Events and Meetings of Italian Statistical Society, Advances in Latent Variables - Methods, Models and Applications

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Proximity-structured multivariate volatility models for systemic risk
Lorenzo Frattarolo, Monica Billio, Massimiliano Caporin, Loriana Pelizzon

Last modified: 2013-06-14

Abstract


By describing the dependence structure through Granger Causality networks, we use the weights to define proximity matrices and accordingly we estimate a proximity structured BEKK model and derive a latent stability variable that could be interpreted as Systemic Risk indicator.

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