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05/03/2020
Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages
Identifying risk spillovers in financial markets is of great importance ...
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12/30/2017
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
We propose a dynamic network model where two mechanisms control the prob...
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01/20/2017
