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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.
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https://hal.archives-ouvertes.fr/hal-01110712
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Soumis le : lundi 18 mai 2015 - 17:22:03
Dernière modification le : jeudi 9 avril 2020 - 18:24:07
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  • HAL Id : hal-01110712, version 2

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

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