Forecasting Financial Networks

Petre Caraiani

Computational Economics, 2020, vol. 55, issue 3, No 10, 983-997

Abstract: 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.

Keywords: Networks; Time series; Forecasts (search for similar items in EconPapers)
JEL-codes: C5 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s10614-019-09925-8

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