TY  - UNPD
A1  - Billio, Monica
A1  - Caporin, Massimiliano
A1  - Frattarolo, Lorenzo
A1  - Pelizzon, Loriana
T1  - Networks in risk spillovers: A Multivariate GARCH Perspective
T2  - SAFE working paper series ; No. 225
N2  - 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.
T3  - SAFE working paper - 225 
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/47237
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-472375
UR  - https://ssrn.com/abstract=3239369
PB  - SAFE
CY  - Frankfurt am Main
ER  -