We use LASSO methods to shrink, select, and estimate the high‐dimensional network
linking the publicly traded subset of the world's top 150 banks, 2003–2014. We characterize …

We use variance decompositions from high-dimensional vector autoregressions to
characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study …

We consider a random utility model of strategic network formation, where we derive a
tractable approximation to the distribution of network links using many-player asymptotics …

We use a network model of credit risk to measure market expectations of the potential
spillovers from a sovereign default. Specifically, we develop an empirical model, based on …

We analyze (frequency) connectedness and portfolio hedging among US energy
commodities from 1997 to 2023. We show that the total connectedness increased over time …

We propose a model and an estimation technique to distinguish systemic risk and contagion
in credit risk. The main idea is to assume, for a set of $ d $ obligors, a set of $ d …

Financial systemic risk is often assessed by the interconnectedness of financial institutes (FI)
in terms of cross-ownership, overlapping investment portfolios, interbank credit exposures …

Uncertainty shocks propagate within the network of Chinese institutions. While uncertainty
can have both positive or negative impact, the propagation focuses on" bad" uncertainty …

With the rapid development of economy and innovations in financial products, China's
financial market is becoming more and more important for global financial system. Differed …