f_correlation_network_measures function

Dynamic systemic risk measures from correlation-based networks.

This function provides methods to compute dynamic systemic risk measures from correlation-based networks.

f_correlation_network_measures(df_data_returns)

Arguments

• df_data_returns: A dataframe including dates and stock returns

Returns

• Degree: xts vector

• Closeness_Centrality: xts vector

• Eigenvector_Centrality: xts vector

• SR: xts vector

• Volatility: xts vector

References

Hasse, Jean-Baptiste. "Systemic Risk: a Network Approach". AMSE Working Paper (2020)

Author(s)

Jean-Baptiste Hasse

Examples

# Scale the entries of a vector to the interval [0,1]

# NOT RUN {

  # Load data
  data("data_stock_returns")

  # Compute topological risk measures from correlation-based financial networks
  l_result <- f_correlation_network_measures(data_stock_returns)

  # Plot SR_t
  f_plot(l_result$SR)


# }