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The Econometrics of Networks: A Review

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  • Daniel Felix Ahelegbey

    (Department of Economics, University of Venice C� Foscari)

Abstract

Recent advances in empirical finance has seen a growing interest in the application of network models to analyse contagion, spillover effects and risk propagation channels in the system. While interconnectivity among financial institutions have been widely studied, only a few papers review networks in finance and they do not focus on the econometrics aspects. This paper surveys the state of the arts for statistical inference and application of networks from a multidisciplinary perspective, and specifically in the context of systemic risk. We contribute to the literature on network econometrics by relating network models to multivariate analysis with potential applications in econometrics and finance.

Suggested Citation

  • Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2015:13
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    More about this item

    Keywords

    Bayesian inference; Graphical models; Model selection; Systemic risk.;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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