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Abalfazl, Zareei ; Andrew W, Lo ; Loriana, Pelizzon ; Mila, Getmansky ; Monica, Billio ; Monica, Billio ; Andrew, Lo ; Loriana, Pelizzon. (2021) Global realignment in financial market dynamics: Evidence from ETF networks.
In: SAFE Working Paper Series. RePEc:zbw:safewp:304.
Full description at Econpapers
cites:
WHO-Report, 2020. Coronavirus disease (Covid-19) (available at https://covid19. who.int/) . Appendices A. Network Measures Through Time This appendix reports the dynamics of the degree centrality and Katz centrality for the estimated network measures from our minute-by-minute ETF returns. In Figure 9, the Katz centrality from VAR estimation is presented and in Figure 10, the degree centrality is presented from LASSO estimation of the lead-lag relationships between country-specific ETFs. The results are consistent with main results in the paper.
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