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Connectedness measures of spatial contagion in the banking and insurance sector
Book chapter   Peer reviewed

Connectedness measures of spatial contagion in the banking and insurance sector

Fabrizio Durante, Enrico Foscolo, Piotr Jaworski and Hao Wang
Strengthening Links Between Data Analysis and Soft Computing, Vol.315, pp.217-224
Advances in Intelligent Systems and Computing, 315, Springer International Publishing
2015
DOI: https://doi.org/10.1007/978-3-319-10765-3_26
Handle:
https://hdl.handle.net/10863/3381

Abstract

Quantitative methods and economic modeling Copulas Insurance Quantitative risk management Networks
We present some connectedness measures for an economic system that are derived from the spatial contagion measure. These measures are calculated directly from time series data and do not require any parametric assumption. The given definitions are illustrated in an empirical analysis of the behavior of European banking and insurance sector in the recent years.
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http://link.springer.com/chapter/10.1007/978-3-319-10765-3_26View

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