Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages

DOI10.1016/j.jedc.2020.104022zbMath1478.62312arXiv2005.01160OpenAlexW3124150793MaRDI QIDQ2246755

Fabrizio Lillo, Carlo Campajola, Piero Mazzarisi, Silvia Zaoli

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.01160

zbMATH Keywords

autoregressive processeslikelihood-ratio testspillover effectsfinancial contagionGranger causality in risk

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (1)

On the equivalence between the kinetic Ising model and discrete autoregressive processes

Uses Software

• CAViaR
• ElemStatLearn
• FinTS

Cites Work

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