Measuring the propagation of financial distress with Granger-causality tail risk networks

Journal of Financial Stability - Tập 38 - Trang 18-36 - 2018
Fulvio Corsi1,2, Fabrizio Lillo3, Davide Pirino4, Luca Trapin5
1City University London, United Kingdom
2University of Pisa, Italy
3University of Bologna, Italy
4University of Rome Tor Vergata and Scuola Normale Superiore, Pisa, Italy
5Catholic University of Sacred Heart (Milano), Italy

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