f_correlation_network_measures: Dynamic systemic risk measures from correlation-based...
In SystemicR: Monitoring Systemic Risk

Description Usage Arguments Value Author(s) References Examples

View source: R/Functions_SystemicR.R

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

1	f_correlation_network_measures(df_data_returns)

df_data_returns

A dataframe including dates and stock returns

`Degree`	xts vector
`Closeness_Centrality`	xts vector
`Eigenvector_Centrality`	xts vector
`SR`	xts vector
`Volatility`	xts vector

Jean-Baptiste Hasse

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

# 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)



# }