Exploring Financial Networks Using Quantile Regression and Granger Causality

no code implementations • 21 Jul 2022 • Kara Karpman, Samriddha Lahiry, Diganta Mukherjee, Sumanta Basu

We propose statistical methods that measure connectivity in the financial sector using system-wide tail-based analysis and is able to distinguish between connectivity in lower and upper tails of the return distribution.

regression Time Series Analysis