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.
Connectedness measures of spatial contagion in the banking and insurance sector
Durante F;
2015-01-01
Abstract
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.File in questo prodotto:
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