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Forecasting Financial Networks

Author

Listed:
  • Petre Caraiani

    (Romanian Academy)

Abstract

This paper proposes a methodology to forecast financial networks. The paper uses an indirect approach in which the networks are predicted based on the time series they are built on. Traditional time series models are used to predict the underlying time series, while the forecasts are evaluated based on the structural properties of the forecasted networks.

Suggested Citation

  • Petre Caraiani, 2020. "Forecasting Financial Networks," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 983-997, March.
    • Handle: RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09925-8
    DOI: 10.1007/s10614-019-09925-8
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Networks; Time series; Forecasts;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

    Statistics

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