create a website

Modeling Economic Activities and Random Catastrophic Failures of Financial Networks via Gibbs Random Fields. (2021). Pinar, Mustafa Elebi ; Onural, Levent ; Firtina, Can.
In: Computational Economics.
RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10023-3.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 30

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Design, systems approaches, and the engineering-economics nexus. (2021). Garcia-Diaz, Cesar.
    In: Economia e Politica Industriale: Journal of Industrial and Business Economics.
    RePEc:spr:epolin:v:48:y:2021:i:4:d:10.1007_s40812-021-00199-6.

    Full description at Econpapers || Download paper

References

References cited by this document

    References contributed by pha418-2955185

  1. Acemoglu, D., Ozdaglar, A., & Tahbaz-Salehi, A. (2015). Systemic risk and stability in financial networks. American Economic Review, 105(2), 564–608. https://doi.org/10.1257/aer.20130456.

  2. Acemoglu, D., Ozdaglar, A., & Tahbaz-Salehi, A. (2017). Microeconomic origins of macroeconomic tail risks. American Economic Review, 107(1), 54–108. https://doi.org/10.1257/aer.20151086.

  3. Afonso, G., Kovner, A., & Schoar, A. (2011). Stressed, not frozen: The federal funds market in the financial crisis. The Journal of Finance, 66(4), 1109–1139. https://doi.org/10.1111/j.1540-6261.2011.01670. x. Afonso, G., & Lagos, R. (2015). Trade dynamics in the market for federal funds. Econometrica, 83(1), 263–313. https://doi.org/10.3982/ECTA10586.

  4. American Economic Review, 90(3), 367–390. https://doi.org/10.1257/aer.90.3.367. 232 L. Onural et al.
    Paper not yet in RePEc: Add citation now
  5. Amini, H., Cont, R., & Minca, A. (2016). Resilience to contagion in financial networks. Mathematical Finance, 26(2), 329–365. https://doi.org/10.1111/mafi.12051.

  6. Bargigli, L., di Iasio, G., Infante, L., Lillo, F., & Pierobon, F. (2015). The multiplex structure of interbank networks. Quantitative Finance, 15(4), 673–691.

  7. Bech,M. L.,&Atalay, E. (2010). The topology of the federal funds market. Physica A: StatisticalMechanics and its Applications, 389(22), 5223–5246.

  8. Beichl, I.,&Sullivan, F. (2000). The Metropolis algorithm. Computing in Science Engineering, 2(1), 65–69.
    Paper not yet in RePEc: Add citation now
  9. Besag, J. (1974). Spatial interaction and the statistical analysis of lattice systems. Journal of the Royal Statistical Society Series B (Methodological), 36(2), 192–236.
    Paper not yet in RePEc: Add citation now
  10. Derin, H., & Kelly, P. A. (1989). Discrete-index markov-type random processes. Proceedings of the IEEE, 77(10), 1485–1510.
    Paper not yet in RePEc: Add citation now
  11. Diebold, F. X., & Yılmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182(1), 119–134, causality, prediction, and specification analysis: Recent advances and future directions.

  12. Fırtına, C. (2015). User’s manual for the GMRF economic activity simulator.
    Paper not yet in RePEc: Add citation now
  13. Fuhrer, J. C. (2000). Habit formation in consumption and its implications for monetary-policy models.

  14. Glasserman, P., & Young, H. P. (2016). Contagion in financial networks. Journal of Economic Literature, 54(3), 779–831. https://doi.org/10.1257/jel.20151228.

  15. Gofman,M. (2012). A network-based analysis of over-the-counter markets. In AFA 2012 Chicago meetings paper.
    Paper not yet in RePEc: Add citation now
  16. Gofman,M. (2017). Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions. Journal of Financial Economics, 124(1), 113–146.

  17. Gurelli, M. I., & Onural, L. (1994). On a parameter estimation method for Gibbs–Markov random fields. IEEE Transactions on Pattern Analysis and Machine Intelligence, 16(4), 424–430.
    Paper not yet in RePEc: Add citation now
  18. Hammersley, J. M., & Clifford, P. (1971).Markov random fields on finite lattices and graphs. Unpublished.
    Paper not yet in RePEc: Add citation now
  19. Havranek, T., Rusnak, M., & Sokolova, A. (2017). Habit formation in consumption: A meta-analysis. European Economic Review, 95, 142–167.

  20. Haykin, S. (1986). Adaptive filter theory. Prentice-Hall information and system sciences series. Upper Saddle River: Prentice-Hall.
    Paper not yet in RePEc: Add citation now
  21. Isham, V. (1981). An introduction to spatial point processes and Markov random fields. International Statistical Review/Revue Internationale de Statistique, 49(1), 21–43.
    Paper not yet in RePEc: Add citation now
  22. Leitner, Y. (2005). Financial networks: Contagion, commitment, and private sector bailouts. The Journal of Finance, 60(6), 2925–2953. https://doi.org/10.1111/j.1540-6261.2005.00821.x. Lucas, J. R. E. (1976). Economic policy evaluation: A critique. In K. Brunner & A. H. Meltzer (Eds.), The Philips curve and labor markets, Carnegie–Rochester conferences on public policy (pp. 19–46). Amsterdam: North Holland.

  23. Malamud, S., & Rostek, M. (2017). Decentralized exchange. American Economic Review, 107(11), 3320– 62. https://doi.org/10.1257/aer.20140759.

  24. Nelson, R., Dosi, G., Helfat, C., Pyka, A., Saviotti, P. P., Lee, K., et al. (2018). Modern evolutionary economics: An overview. Cambridge: Cambridge University Press.

  25. Onural, L. (1988). Vector Gibbs random fields and colored textures. In E. Gelenbe, E. Orhun, & E. Ba¸sar (Eds.), The Third international symposium on computer and information sciences (ISCIS), Izmir, Turkey.
    Paper not yet in RePEc: Add citation now
  26. Onural, L. (1991). Generating connected textured fractal patterns using markov random fields. IEEE Transactions on Pattern Analysis and Machine Intelligence, 13(8), 819–825.
    Paper not yet in RePEc: Add citation now
  27. Onural, L. (2016). Gibbs random fields and Markov random fields with constraints.
    Paper not yet in RePEc: Add citation now
  28. Peltonen, T. A., Scheicher, M., & Vuillemey, G. (2014). The network structure of the CDS market and its determinants. Journal of Financial Stability, 13, 118–133.

  29. Spitzer, F. (1971). Markov random fields and Gibbs ensembles. The American Mathematical Monthly, 78(2), 142–154.
    Paper not yet in RePEc: Add citation now
  30. Zawadowski, A. (2013). Entangled financial systems. The Review of Financial Studies, 26(5), 1291–1323. https://doi.org/10.1093/rfs/hht008. Publisher’s Note Springer Nature remains neutral

Cocites

Documents in RePEc which have cited the same bibliography

  1. Another history of global financial markets: Local stock market integration since 1913 from a network perspective. (2023). PARENT, Antoine ; BASTIDON, Cécile ; Bordo, Michael ; Weidenmier, Marc Daniel.
    In: The World Economy.
    RePEc:bla:worlde:v:46:y:2023:i:8:p:2456-2477.

    Full description at Econpapers || Download paper

  2. How connected is the global sovereign credit risk network?. (2020). Yilmaz, Kamil ; Bostanci, Gorkem.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300285.

    Full description at Econpapers || Download paper

  3. CoMap: Mapping Contagion in the Euro Area Banking Sector. (2019). Kok, Christoffer ; Gorpe, Mehmet ; Covi, Giovanni.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2019/102.

    Full description at Econpapers || Download paper

  4. Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/283963.

    Full description at Econpapers || Download paper

  5. Contagion in Financial Networks: A Threat Index. (2018). Demange, Gabrielle.
    In: Post-Print.
    RePEc:hal:journl:halshs-01630616.

    Full description at Econpapers || Download paper

  6. The Macroeconomic Impact of Microeconomic Shocks: Beyond Hultens Theorem. (2017). Baqaee, David ; Farhi, Emmanuel.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:479.

    Full description at Econpapers || Download paper

  7. Privacy-constrained network formation. (2017). Acemoglu, Daron ; Malekian, Azarakhsh ; Ozdaglar, Asuman ; Makhdoumi, Ali.
    In: Games and Economic Behavior.
    RePEc:eee:gamebe:v:105:y:2017:i:c:p:255-275.

    Full description at Econpapers || Download paper

  8. Systemic illiquidity in the interbank network. (2017). Liu, Zijun ; Langfield, Sam ; Ferrara, Gerardo ; Ota, Tomohiro.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0586.

    Full description at Econpapers || Download paper

  9. Peer Monitoring, Eigentümerstruktur und die Stabilität von Banken: Eine empirische Analyse für den deutschen genossenschaftlichen Bankensektor. (2016). Gunther, Susanne .
    In: Arbeitspapiere.
    RePEc:zbw:wwuifg:167.

    Full description at Econpapers || Download paper

  10. Too interconnected to fail: A survey of the Interbank Networks literature. (2016). Hüser, Anne-Caroline ; Huser, Anne-Caroline.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:91.

    Full description at Econpapers || Download paper

  11. The Consequences of Bank Loan Growth: Evidence from Asia. (2016). Vithessonthi, Chaiporn.
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:19..

    Full description at Econpapers || Download paper

  12. Are Banking Shocks Contagious? Evidence from the Eurozone. (2016). Flavin, Thomas ; Lagoa-Varela, Dolores.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n268-16.pdf.

    Full description at Econpapers || Download paper

  13. Crisis Transmission in the Global Banking Network. (2016). Minoiu, Camelia ; Hale, Galina ; Kapan, Tumer.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/091.

    Full description at Econpapers || Download paper

  14. Defaulting firms and systemic risks in financial networks. (2016). Houy, Nicolas ; Jouneau, Frederic.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01267340.

    Full description at Econpapers || Download paper

  15. Defaulting firms and systemic risks in financial networks. (2016). Houy, Nicolas ; Jouneau, Frederic.
    In: Working Papers.
    RePEc:gat:wpaper:1606.

    Full description at Econpapers || Download paper

  16. Volatility and correlation-based systemic risk measures in the US market. (2016). Civitarese, Jamil.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:459:y:2016:i:c:p:55-67.

    Full description at Econpapers || Download paper

  17. A financial network perspective of financial institutions’ systemic risk contributions. (2016). Zhuang, Xin-Tian ; Uryasev, Stan ; Yao, Shuang.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:456:y:2016:i:c:p:183-196.

    Full description at Econpapers || Download paper

  18. Systemic risk among European banks: A copula approach. (2016). Kleinow, Jacob ; Moreira, Fernando.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:42:y:2016:i:c:p:27-42.

    Full description at Econpapers || Download paper

  19. The credit quality channel: Modeling contagion in the interbank market. (2016). Krüger, Ulrich ; Kruger, Ulrich ; Wong, Lui-Hsian ; Fink, Kilian ; Meller, Barbara.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:25:y:2016:i:c:p:83-97.

    Full description at Econpapers || Download paper

  20. Overnight interbank markets and the determination of the interbank rate: A selective survey. (2016). Green, Christopher ; Murinde, Victor ; Tiriongo, Samuel ; Ngoka, Kethi ; Maana, Isaya ; Bai, YE.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:44:y:2016:i:c:p:149-161.

    Full description at Econpapers || Download paper

  21. Network structure analysis of the Brazilian interbank market. (2016). Tabak, Benjamin ; Silva, Thiago ; Stancato, Sergio Rubens.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:26:y:2016:i:c:p:130-152.

    Full description at Econpapers || Download paper

  22. Credit risk spillover between financials and sovereigns in the euro area during 2007-2015. (2016). Vergote, Olivier.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161898.

    Full description at Econpapers || Download paper

  23. Implicit rating: A potential new method to alert crisis on the interbank lending market. (2016). Berlinger, Edina.
    In: Corvinus Economics Working Papers (CEWP).
    RePEc:cvh:coecwp:2016/04.

    Full description at Econpapers || Download paper

  24. On the Economics of Crisis Contracts. (2016). Gersbach, Hans ; Volker, Britz ; Elias, Aptus .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11267.

    Full description at Econpapers || Download paper

  25. Financial Regulation in Europe: Foundations and Challenges. (2016). Carletti, Elena ; Beck, Thorsten ; Goldstein, Itay.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11147.

    Full description at Econpapers || Download paper

  26. Financial Linkages, Portfolio Choice and Systemic Risk. (2016). Goyal, Sanjeev ; Galeotti, Andrea ; Ghiglinoy, Christian .
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1612.

    Full description at Econpapers || Download paper

  27. Equity Markets’ Clustering and the Global Financial Crisis. (2016). Martínez, Constanza ; León, Carlos ; Kim, Geun-Young ; Lee, Daeyup ; Martinez, Constanza ; Leon, Carlos.
    In: Borradores de Economia.
    RePEc:bdr:borrec:937.

    Full description at Econpapers || Download paper

  28. Structure and Dynamics of the Global Financial Network. (2016). Tabak, Benjamin ; Silva, Thiago ; Stancato, Sergio Rubens.
    In: Working Papers Series.
    RePEc:bcb:wpaper:439.

    Full description at Econpapers || Download paper

  29. Modeling Financial Networks: a feedback approach. (2016). Tabak, Benjamin ; Silva, Thiago ; Alexandre, Michel ; da Silva, Michel Alexandre.
    In: Working Papers Series.
    RePEc:bcb:wpaper:438.

    Full description at Econpapers || Download paper

  30. A Microfounded Design of Interconnectedness-Based Macroprudential Policy. (2016). Fique, José.
    In: Staff Working Papers.
    RePEc:bca:bocawp:16-6.

    Full description at Econpapers || Download paper

  31. Can banks default overnight? Modeling endogenous contagion on O/N interbank market. (2016). Arendarski, Piotr ; Gubiec, Tomasz ; Ochnicki, Piotr ; Smaga, Pawel ; Wili, Mateusz .
    In: Papers.
    RePEc:arx:papers:1603.05142.

    Full description at Econpapers || Download paper

  32. The credit quality channel: Modeling contagion in the interbank market. (2015). Krüger, Ulrich ; Kruger, Ulrich ; Wong, Lui-Hsian ; Fink, Kilian ; Meller, Barbara.
    In: Discussion Papers.
    RePEc:zbw:bubdps:382015.

    Full description at Econpapers || Download paper

  33. The Econometrics of Networks: A Review. (2015). Ahelegbey, Daniel Felix.
    In: Working Papers.
    RePEc:ven:wpaper:2015:13.

    Full description at Econpapers || Download paper

  34. Surfing through the GFC: systemic risk in Australia. (2015). Matei, Marius ; Luciani, Matteo ; Dungey, Mardi ; Veredas, David.
    In: Working Papers.
    RePEc:tas:wpaper:22658.

    Full description at Econpapers || Download paper

  35. Contagion in Financial Networks. (2015). Young, Peyton ; Glasserman, Paul.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:764.

    Full description at Econpapers || Download paper

  36. Economic resilience: The usefulness of early warning indicators in OECD countries. (2015). Röhn, Oliver ; Rohn, Oliver ; Hermansen, Mikkel.
    In: OECD Economics Department Working Papers.
    RePEc:oec:ecoaaa:1250-en.

    Full description at Econpapers || Download paper

  37. Economic resilience: A new set of vulnerability indicators for OECD countries. (2015). Röhn, Oliver ; Rohn, Oliver ; Rasmussen, Morten ; Hermansen, Mikkel ; Sanchez, Aida Caldera.
    In: OECD Economics Department Working Papers.
    RePEc:oec:ecoaaa:1249-en.

    Full description at Econpapers || Download paper

  38. Contagion Risk and Network Design. (2015). Goyal, Sanjeev ; Cerdeiro, Diego ; Dziubinski, Marcin.
    In: Working Papers.
    RePEc:fem:femwpa:2015.56.

    Full description at Econpapers || Download paper

  39. Network games with incomplete information. (2015). Zenou, Yves ; de Martí Beltran, Joan ; de Marti, Joan.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:61:y:2015:i:c:p:221-240.

    Full description at Econpapers || Download paper

  40. Information, Coordination, and Market Frictions: An Introduction. (2015). Vives, Xavier ; Pavan, Alessandro.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:158:y:2015:i:pb:p:407-426.

    Full description at Econpapers || Download paper

  41. Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions. (2015). Panchenko, Valentyn ; Anufriev, Mikhail.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s241-s255.

    Full description at Econpapers || Download paper

  42. Transmission channels of systemic risk and contagion in the European financial network. (2015). Paltalidis, Nikos ; Koutelidakis, Yiannis ; Kizys, Renatas ; Gounopoulos, Dimitrios.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s1:p:s36-s52.

    Full description at Econpapers || Download paper

  43. Interconnectedness of the banking sector as a vulnerability to crises. (2015). Rancan, Michela ; Peltonen, Tuomas ; Sarlin, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151866.

    Full description at Econpapers || Download paper

  44. Conflict and Networks. (2015). Goyal, Sanjeev ; Dziubinski, Marcin ; Vigier, Adrien.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1565.

    Full description at Econpapers || Download paper

  45. Contagion Risk and Network Design. (2015). Goyal, Sanjeev ; Cerdeiro, Diego ; Dziubinski, Marcin.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1547.

    Full description at Econpapers || Download paper

  46. Networks and the macroeconomy: an empirical exploration. (2015). Kerr, William R ; Akcigit, Ufuk ; Acemoglu, Daron.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:urn:nbn:fi:bof-201512101464.

    Full description at Econpapers || Download paper

  47. Networks and the macroeconomy: an empirical exploration. (2015). Kerr, William ; Akcigit, Ufuk ; Acemoglu, Daron.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2015_025.

    Full description at Econpapers || Download paper

  48. Network Structure Analysis of the Brazilian Interbank Market. (2015). Tabak, Benjamin ; Silva, Thiago ; Sergio Rubens Stancato de Souza, .
    In: Working Papers Series.
    RePEc:bcb:wpaper:391.

    Full description at Econpapers || Download paper

  49. Network Games with Incomplete Information. (2014). Zenou, Yves ; de Martí Beltran, Joan ; de Marti, Joan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10290.

    Full description at Econpapers || Download paper

  50. Key Players. (2014). Zenou, Yves.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10277.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 20:08:41 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.