Proper measures of connectedness

Acemoglu, D., Ozdaglar, A., Tahbaz-Salehi, A.: Systemic risk and stability in financial networks. Am Econ Rev 105(2), 564–608 (2015)

Acharya, V.V., Engle, R., Richardson, M.: Capital shortfall: a new approach to ranking and regulating systemic risks. Am Econ Rev 102, 59–64 (2012)

Acharya, V.V., Pedersen, L.H., Philippon, T., Richardson, M.: Measuring systemic risk. Rev Financ Stud 30(1), 2–47 (2017)

Adrian, T., Brunnermeier, M.K.: CoVar: a method for macroprudential regulation. Federal Reserve Bank of New York Staff Report 348 (2009)

Adrian, T., Brunnermeier, M.K.: CoVar. National Bureau of Economic Research Working Paper 17454 (2009). http://www.nber.org/papers/w17454

Aikman, D., Alessandri, P., Eklund, B., Gai, P., Kapadia, S., Martin, E., Mora, N., Sterne G., Willison, M.: Funding liquidity risk in a quantitative model of systemic stability. Working Paper No. 372, Bank of England (2009)

Andersen, T.G., Bollerslev, T., Diebold, F.X.: Parametric and nonparametric volatility measurement. Handb Financ Econom Tools Tech Handb Finance 1, 67–137 (2010)

Barunikn, J., Kocenda, E., Vacha, L.: Asymmetric connectedness on the U.S. stock market: bad and good volatility spillovers. J Financ Mark 27, 55–78 (2016)

Belsley, D.A., Kuh, E., Welsch, R.R.: Regression Diagnostics: Identifying Influential Data and Sources of Collinearity. New York: Wiley (1980)

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

Bilson, J.F.O.: Leading indicators of currency devaluations. Columbia J World Bus 14, 62–76 (1979)

Bisias, D., Flood, M., Lo, A.W., Valavanis, S.: A survey of systemic risk analytics. Annu Rev Financ Econ 4, 255–299 (2012)

Caccioli, F., Barucca, P., Kobayashi, T.: Network models of financial systemic risk: a review. J Comput Soc Sci 1(1), 81–114 (2018)

Chin-Shien, L., Khan Haider, A., Chang, W.Y., Ruei-Yuan, C.: A new approach to modelling early warning systems for currency crises: can a machine-learning fuzzy expert system predict the currency crises effectively? Center for International Research on the Japanese Economy Discussion Paper, CIRJE-F-411, Tokyo (2006)

Chisini, O.: Sul concetto di media. Periodico di Matematiche 4, 106–116 (1929)

De Finetti, B.: Sul concetto di media. Giornale dell’Istituto Italiano degli Attuari, Anno II(3), 369–396 (1931)

Demirer, M., Diebold, F.X., Liu, L., Yilmaz, K.: Estimating global bank network connectedness. J Appl Econom 33(1), 1–15 (2018)

Diebold, F.X., Yilmaz, K.: Measuring financial asset return and volatility spillovers, with application to global equity markets. Econ J 119, 158–171 (2009)

Diebold, F.X., Yilmaz, K.: Better to give than to receive: predictive directional measurement of volatility spillovers (with discussion). Int J Forecast 28, 57–66 (2012)

Diebold, F.X., Yilmaz, K.: On the network topology of variance decompositions: measuring the connectedness of financial firms. J Econom 182, 119–134 (2014)

Elsinger, H., Lehar, A., Summer, M.: Systemically important banks: an analysis for the European banking system. Int Econ Econ Policy 3(1), 73–89 (2006)

Figini, S., Maggi, M., Uberti, P.: The market rank indicator to detect financial distress. Econom Stat 14, 63–73 (2018)

Frankel, J.A., Saravelos, G.: Are leading indicators of financial crises useful for assessing country vulnerability? Evidence from the 2008–2009 global crisis. National Bureau of Economic Research Working paper No. 16047 (2010)

Gaytàn, A., Johnson, C.A.: A Review of the literature on early warning systems for banking crises. Working Papers Central Bank of Chile 183 (2002)

Golub, G.H., Van Loan, C.F.: Matrix Computations, 2nd edn. Baltimore: The Johns Hopkins University Press (1989)

Grabisch, M., Marichal, J.L., Mesiar, R., Pap, E.: Aggregation functions: means. Inf Sci 181(1), 1–22 (2011)

Kaminsky, G.L.: Currency and banking crises: the early warnings of distress. International Monetary Fund Working Paper 99/178 (1999)

Kolmogoroff, A.N.: Sur la notion de la moyenne. Atti R Accad Naz Lincei 12(6), 388–391 (1930)

Kritzman, M., Li, Y., Page, S., Rigobon, R.: Principal components as a measure of systemic risk. J Portfolio Manag 37(4), 112–126 (2011)

Krugman, P.: A model of balance-of-payments crises. J Money Credit Bank 11(3), 311–325 (1979)

Mahalanobis, P.C.: On the generalised distance in statistics. Proc Natl Inst Sci India 2(1), 49–55 (1936)

Manasse, P., Roubini, N.: “Rules of thumb” for sovereign debt crises. J Int Econ 78(2), 192–205 (2009)

Merton, R.C.: Measuring the connectedness of the financial system: implications for risk management. E-Q Res Bull 5(1), 1–15 (2014)

Pederzoli, C., Torricelli, C.: Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. Ann Finance 13(3), 237–251 (2017)

Rose, A.K., Spiegel, M.M.: International financial remoteness and macroeconomic volatility. J Dev Econ 89(2), 250–257 (2009)

Sarlin, P., Holopainen, M.: Toward robust early-warning models: a horse race, ensembles and model uncertainty. Quant Finance 17(12), 1933–1963 (2017)

Sarlin, P., Mezei, J.: Aggregating expert knowledge for the measurement of systemic risk. Decis Support Syst 88, 38–50 (2016)

Stolbov, M., Shchepeleva, M.: Systemic risk in Europe: deciphering leading measures, common patterns and real effects. Ann Finance 14(1), 49–91 (2018)

Torrente, M., Uberti, P.: A rescaling technique for robust portfolio optimization. Submitted mimeo

Wu, G.: The determinants of asymmetric volatility. Rev Financ Study 14(3), 837–859 (2001)

Zhang, D., Broadstock, D.C.: Global financial crisis and rising connectedness in the international commodity markets. Int Rev Financ Anal (2018). https://doi.org/10.1016/j.irfa.2018.08.003

Zheng, Z., Podobnik, B., Feng, L., Li, B.: Changes in cross-correlations as an indicator for systemic risk. Sci Rep 2, 1–8 (2012)