Effective network inference through multivariate information transfer estimation

DOI10.1016/j.physa.2018.02.053OpenAlexW2790446386MaRDI QIDQ2150368

Carl-Henrik Dahlqvist, Jean-Yves Gnabo

Publication date: 27 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.02.053

zbMATH Keywords

systemic riskbank networkeffective networkindirect link

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• car
• TETRAD
• carData

Cites Work

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• Rollover risk, network structure and systemic financial crises
• Causation, prediction, and search
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Emergence of Scaling in Random Networks
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Improving on ‘Data mining reconsidered’ by K.D. Hoover and S.J. Perez
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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