Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages

Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future extreme events of another time series. The topology and conne...

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Hauptverfasser:	Mazzarisi, Piero, Zaoli, Silvia, Campajola, Carlo, Lillo, Fabrizio
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Risk Management Statistics - Methodology
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