Networks in risk spillovers: A multivariate GARCH perspective

Arbeitspapier

We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity and identification of the model, and analyze consistency and asymptotic normality of the quasi-maximum-likelihood estimator. We show how to isolate risk channels and we discuss how to compute target exposure able to reduce system variance. An empirical analysis on Euro-area cross-country holdings shows that Italy and Ireland are key players in spreading risk, France and Portugal are the major risk receivers, and we uncover Spain's non-trivial role as risk middleman.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SAFE Working Paper ; No. 225

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Econometrics ; General Financial Markets: General (includes Measurement and Data)
• Thema: spatial GARCH ; network ; risk spillover ; financial spillover

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Billio, Monica ; Caporin, Massimiliano ; Frattarolo, Lorenzo ; Pelizzon, Loriana
• Ereignis: Veröffentlichung
• (wer): Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
• (wo): Frankfurt a. M.
• (wann): 2018

Weitere Informationen

• DOI: doi:10.2139/ssrn.3239369
• Handle: http://hdl.handle.net/10419/181755
• URN: urn:nbn:de:hebis:30:3-472375
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ