Investigator(s)
Department
Begin
End
Agency
GACR
Identification Code
20-11769S
Project Focus
teoretický
aplikační
Project Type (EU)
other
Publications ÚTIA
Abstract
This project focuses on the construction of complex networks of financial markets’ linkages
around the world. First, several measures of associations will be considered, describing
different aspects of market relationships. Second, suitable subgraphs will be identified, in order to create a suitable network representation capturing main dependencies between markets. Finally, the network structure will be used in inference either as explanatory factor in modelling market characteristics, as well as a dependent variable to be explained by market nodal and edge attributes. This modelling should provide insights into phenomena such as return and volatility spillovers, as well as contagion in times of crisis.
around the world. First, several measures of associations will be considered, describing
different aspects of market relationships. Second, suitable subgraphs will be identified, in order to create a suitable network representation capturing main dependencies between markets. Finally, the network structure will be used in inference either as explanatory factor in modelling market characteristics, as well as a dependent variable to be explained by market nodal and edge attributes. This modelling should provide insights into phenomena such as return and volatility spillovers, as well as contagion in times of crisis.