@techreport{billio_entropy-based_2015,
	title = {An entropy-based early warning indicator for systemic risk},
	url = {http://syrtoproject.eu/wp-content/uploads/2015/05/UNIVE36.pdf},
	abstract = {The purpose of this paper is the construction of an early warning indicator
for systemic risk using entropy measures. The analysis is based
on the cross-sectional distribution of marginal systemic risk measures
such as Marginal Expected Shortfall, Delta CoVaR and network connectedness.
These measures are conceived at a single institution for the
financial industry in the Euro area. We estimate entropy on these measures
by considering different definitions (Shannon, Tsallis and Renyi).
Finally, we test if these entropy indicators show forecasting abilities in
predicting banking crises. In this regard, we use the variable presented
in Babeck`y et al. (2012) and Alessi and Detken (2011) from European
Central Bank. Entropy indicators show promising forecast abilities to
predict financial and banking crisis. The proposed early warning signals
reveal to be effective in forecasting financial distress conditions.},
	number = {12},
	urldate = {2015-05-27},
	institution = {SYRTO WORKING PAPER SERIES},
	author = {Billio, Monica and Casarin, Roberto and Costola, Michele and Pasqualini, Andrea},
	year = {2015},
	note = {00000},
	keywords = {collapse, early-warning-signals, systemic-risks},
	file = {Billio et al. - 2015 - An entropy-based early warning indicator for syste.pdf:C\:\\Users\\rsrs\\Documents\\Zotero Database\\storage\\99KCA43V\\Billio et al. - 2015 - An entropy-based early warning indicator for syste.pdf:application/pdf}
}

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