The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets
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| Định dạng: | Sách |
| Ngôn ngữ: | English |
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s11403-022-00364-7 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7764 |
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oai:localhost:PNK-77642023-04-11T04:46:51Z The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets Roy, Cerqueti Giulia, Rotundo theoretical framework financial markets CC BY In this work, we focus on the cross-shareholding structure in financial markets. Specifically, we build ad hoc indices of concentration and control by employing a complex network approach with a weighted adjacency matrix. To describe their left and right tail dependence properties, we explore the theoretical dependence structure between such indices through copula functions. The theoretical framework has been tested over a high-quality dataset based on the Italian Stock Market. In doing so, we clearly illustrate how the methodological setting works and derive financial insights. In particular, we advance calibration exercises on parametric copulas under the minimization of both Euclidean distance and entropy measure. 2023-04-11T04:46:51Z 2023-04-11T04:46:51Z 2022 Book https://link.springer.com/article/10.1007/s11403-022-00364-7 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7764 en application/pdf Springer |
| institution |
Digital Phenikaa |
| collection |
Digital Phenikaa |
| language |
English |
| topic |
theoretical framework financial markets |
| spellingShingle |
theoretical framework financial markets Roy, Cerqueti Giulia, Rotundo The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets |
| description |
CC BY |
| format |
Book |
| author |
Roy, Cerqueti Giulia, Rotundo |
| author_facet |
Roy, Cerqueti Giulia, Rotundo |
| author_sort |
Roy, Cerqueti |
| title |
The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets |
| title_short |
The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets |
| title_full |
The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets |
| title_fullStr |
The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets |
| title_full_unstemmed |
The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets |
| title_sort |
weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets |
| publisher |
Springer |
| publishDate |
2023 |
| url |
https://link.springer.com/article/10.1007/s11403-022-00364-7 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7764 |
| _version_ |
1762909084339666944 |
| score |
8.891787 |