Skip to main content
SpringerLink
Log in

Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector

  • Chapter
Strengthening Links Between Data Analysis and Soft Computing

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 315))

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.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Adrian, T., Brunnermeier, M.: Covar. Staff Reports 348, Federal Reserve Bank of New York (2008), http://ideas.repec.org/p/fip/fednsr/348.html

  2. Bernard, C., Brechmann, E., Czado, C.: Statistical assessments of systemic risk measures. In: Fouque, J.P., Langsam, J. (eds.) Handbook on Systemic Risk, pp. 165–179. Cambridge University Press, Cambridge (2013)

    Chapter  Google Scholar 

  3. Billio, M., Getmansky, M., Lo, A., Pelizzon, L.: Econometric measures of connectedness and systemic risk in the finance and insurance sectors. J. Fin. Econ. 104(3), 535–559 (2012)

    Article  Google Scholar 

  4. Durante, F., Foscolo, E.: An analysis of the dependence among financial markets by spatial contagion. Int. J. Intell. Syst. 28(4), 319–331 (2013)

    Article  Google Scholar 

  5. Durante, F., Foscolo, E., Jaworski, P., Wang, H.: A spatial contagion measure for financial time series. Expert Syst. Appl. 41(8), 4023–4034 (2014)

    Article  Google Scholar 

  6. Durante, F., Foscolo, E., Sabo, M.: A spatial contagion test for financial markets. In: Kruse, R., Berthold, M., Moewes, C., Gil, M.A., Grzegorzewski, P., Hryniewicz, O. (eds.) Synergies of Soft Computing and Statistics. AISC, vol. 190, pp. 313–320. Springer, Heidelberg (2013)

    Chapter  Google Scholar 

  7. Durante, F., Jaworski, P.: Spatial contagion between financial markets: a copula-based approach. Appl. Stoch. Models Bus. Ind. 26(5), 551–564 (2010)

    Article  MathSciNet  MATH  Google Scholar 

  8. Jaworski, P., Pitera, M.: On spatial contagion and multivariate GARCH models. Appl. Stoch. Models Bus. Ind. (2013) (in press) doi:10.1002/asmb.1977

    Google Scholar 

  9. Kolb, R. (ed.): Financial contagion: the viral threat to the wealth of nations. Wiley, Hoboken (2011)

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. School of Economics and Management, Free University of Bozen-Bolzano, Bolzano, Italy

    Fabrizio Durante & Enrico Foscolo

  2. Institute of Mathematics, University of Warsaw, Warszawa, Poland

    Piotr Jaworski

  3. Department “Methods and Models for Economics, Territory and Finance”, Sapienza University of Rome, Rome, Italy

    Hao Wang

Authors
  1. Fabrizio Durante
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Enrico Foscolo
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Piotr Jaworski
    View author publications

    You can also search for this author in PubMed Google Scholar

  4. Hao Wang
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Fabrizio Durante .

Editor information

Editors and Affiliations

  1. Polish Academy of Sciences, Faculty of Mathematics and Information Sciences, Systems Research Institute and Warsaw University of Technology, Warsaw, Poland

    Przemyslaw Grzegorzewski

  2. Polish Academy of Sciences, Faculty of Mathematics and Information Sciences, Systems Research Institute and Warsaw University of Technology, Warsaw, Poland

    Marek Gagolewski

  3. Polish Academy of Sciences Systems Research Institute, Warsaw, Poland

    Olgierd Hryniewicz

  4. Departamento de Estadistica e I.O. y D.M., University of Oviedo, Oviedo, Spain

    María Ángeles Gil

Rights and permissions

Reprints and permissions

Copyright information

© 2015 Springer International Publishing Switzerland

About this chapter

Cite this chapter

Durante, F., Foscolo, E., Jaworski, P., Wang, H. (2015). Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector. In: Grzegorzewski, P., Gagolewski, M., Hryniewicz, O., Gil, M. (eds) Strengthening Links Between Data Analysis and Soft Computing. Advances in Intelligent Systems and Computing, vol 315. Springer, Cham. https://doi.org/10.1007/978-3-319-10765-3_26

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-10765-3_26

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-10764-6

  • Online ISBN: 978-3-319-10765-3

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation