• Corpus ID: 251018387

Exploring Financial Networks Using Quantile Regression and Granger Causality

@inproceedings{Karpman2022ExploringFN,
  title={Exploring Financial Networks Using Quantile Regression and Granger Causality},
  author={Kara Karpman and Samriddha Lahiry and Diganta Mukherjee and Suman Basu},
  year={2022}
}
In the post-crisis era, financial regulators and policymakers are increasingly interested in data-driven tools to measure systemic risk and to identify systemically important firms. Granger Causality (GC) based techniques to build networks among financial firms using time series of their stock returns have received significant attention in recent years. Existing GC network methods model conditional means, and do not distinguish between connectivity in lower and upper tails of the return distribution… 

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