Information Network Modeling for U.S. Banking Systemic Risk

In this work we investigate whether information theory measures like mutual information and transfer entropy, extracted from a bank network, Granger cause financial stress indexes like LIBOR-OIS (London Interbank Offered Rate-Overnight Index Swap) spread, STLFSI (St. Louis Fed Financial Stress Index...

Descripción completa

Detalles Bibliográficos
Autores principales: Nicola, Giancarlo, Cerchiello, Paola, Aste, Tomaso
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7711443/
https://www.ncbi.nlm.nih.gov/pubmed/33266514
http://dx.doi.org/10.3390/e22111331

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7711443/
https://www.ncbi.nlm.nih.gov/pubmed/33266514
http://dx.doi.org/10.3390/e22111331

Ejemplares similares