The econometrics of Bayesian graphical models: a review with financial application

Daniel Felix Ahelegbey

Journal of Network Theory in Finance

Abstract: ABSTRACT Recent advances in empirical finance have shown that the adoption of network theory;is critical in order to understand contagion and systemic vulnerabilities. While interdependencies;among financial markets have been widely examined, only a few studies;review networks, and they do not focus on the econometrics aspects. This paper;presents a state-of-the-art review on the interface between statistics and econometrics;in the inference and application of Bayesian graphical models. We specifically;highlight the connections and possible applications of network models in financial;econometrics in the context of systemic risk.

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Working Paper: The Econometrics of Bayesian Graphical Models: A Review With Financial Application (2016)
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