Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

Monica Billio, Mila Getmansky, Andrew W. Lo & Loriana Pelizzon
Published Date
Copyright 2012
DOI 10.1016/j.jfineco.2011.12.010
Book: Market Institutions and Financial Market Risk
Book organizers: Mark Carey, Anil Kashyap, Raghuram Rajan & René Stulz
PUBLISHER: Journal of Financial Economics 104 (3)

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Topics

Econometrics
Estimation Methods
Financial Economics
Portfolio Selection and Asset Pricing
Financial Institutions

Published From Paper

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
- Working Paper
We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns...

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