Cargando…
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...
| Autores principales: | , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2020
|
| Materias: | |
| 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 |