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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Networks\, Dynamic Factors\, and the Volatility An
 alysis of High-Dimensional Financial Series - Matt
 eo Barigozzi (London School of Economics)
DTSTART;TZID=Europe/London:20160825T133000
DTEND;TZID=Europe/London:20160825T141000
UID:TALK67056AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/67056
DESCRIPTION:<span>Co-author: Marc Hallin (ECARES-ULB )<br>&nbs
 p\;</span><br>We consider weighted directed networ
 ks for analysing large panels of financial volatil
 ities.For a given horizon $h$\, the weight associa
 ted with edge $(i\,j)$ represents the $h$-step-ahe
 ad forecast error variance of variable $i$ account
 ed for by variable $j$ innovations. To challenge t
 he curse of dimensionality\, we decompose the pane
 l into a factor (market) driven component and an i
 diosyncratic one modelled by means of a sparse VAR
 . Inversion of the VAR together with suitable iden
 tification restrictions\, produce the estimated ne
 twork\, bymeans of which we can assess how systemi
 c each firm is. An analysis of the U.S. stock mark
 et demonstrates the prominent role of Financial fi
 rms as source of contagion during the 2007-2008 cr
 isis.
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:INI IT
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