The Econometrics of Networks: A Review

Daniel Felix Ahelegbey

No 2015:13, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: 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.

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)
Pages: 26 pages
Date: 2015
New Economics Papers: this item is included in nep-cfn, nep-ecm, nep-net, nep-rmg and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2015:13

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