Duc Thi Luu

1 month ago | tandfonline.com | Duc Thi Luu |Hiroyasu Inoue |Thomas Lux |Lutz Honvehlmann

AbstractIn this paper, we analyse the multilayer architecture of the correlation dynamics among Japanese banks over the period from 1982 to 2011. This period encompasses nearly all significant events in the Japanese economy over the past few decades. The two layers we consider represent the loan portfolio correlations stemming from the credit market and the stock return correlations arising from the equity market, respectively.

Aug 12, 2024 | knightfoundation.org | Duc Thi Luu

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