f_correlation_network_measures {SystemicR} | R Documentation |
This function provides methods to compute dynamic systemic risk measures from correlation-based networks.
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)
# }