Abstract:
The proposed analysis focuses on the investigation of network volatility relationships
among different industrial sectors in the American market. Using a methodological ap-
proach based on Bayesian VAR models, volatility networks, and portfolio analysis, the
study examines the transmission dynamics of shocks and the possibility of extracting a
risk factor dependent on the volatility contagion dynamics between sectors. Additionally,
analyzing alpha generation versus CAPM provides insights into the ability of portfolios
to generate abnormal returns.
