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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...
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
The Royal Society Publishing
2018
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| Materias: | |
| 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 |