Publication: Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages
Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages
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Mazzarisi, P., Zaoli, S., Campajola, C., & Lillo, F. (2020). Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. Journal of Economic Dynamics and Control, 121, 104022. https://doi.org/10.1016/j.jedc.2020.104022
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Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future extreme events of another time series. The topology and connectedness of networks built with Granger causality in tail can be used to measure systemic risk and to identify risk transmitters. Here we introduce a novel test of Granger causality in tail which adopts the likelihood ratio statistic and is
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- Mazzarisi, Piero
- Zaoli, Silvia
- Lillo, Fabrizio
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Mazzarisi, P., Zaoli, S., Campajola, C., & Lillo, F. (2020). Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. Journal of Economic Dynamics and Control, 121, 104022. https://doi.org/10.1016/j.jedc.2020.104022
