A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling
Abstract
:1. Introduction
2. Literature Review
3. Materials and Methods
3.1. Systemic Risk Measures
3.2. Bayesian Entropy Estimation
3.3. Diebold-Yilmaz Spillover Index Computation
4. Results and Discussion
4.1. Static DY Approach
4.2. Rolling Window DY Approach
4.3. Robustness Testing
5. Conclusions
Author Contributions
Funding
Conflicts of Interest
Appendix A. Economic Sectors
Sectors | |
1. | Automobiles & Components |
2. | Banks |
3. | Capital Goods |
4. | Commercial & Professional Services |
5. | Consumer Durables & Apparel |
6. | Consumer Services |
7. | Diversified Financials |
8. | Energy |
9. | Food & Staples Retailing |
10. | Food, Beverage & Tobacco |
11. | Health Care Equipment & Services |
12. | Household & Personal Products |
13. | Insurance |
14. | Materials |
15. | Media & Entertainment |
16. | Pharmaceuticals, Biotechnology &Life Sciences |
17. | Real Estate |
18. | Retailing |
19. | Semiconductors & Semiconductor Equipment |
20. | Software & Services |
21. | Technology Hardware & Equipment |
22. | Telecommunication Services |
23. | Transportation |
24. | Utilities |
Appendix B. Risk Measures Computation
Appendix C. Entropy Computation
Appendix D. Results for Beta Robustness
Appendix E. Results for VaR Robustness
Appendix F. Results for Robustness Testing for Different Rolling Window Specifications
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Lupu, R.; Călin, A.C.; Zeldea, C.G.; Lupu, I. A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling. Entropy 2020, 22, 1371. https://doi.org/10.3390/e22121371
Lupu R, Călin AC, Zeldea CG, Lupu I. A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling. Entropy. 2020; 22(12):1371. https://doi.org/10.3390/e22121371
Chicago/Turabian StyleLupu, Radu, Adrian Cantemir Călin, Cristina Georgiana Zeldea, and Iulia Lupu. 2020. "A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling" Entropy 22, no. 12: 1371. https://doi.org/10.3390/e22121371