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Akademický článek

Structural Correlations in the Italian Overnight Money Market: An Analysis Based on Network Configuration Models

Autor: Duc Thi Luu, Thomas Lux, Boyan Yanovski

Publikováno v: Entropy, Vol 19, Iss 6, p 259 (2017)

We study the structural correlations in the Italian overnight money market over the period 1999–2010. We show that the structural correlations vary across different versions of the network. Moreover, we employ different configuration models and exa

Externí odkaz: https://doaj.org/article/6b276cec2bea470c995606d9ddf42745

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Synchronization patterns in the European Union

Autor: Duc Thi Luu, Mauro Napoletano, Mattia GUERINI

Publikováno v: Applied Economics. 55:2038-2059

We propose a novel approach to investigate the synchronization of business cycles and we apply it to a Eurostatdatabase of manufacturing industrial production time-series in the European Union (EU) over the 2000-2017 period.Our approach exploits Rand

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a10a80935a551d1e4881c26c518f709f
https://doi.org/10.1080/00036846.2022.2101607

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Akademický článek

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Portfolio Correlations in the Bank-Firm Credit Market of Japan

Autor: Duc Thi Luu

Publikováno v: Computational Economics. 60:529-569

The recent global financial crisis has shown portfolio correlations between agents as one of the major channels of risk contagion and amplification. In this work, we analyse the structure and dynamics of the cross-correlation matrix of banks’ loan

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c876b6d578a24c19349b0da4ec6fd9f4
https://doi.org/10.1007/s10614-021-10157-y

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An analysis of systemic risk in worldwide economic sentiment indices

Autor: Thomas Lux, Duc Thi Luu, Boyan Yanovski

Publikováno v: Empirica. 47:909-928

We investigate the temporal dynamics of correlations between sentiment indices worldwide. Employing the tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information embedded in the interacti

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::3d79751409d28508115645c18f39ca98
https://doi.org/10.1007/s10663-019-09464-3

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Multilayer overlaps and correlations in the bank-firm credit network of Spain

Autor: Thomas Lux, Duc Thi Luu

Publikováno v: Quantitative Finance. 19:1953-1974

We investigate the structural dependencies in the bank-firm credit market of Spain in the year 2007 under a multilayer network perspective. In particular, we decompose the original bipartite networ...

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::4268f802fd498e22f178553b11a251ec
https://doi.org/10.1080/14697688.2019.1620318

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The multilayer architecture of the global input-output network and its properties

Autor: Duc Thi Luu, Gian Paolo Clemente, Rosanna Grassi, Paolo Bartesaghi

We analyse the multilayer architecture of the global input-output network using sectoral trade data (WIOD, 2016 release). With a focus on the mesoscale structure and related properties, we find that the multilayer analysis that takes into considerati

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7a88c6666bfadf9bec9c046550e3723c

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Collateral Unchained: Rehypothecation networks, concentration and systemic effects

Autor: Duc Thi Luu, Mauro Napoletano, Stefano Battiston, Paolo Barucca

Publikováno v: Journal of Financial Stability
Journal of Financial Stability, Elsevier, 2021, pp.100811. ⟨10.1016/j.jfs.2020.100811⟩
Journal of Financial Stability, 2021, 52, pp.100811. ⟨10.1016/j.jfs.2020.100811⟩
Journal of Financial Stability, Elsevier, 2021, 52, pp.100811. ⟨10.1016/j.jfs.2020.100811⟩

We study how network structure affects the dynamics of collateral in presence of rehypothecation. We build a simple model wherein banks interact via chains of repo contracts and use their proprietary collateral or re-use the collateral obtained by ot

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::645f82b7b6624b3f0a1e53235741d86d
http://hdl.handle.net/10278/3732950

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