TY  - UNPD
A1  - Bonaccolto, Giovanni
A1  - Caporin, Massimiliano
A1  - Panzica, Roberto Calogero
T1  - Estimation and model-based combination of causality networks
T2  - SAFE working paper series ; No. 165
N2  - Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions and, in turn, to obtain a network structure. Subsequent studies combined the estimated networks with traditional pricing or risk measurement models to improve their fit to empirical data. In this paper, we provide two contributions: we show how to use a linear factor model as a device for estimating a combination of several networks that monitor the links across variables from different viewpoints; and we demonstrate that Granger causality should be combined with quantile-based causality when the focus is on risk propagation. The empirical evidence supports the latter claim.
T3  - SAFE working paper - 165 
KW  - Granger Causality
KW  - Quantile Causality
KW  - Multi-Layer Network
KW  - Network Combination
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/42835
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-428353
UR  - https://ssrn.com/abstract=2909585
PB  - SAFE
CY  - Frankfurt am Main
ER  -