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- W3125649834 abstract "The recent financial crisis has lead to a need for regulators and policy makers to understand and track systemic linkages. We provide a new approach to understanding systemic risk tomography in finance and insurance sectors. The analysis is achieved by using a recently proposed method on quantifying causal coupling strength, which identifies the existence of causal dependencies between two components of a multivariate time series and assesses the strength of their association by defining a meaningful coupling strength using the momentary information transfer (MIT). The measure of association is general, causal and lag-specific, reflecting a well interpretable notion of coupling strength and is practically computable. A comprehensive analysis of the feasibility of this approach is provided via simulated data and then applied to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies" @default.
- W3125649834 created "2021-02-01" @default.
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- W3125649834 date "2014-01-01" @default.
- W3125649834 modified "2023-09-26" @default.
- W3125649834 title "Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk" @default.
- W3125649834 hasPublicationYear "2014" @default.
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