Dynamic contagion of systemic risks on global main equity markets based on Granger causality networks

DOI10.1155/2018/9461870zbMath1422.62314OpenAlexW2886392634MaRDI QIDQ1727318

Liangrong Song, Qiuhong Zheng

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/9461870

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
• Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
• Emergence of Scaling in Random Networks
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Collective dynamics of ‘small-world’ networks

This page was built for publication: Dynamic contagion of systemic risks on global main equity markets based on Granger causality networks