An entropy-based early warning indicator for systemic risk

Citations

Cited by:

1. Gruber, Lutz F. & West, Mike, 2017. "Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models," Econometrics and Statistics, Elsevier, vol. 3(C), pages 3-22.
2. Casarin, Roberto & Costola, Michele, 2019. "Structural changes in large economic datasets: A nonparametric homogeneity test," Economics Letters, Elsevier, vol. 176(C), pages 55-59.
3. De Novellis, G. & Musile Tanzi, P. & Ranalli, M.G. & Stanghellini, E., 2024. "Leveraged finance exposure in the banking system: Systemic risk and interconnectedness," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
4. Paulo L. dos Santos & Jangho Yang, 2019. "The persistent and informative distribution of returns on capital," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 156-165.
5. Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.
6. Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
7. Allaj, Erindi & Sanfelici, Simona, 2023. "Early Warning Systems for identifying financial instability," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1777-1803.
8. Hossein Dastkhan, 2021. "Network‐based early warning system to predict financial crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 594-616, January.
9. Chabot, Miia & Bertrand, Jean-Louis, 2021. "Complexity, interconnectedness and stability: New perspectives applied to the European banking system," Journal of Business Research, Elsevier, vol. 129(C), pages 784-800.
10. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Gong, Jue & Li, Zhao-Chen & Zhu, You, 2024. "Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 329-358.
11. Liang He & Shouwei Li, 2017. "Network Entropy and Systemic Risk in Dynamic Banking Systems," Complexity, Hindawi, vol. 2017, pages 1-7, November.
12. Yang, Hsin-Feng & Liu, Chih-Liang & Yeutien Chou, Ray, 2020. "Bank diversification and systemic risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 311-326.
13. Anna Maria Fiori & Francesco Porro, 2023. "A compositional analysis of systemic risk in European financial institutions," Annals of Finance, Springer, vol. 19(3), pages 325-354, September.
14. Miriam Kamah & Joshua Riti, 2024. "Measuring the connectedness of the Nigerian banking network and its implications for systemic risk," Modern Finance, Modern Finance Institute, vol. 2(2), pages 96-119.
15. Xin Su & Shengsen Duan & Shubing Guo & Haolong Liu, 2018. "Evolutionary Games in the Agricultural Product Quality and Safety Information System: A Multiagent Simulation Approach," Complexity, Hindawi, vol. 2018, pages 1-13, March.
16. Roberto Casarin & Claudia Foroni & Massimiliano Marcellino & Francesco Ravazzolo, 2016. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," Working Papers 585, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    • Casarin, Roberto & Foroni, Claudia & Marcellino, Massimiliano & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.
17. Cheng, Xian & Zhao, Haichuan, 2019. "Modeling, analysis and mitigation of contagion in financial systems," Economic Modelling, Elsevier, vol. 76(C), pages 281-292.
18. Zhishuo Zhang & Yao Xiao & Zitian Fu & Kaiyang Zhong & Huayong Niu, 2022. "A Study on Early Warnings of Financial Crisis of Chinese Listed Companies Based on DEA–SVM Model," Mathematics, MDPI, vol. 10(12), pages 1-23, June.
19. Cristina Zeldea, 2020. "Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions," Administrative Sciences, MDPI, vol. 10(3), pages 1-14, August.
20. Alonso-Alvarez, Irma & Molina, Luis, 2023. "How to foresee crises? A new synthetic index of vulnerabilities for emerging economies," Economic Modelling, Elsevier, vol. 125(C).
21. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
22. Li Wang, 2019. "The Risk Spillover Effects of Securities Companies in China’s Capital Market with the CoVaR Method," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(3), pages 1-7.
23. Radu Lupu & Adrian Cantemir Călin & Cristina Georgiana Zeldea & Iulia Lupu, 2021. "Systemic Risk Spillovers in the European Energy Sector," Energies, MDPI, vol. 14(19), pages 1-23, October.
24. Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
25. Sheng Wang & Sher Ali Khan & Mubbasher Munir & Reda Alhajj & Yousaf Ali Khan, 2022. "Entropy-based financial asset pricing: Evidence from Pakistan," PLOS ONE, Public Library of Science, vol. 17(12), pages 1-14, December.
26. Panayotis Michaelides & Mike Tsionas & Panos Xidonas, 2020. "A Bayesian Signals Approach for the Detection of Crises," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 551-585, September.