosanna Grassi, 2021. "Systemic risk assessment through high order clustering coefficient," Annals of Operations Research, Springer, vol. 299(1), pages 1165-1187, April.
  55. Emma Apps, 2020. "Applying a Bayesian Network to VaR Calculations," Working Papers 202024, University of Liverpool, Department of Economics.
  56. Kanas, Angelos & Molyneux, Philip & Zervopoulos, Panagiotis D., 2023. "Systemic risk and CO2 emissions in the U.S," Journal of Financial Stability, Elsevier, vol. 64(C).
  57. Pagnottoni, Paolo & Spelta, Alessandro & Flori, Andrea & Pammolli, Fabio, 2022. "Climate change and financial stability: Natural disaster impacts on global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 599(C).
  58. Paolo Bartesaghi & Gian Paolo Clemente & Rosanna Grassi, 2022. "Community structure in the World Trade Network based on communicability distances," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 405-441, April.
  59. Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
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