Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Geraci, Marco Valerio"'
Publikováno v:
In Journal of Financial Markets September 2023 65
Autor:
Geraci, Marco Valerio
The goal of this thesis is to study the two key aspects of complexity of the financial system: interconnectedness and nonlinear relationships. In Chapter 1, I contribute to the literature that focuses on modelling the nonlinear relationship between v
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network science. Foll
Externí odkaz:
http://arxiv.org/abs/1707.00296
Publikováno v:
The Journal of Financial and Quantitative Analysis, 2018 Jun 01. 53(3), 1371-1390.
Externí odkaz:
https://www.jstor.org/stable/26591949
Publikováno v:
In Journal of Financial Stability December 2018 39:90-103
Autor:
Gandica, Yerali1,2 ygandica@gmail.com, Geraci, Marco Valerio1,3, Béreau, Sophie1,2,4, Gnabo, Jean-Yves1,2
Publikováno v:
PLoS ONE. 4/25/2018, Vol. 13 Issue 4, p1-23. 23p.
Publikováno v:
ECARES Working Papers; ECARES 2016-30
Short selling plays a crucial role for price discovery and liquidity purposes yetnational governing authorities decided to ban short selling in periods of extreme pricemovements, on the grounds that short selling can exacerbate price downturns. Where
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2101::6b15fd82453c78b7a72d33fb7305f07c
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/235546
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/235546
Publikováno v:
ECARES Working Papers; ECARES 2015-51
In this paper we propose a time-varying parameter framework to estimate the dynamic network of financial spillovers. In a series of simulation exercises, we show that our framework performs better than the classical approach based on Granger causalit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______2101::04ca40a8bccef3b1d869e920a58b808f
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/249920
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/249920
Autor:
Geraci, MV, Gnabo, JY
Publikováno v:
ECARES Working Papers; 2015-51
We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor’s 500 index and estimate interconnected
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::586857066d0adc8c25128f2df4c9a340
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/222092
http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/222092