The recent financial crisis has prompted much new research on the interconnectedness of
the modern financial system and the extent to which it contributes to systemic fragility …

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 characterize equity return volatility connectedness in the network of major American and
European financial institutions, 2004–2014. Our methods enable precise characterization of …

Fire sales induced by investor redemptions have powerful spillover effects among funds that
hold the same assets, hurting peer funds' performance and flows, and leading to further …

It is almost self-evident that social interactions can determine economic behavior and
outcomes. Yet, information on social ties does not exist in most publicly available and widely …

Social interactions determine many economic behaviours, but information on social ties
does not exist in most publicly available and widely used datasets. We present results on the …

The aim of this study is to investigate intraday interactions between commodity markets.
Accordingly, we use Diebold and Yilmaz's 2009, 2012 framework to estimate the returns and …

The empirical analysis of auction data has become a thriving field of research over the past
thirty years. Relying on sophisticated models and advanced econometric methods, it …

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 asymmetric return spillovers in time and frequency domains across industrial
and precious metals and energy futures markets using daily data for 18/05/2011 …