The Econometrics of Bayesian Graphical Models: A Review With Financial Application

Daniel Felix Ahelegbey

MPRA Paper from University Library of Munich, Germany

Abstract: Recent advances in empirical finance has shown that the adoption of network theory is critical to understand contagion and systemic vulnerabilities. While interdependencies among financial markets have been widely examined, only few studies review networks, however, 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.

Keywords: Bayesian inference; Graphical models; Model selection; Systemic risk (search for similar items in EconPapers)
JEL-codes: C11 C15 C52 G01 G17 (search for similar items in EconPapers)
Date: 2015-05-28, Revised 2016-04-25
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Published in Journal of Network Theory in Finance 2.2(2016): pp. 1-33

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:92634

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