Wednesday May\u00a06 2015
\n13:00
\nScuola Normale Superiore
\nAula Bianchi<\/p>\n
Massimiliano Caporin Abstract<\/strong> Wednesday May\u00a06 2015 13:00 Scuola Normale Superiore Aula Bianchi Massimiliano Caporin Department of Economics and Management “Marco Fanno” –\u00a0Universit\u00e0 di Padova Abstract The need for understanding the propagation mechanisms behind the recent financial crises lead the increased interest for works associated with asset interconnections. In this framework, network-based methods have been used to infer from […]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/608"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=608"}],"version-history":[{"count":3,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/608\/revisions"}],"predecessor-version":[{"id":648,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/608\/revisions\/648"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=608"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=608"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=608"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
\n<\/strong>Department of Economics and Management “Marco Fanno” –\u00a0Universit\u00e0 di Padova<\/p>\n
\nThe need for understanding the propagation mechanisms behind the recent financial crises lead the increased interest for works associated with asset interconnections. In this framework, network-based methods have been used to infer from data the linkages between institutions. In this paper, we elaborate on this and make a step forward by introducing network linkages into linear factor models. Networks are used to infer the exogenous and contemporaneous links across assets, and impacts on several dimensions: network exposures act as in inflating factor for systematic exposure to common factors with implications for pricing; the power of diversication is reduced by the presence of network connections; in the presence of network links a misspecied traditional linear factor model provides residuals that are correlated and heteroskedastic. We support our claims with an extensive simulation experiment. Joint work with Monica Billio, Roberto Panzica, and Loriana Pelizzon.<\/p>\n","protected":false},"excerpt":{"rendered":"