| bibtype |
J -
Journal Article
|
| ARLID |
0599184 |
| utime |
20241021104454.6 |
| mtime |
20241009235959.9 |
| WOS |
001139649700001 |
| DOI |
10.1016/j.ejor.2023.11.023 |
| title
(primary) (eng) |
Persistence in financial connectedness and systemic risk |
| specification |
| page_count |
15 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0252893 |
| ISSN |
0377-2217 |
| title
|
European Journal of Operational Research |
| volume_id |
314 |
| volume |
1 (2024) |
| page_num |
393-407 |
| publisher |
|
|
| keyword |
Finance |
| keyword |
Network connections |
| keyword |
Variance decompositions |
| keyword |
Persistence |
| keyword |
Spectral domain |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0473977 |
| name1 |
Ellington |
| name2 |
M. |
| country |
GB |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GX19-28231X |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0385135 |
|
| abstract
(eng) |
This paper characterizes dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature. Our approach allows us to test for statistical differences in such dynamic links. We document substantial differences in transitory and persistent linkages among US financial industry volatilities, argue that they track heterogeneously persistent sources of systemic risk, and thus may serve as a useful tool for market participants. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2025 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0357041 |
| cooperation |
| ARLID |
cav_un_auth*0473979 |
| name |
University of Liverpool Management School |
| country |
GB |
|
| confidential |
S |
| mrcbC91 |
A |
| mrcbT16-e |
OPERATIONSRESEARCHMANAGEMENTSCIENCE |
| mrcbT16-j |
1.443 |
| mrcbT16-D |
Q1 |
| arlyear |
2024 |
| mrcbU14 |
SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
001139649700001 WOS |
| mrcbU63 |
cav_un_epca*0252893 European Journal of Operational Research Roč. 314 č. 1 2024 393 407 0377-2217 1872-6860 Elsevier |
|