Accéder directement au contenu Accéder directement à la navigation
Autre publication

The kiss of information theory that captures systemic risk

Abstract : We provide a new approach to understanding systemic risk by analysing complex linkages in finance and insurance sectors. The analysis is achieved by using a recently proposed method for quantifying causal coupling strength, which identifies the existence of causal dependencies between two components of a multivariate time series and assesses the strength of their association by defining a meaningful coupling strength. The measure of association is general, causal and lag-specific, reflecting a well interpretable notion of coupling strength and is pratically computable. A comprehensive analysis of the feasibility of this approach is provided via simulated and real data.
Liste complète des métadonnées

Littérature citée [5 références]  Voir  Masquer  Télécharger
Contributeur : Lucie Label <>
Soumis le : lundi 18 mai 2015 - 17:22:03
Dernière modification le : jeudi 9 avril 2020 - 18:24:07
Document(s) archivé(s) le : jeudi 20 avril 2017 - 02:21:09


Fichiers produits par l'(les) auteur(s)


  • HAL Id : hal-01110712, version 2


Peter Martey Addo, Philippe de Peretti, Hayette Gatfaoui, Jakob Runge. The kiss of information theory that captures systemic risk. 2014. ⟨hal-01110712v2⟩



Consultations de la notice


Téléchargements de fichiers