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The weighted cross-shareholding complex network: a copula approach to concentration and control in financial markets

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Bibliographic Details
Main Authors: Roy, Cerqueti, Giulia, Rotundo
Format: Book
Language:English
Published: Springer 2023
Subjects:
theoretical framework
financial markets
Online Access:https://link.springer.com/article/10.1007/s11403-022-00364-7
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7764
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spelling 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 8.891695

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