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

Monica Billio, Mila Getmansky, Andrew Lo () and Loriana Pelizzon ()

A chapter in Market Institutions and Financial Market Risk, 2010 from National Bureau of Economic Research, Inc

JEL-codes: C51 G12 G29 (search for similar items in EconPapers)
Date: 2010
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Journal Article: Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)
Working Paper: Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors (2011)
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