Information Network Modeling for U.S. Banking Systemic Risk
In this work we investigate whether information theory measures like mutual information and transfer entropy, extracted from a bank network, Granger cause financial stress indexes like LIBOR-OIS (London Interbank Offered Rate-Overnight Index Swap) spread, STLFSI (St. Louis Fed Financial Stress Index...
| Published in: | Entropy |
|---|---|
| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-11-01
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| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/11/1331 |