Spillover dynamics for systemic risk measurement using spatial financial time series models

Spillover dynamics for systemic risk measurement using spatial financial time series models

We introduce a new model for time-varying spatial dependence. The model extends the wellknown static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the static parameters is consistent and asymptotically normal. We also study the information theoretic op...

Neural Network Time Series Models for Financial Risk Management

Overview and Comparison of Short-term Interval Models for Financial Time Series Forecasting

  In recent years, various time series models have been proposed for financial markets forecasting. In each case, the accuracy of time series forecasting models are fundamental to make decision and hence the research for improving the effectiveness of forecasting models have been curried on. Many researchers have compared different time series models together in order to determine more efficien...

Copula - Based Models for Financial Time Series

This paper presents an overview of the literature on applications of copulas in the modelling of …nancial time series. Copulas have been used both in multivariate time series analysis, where they are used to charaterise the (conditional) cross-sectional dependence between individual time series, and in univariate time series analysis, where they are used to characterise the dependence between a...

Using Data for Systemic Financial Risk Management

The recent financial collapse has laid bare the inadequacies of the information infrastructure supporting the US financial system. Technical challenges around large-scale data systems interact with significant economic forces involving innovation, transparency, confidentiality, complexity, and organizational change, to create a very difficult problem. The post-crisis reform legislation has crea...