Essays about: "Emanuele Paccagnella"
Found 1 essay containing the words Emanuele Paccagnella.
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1. Networks of spillover effects to spot systemic risk in the banking industry: testing Granger causality in a high dimensional VAR model
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In this essay the evolution of global systemic risk is investigated by creating networks (and communities) of contagion among 88 banks that are deemed systemically important on a global level (particularly western economy). The contagion is defined by a Granger Causality relation between two individuals in the network, this is tested using the Post double selection method described in Margartitella et al. READ MORE
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