Abstract
We present some connectedness measures for an economic system that are derived from the spatial contagion measure. These measures are calculated directly from time series data and do not require any parametric assumption. The given definitions are illustrated in an empirical analysis of the behavior of European banking and insurance sector in the recent years.
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© 2015 Springer International Publishing Switzerland
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Durante, F., Foscolo, E., Jaworski, P., Wang, H. (2015). Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector. In: Grzegorzewski, P., Gagolewski, M., Hryniewicz, O., Gil, M. (eds) Strengthening Links Between Data Analysis and Soft Computing. Advances in Intelligent Systems and Computing, vol 315. Springer, Cham. https://doi.org/10.1007/978-3-319-10765-3_26
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DOI: https://doi.org/10.1007/978-3-319-10765-3_26
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-10764-6
Online ISBN: 978-3-319-10765-3
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