Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector

被引：2
|
作者：
Durante, Fabrizio [1 ]
Foscolo, Enrico [1 ]
Jaworski, Piotr [2 ]
Wang, Hao [3 ]
机构：
[1] Free Univ Bozen, Sch Econ & Management, Bolzano, Italy
[2] Univ Warsaw, Inst Math, Warsaw, Poland
[3] Sapienza Univ Rome, Dept Methods & Models Econ Terr & Finance, Rome, Italy
来源：
STRENGTHENING LINKS BETWEEN DATA ANALYSIS AND SOFT COMPUTING | 2015年 / 315卷
关键词：
Contagion; Copula; Tail dependence; FINANCIAL-MARKETS;
D O I：
10.1007/978-3-319-10765-3_26
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
We present some connectedness measures for an economic system that are derived from the spatial contagion measure. These measures are calculated directly from time series data and do not require any parametric assumption. The given definitions are illustrated in an empirical analysis of the behavior of European banking and insurance sector in the recent years.
引用
收藏
页码：217 / 224
页数：8
相关论文
共 50 条
  • [41] To Basel or not to Basel? Banking crises and contagion
    Samitas, Aristeidis
    Polyzos, Stathis
    [J]. JOURNAL OF FINANCIAL REGULATION AND COMPLIANCE, 2015, 23 (03) : 298 - +
  • [42] Banking sector
    Krajicek, Jan
    [J]. FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III, 2017, : 432 - 439
  • [43] Proper measures of connectedness
    Mario Maggi
    Maria-Laura Torrente
    Pierpaolo Uberti
    [J]. Annals of Finance, 2020, 16 : 547 - 571
  • [44] Measuring contagion risk in international banking
    Avdjiev, S.
    Giudici, P.
    Spelta, A.
    [J]. JOURNAL OF FINANCIAL STABILITY, 2019, 42 : 36 - 51
  • [45] Proper measures of connectedness
    Maggi, Mario
    Torrente, Maria-Laura
    Uberti, Pierpaolo
    [J]. ANNALS OF FINANCE, 2020, 16 (04) : 547 - 571
  • [46] SPATIAL PERSPECTIVES ON TECHNOLOGICAL CHANGES IN THE BANKING SECTOR OF THE UNITED-KINGDOM
    MARSHALL, JN
    BACHTLER, JF
    [J]. ENVIRONMENT AND PLANNING A, 1984, 16 (04) : 437 - 450
  • [47] THE RELATIONSHIP BETWEEN INSURANCE INDUSTRY AND BANKING SECTOR IN CHINA: ASYMMETRIC GRANGER CAUSALITY TEST
    Pan, Guochen
    Guo, Jingyan
    Jing, Qiaoling
    [J]. ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2016, 19 (02): : 114 - 127
  • [48] AN EMPIRICAL INVESTIGATION ON PREDICTORS OF EMPLOYEE ENGAGEMENT CENTRIC TO BANKING AND INSURANCE SECTOR IN AP, INDIA
    Lakshmi, C. H. Vijaya
    Varma, M. S. Kishan
    Girijasri, P.
    [J]. JOURNAL OF PHARMACEUTICAL NEGATIVE RESULTS, 2022, 13 : 2003 - 2007
  • [49] Cross-border M&As in the financial sector: Is banking different from insurance?
    Focarelli, Dario
    Pozzolo, Alberto Franco
    [J]. JOURNAL OF BANKING & FINANCE, 2008, 32 (01) : 15 - 29
  • [50] Volatility contagion and connectedness between WTI and commodity markets
    Boroumand, Raphael Homayoun
    Porcher, Thomas
    [J]. FINANCE RESEARCH LETTERS, 2023, 58
12345