Browsing by Subject "Financial networks"

Now showing 1 - 2 of 2

Open Access
Covid-19 pandemic and tail-dependency networks of financial assets
(Elsevier, 2020-10) Le, T. H.; Do, H. X.; Nguyen, D. K.; Şensoy, Ahmet
This study provides evidence on the frequency-based dependency networks of various financial assets in the tails of return distributions given the extreme price movements under the exceptional circumstance of the Covid-19 pandemic, qualified by the IMF as the Great Lockdown. Our results from the quantile cross-spectral analysis and tail-dependency networks show increases in the network density in both lower and upper joint distributions of asset returns. Particularly, we observe an asymmetric impact of the Covid-19 because the left-tail dependencies become stronger and more prevalent than the right-tail dependencies. The cross-asset tail-dependency of equity, currency and commodity also increases considerably, especially in the left-tail, implying a higher degree of tail contagion effects. Meanwhile, Bitcoin and US Treasury bonds are disconnected from both tail-dependency networks, which suggests their safe-haven characteristics.
Open Access
Modeling economic activities and random catastrophic failures of financial networks via gibbs random fields
(Springer, 2020) Onural, Levent; Pınar, Mustafa Çelebi; Fırtına, Can
The complicated economic behavior of entities in a population can be modeled as a Gibbs random field (GRF). Even with simple GRF models, which restrict direct statistical interactions with a small number of neighbors of an entity, real life economic and financial activities may be effectively described. A computer simulator is developed to run empirical experiments to assess different coupling structures and parameters of the presented model; it is possible to test many economic and financial models and policies in terms of their transient and steady-state consequences.