Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk.
Year of publication: |
2014-10
|
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Authors: | Addo, Peter Martey ; Peretti, Philippe De |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Systemic risk | financial crisis | Coupling strength | financial institutions |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Notes: | 15 pages |
Classification: | G12 - Asset Pricing ; C40 - Econometric and Statistical Methods: Special Topics. General ; C32 - Time-Series Models ; G29 - Financial Institutions and Services. Other |
Source: |
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