f_correlation_network_measures {SystemicR}

Dynamic systemic risk measures from correlation-based networks.

Description

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

Usage

f_correlation_network_measures(df_data_returns)

Arguments

df_data_returns

A dataframe including dates and stock returns

Value

Degree

xts vector

Closeness_Centrality

xts vector

Eigenvector_Centrality

xts vector

SR

xts vector

Volatility

xts vector

Author(s)

Jean-Baptiste Hasse

References

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

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)



# }