Risk spillover network structure learning for correlated financial assets: a directed acyclic graph approach

DOI10.1016/J.INS.2021.08.072MaRDI QIDQ6146173zbMATH OpenOpenAlexFDO

Authors Xiaokang Wang, Huiwen Wang, Zhichao Wang, Shan Lu, Ying Fan

Publication date 10 January 2024

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2021.08.072

zbMATH Keywords

partial least squaresdirected acyclic graphvariable screeningrisk spillover

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 7307465 (Why is no real title available?)
• Bayesian network based label correlation analysis for multi-label classifier chain
• Causation, prediction, and search
• Concave penalized estimation of sparse Gaussian Bayesian networks
• Extended Bayesian information criteria for model selection with large model spaces
• Forward regression for ultra-high dimensional variable screening
• High dimensional ordinary least squares projection for screening variables
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
• Joint skeleton estimation of multiple directed acyclic graphs for heterogeneous population
• Mutual-information-inspired heuristics for constraint-based causal structure learning
• Order-independent constraint-based causal structure learning
• Partial correlation estimation by joint sparse regression models
• Representing complex networks without connectivity via spectrum series
• Revising the structure of Bayesian network classifiers in the presence of missing data
• Robust rank correlation based screening
• Sparse Partial Least Squares Regression for Simultaneous Dimension Reduction and Variable Selection
• Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
• The max-min hill-climbing Bayesian network structure learning algorithm
• \(\mathsf{PenPC}\): a two-step approach to estimate the skeletons of high-dimensional directed acyclic graphs

Cited in

(3)

• Generalized coefficients of clustering in (un)directed and (un)weighted networks: an application to systemic risk quantification for cryptocoin markets
• IDGM: an approach to estimate the graphical model of interval-valued data
• Predicting graphical models based on functional data

This page was built for publication: Risk spillover network structure learning for correlated financial assets: a directed acyclic graph approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6146173)