Modelling cointegration and Granger causality network to detect long-term equilibrium and diffusion paths in the financial system

Microscopic factors are the basis of macroscopic phenomena. We proposed a network analysis paradigm to study the macroscopic financial system from a microstructure perspective. We built the cointegration network model and the Granger causality network model based on econometrics and complex network...

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Detalles Bibliográficos
Autores principales: Gao, Xiangyun, Huang, Shupei, Sun, Xiaoqi, Hao, Xiaoqing, An, Feng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Royal Society Publishing 2018
Materias:
Computer Science
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5882728/
https://www.ncbi.nlm.nih.gov/pubmed/29657804
http://dx.doi.org/10.1098/rsos.172092

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5882728/
https://www.ncbi.nlm.nih.gov/pubmed/29657804
http://dx.doi.org/10.1098/rsos.172092

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