Modelling cointegration and Granger causality network to detect long-term equilibrium and diffusion paths in the financial system
Microscopic factors are the basis of macroscopic phenomena. We proposed a network analysis paradigm to study the macroscopic financial system from a microstructure perspective. We built the cointegration network model and the Granger causality network model based on econometrics and complex network...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
The Royal Society
2018-01-01
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| Series: | Royal Society Open Science |
| Subjects: | |
| Online Access: | https://royalsocietypublishing.org/doi/pdf/10.1098/rsos.172092 |