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The Econometrics of Networks: A Review

Listed author(s):
  • Daniel Felix Ahelegbey

    ()

    (Department of Economics, University of Venice C� Foscari)

Recent advances in empirical finance has seen a growing interest in the application of network models to analyse contagion, spillover effects and risk propagation channels in the system. While interconnectivity among financial institutions have been widely studied, only a few papers review networks in finance and they do not focus on the econometrics aspects. This paper surveys the state of the arts for statistical inference and application of networks from a multidisciplinary perspective, and specifically in the context of systemic risk. We contribute to the literature on network econometrics by relating network models to multivariate analysis with potential applications in econometrics and finance.

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File URL: http://www.unive.it/media/allegato/DIP/Economia/Working_papers/Working_papers_2015/WP_DSE_ahelegbey_13_15.pdf
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Paper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2015:13.

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Length: 26 pages
Date of creation: 2015
Handle: RePEc:ven:wpaper:2015:13
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