Related papers: Estimating Dynamic Spillover Effects along Multipl…
This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the…
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and…
Panel data arise in a wide range of application areas, and developing modelling methods for extreme values under such a setup is essential for reliable risk assessment and management. When choosing to model the marginal distributions of…
This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. economy in the…
We construct a data-driven model of flows in graphs that captures the essential elements of the movement of workers between jobs in the companies (firms) of entire economic systems such as countries. The model is based on the observation…
Most explanations of economic growth are based on knowledge spillovers, where the development of some technologies facilitates the enhancement of others. Empirical studies show that these spillovers can have a heterogeneous and rather…
Financial transactions constitute connections between entities and through these connections a large scale heterogeneous weighted graph is formulated. In this labyrinth of interactions that are continuously updated, there exists a variety…
An interbank market lets participants pool the risk arising from the combination of illiquid investments and random withdrawals by depositors. But it also creates the potential for one bank's failure to trigger off avalanches of further…
The problem of predicting links in large networks is an important task in a variety of practical applications, including social sciences, biology and computer security. In this paper, statistical techniques for link prediction based on the…
This paper studies regression discontinuity designs (RDD) when linear-in-means spillovers occur between units that are close in their running variable. We show that the RDD estimand depends on the ratio of two terms: (1) the radius over…
A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over…
We present a model that takes into account the coupling between evolutionary game dynamics and social influence. Importantly, social influence and game dynamics take place in different domains, which we model as different layers of a…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
We study a continuous-time dynamical system of nodes diffusively coupled over a hierarchical network to examine the efficiency and performance tradeoffs that organizations, teams, and command and control units face while achieving…
Network theory and inverse modeling are two standard tools of applied physics, whose combination is needed when studying the dynamical organization of spatially distributed systems from indirect measurements. However, the associated…
This study investigates the functioning of modern payment systems through the lens of banks' maturity mismatch practices, and it examines the effects of banks' refusal to roll over short-term interbank liabilities on financial stability.…
Social media is transforming various aspects of offline life, from everyday decisions such as dining choices to the progression of conflicts. In this study, we propose a coupled modelling framework with an online social network layer to…
Spreading broadly refers to the notion of an entity propagating throughout a networked system via its interacting components. Evidence of its ubiquity and severity can be seen in a range of phenomena, from disease epidemics to financial…
Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US trade conflicts. In this paper, we try…
The purpose of this study is to investigate the structure and evolution of knowledge spillovers across technological domains. Specifically, dynamic patterns of knowledge flow among 29 technological domains, measured by patent citations for…