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

Monica Billio, Mila Getmansky, Andrew W. Lo & Loriana Pelizzon

Published Date June 2012

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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Monica Billio, Mila Getmansky, Andrew W. Lo, and Loriana Pelizzon, Market Institutions and Financial Market Risk (Journal of Financial Economics 104 (3), 2010), https://www.nber.org/books-and-chapters/market-institutions-and-financial-market-risk/econometric-measures-connectedness-and-systemic-risk-finance-and-insurance-sectors.

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