Essays in Risk Modeling, Asset Pricing and Network Measurement in Finance

Download or read book Essays in Risk Modeling, Asset Pricing and Network Measurement in Finance written by Bixi Jian and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "Modelling financial interconnections and forecasting extreme losses are crucial for risk management in financial markets. This thesis studies multivariate risk spillovers at the high-dimensional market network level, as well as univariate extreme risk modelling at the asset level. The first chapter proposes a novel time series econometric method to measure high-dimensional directed and weighted market network structures. Direct and spillover effects at different horizons, between nodes and between groups, are measured in a unified framework. Using a similar network measurement framework, the second chapter investigates the relationship between stock illiquidity spillovers and the cross-section of expected returns. I find that central industries in illiquidity transmission networks earn higher average stock returns (around 4% per year) than other industries.The third chapter proposes a new Dynamic Stable GARCH model, which involves the use of stable distribution with time-dependent tail parameters to model and forecast tail risks in an extremely high volatility environment. We can differentiate extreme risks from normal market fluctuations with this model." --