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Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

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Table 1: Summary statistics for monthly returns of individual hedge funds, broker/dealers, banks, and insurers for the full sample: January 2004 to December 2008, and five time  pe-riods: 1994-1996, 1996-1998, 1999-2001, 2002-2004, and 2006-2008
Figure 1: Principal components analysis of the monthly standardized returns of individ- individ-ual hedge funds, broker/dealers, banks, and insurers over January 1994 to December 2008:
Table 2: Mean, minimum, and maximum values for PCAS 1, PCAS 1–10, and PCAS 1–20.
Table 3: Summary statistics of asset-weighted autocorrelations and linear Granger-causality relationships (at the 5% level of statistical significance) among the monthly returns of the largest 25 banks, broker/dealers, insurers, and hedge funds (as determi
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