Risk spillover network structure learning for correlated financial assets: A directed acyclic graph approach
Published 2021 View Full Article
- Home
- Publications
- Publication Search
- Publication Details
Title
Risk spillover network structure learning for correlated financial assets: A directed acyclic graph approach
Authors
Keywords
Directed acyclic graph, Partial least squares, Risk spillover, Variable screening
Journal
INFORMATION SCIENCES
Volume 580, Issue -, Pages 152-173
Publisher
Elsevier BV
Online
2021-08-24
DOI
10.1016/j.ins.2021.08.072
References
Ask authors/readers for more resources
Related references
Note: Only part of the references are listed.- Additive noise model structure learning based on rank correlation
- (2021) Jing Yang et al. INFORMATION SCIENCES
- Mutual-information-inspired heuristics for constraint-based causal structure learning
- (2021) Xiaolong Qi et al. INFORMATION SCIENCES
- Representing complex networks without connectivity via spectrum series
- (2021) Tongfeng Weng et al. INFORMATION SCIENCES
- Decomposition-based Bayesian network structure learning algorithm using local topology information
- (2020) Jingguo Dai et al. KNOWLEDGE-BASED SYSTEMS
- High Dimensional Variable Screening under Multicollinearity
- (2020) Naifei Zhao et al. Stat
- Bayesian network based label correlation analysis for multi-label classifier chain
- (2020) Ran Wang et al. INFORMATION SCIENCES
- Mining direct acyclic graphs to find frequent substructures — An experimental analysis on educational data
- (2019) Jefferson de J. Costa et al. INFORMATION SCIENCES
- Towards efficient and effective discovery of Markov blankets for feature selection
- (2019) Hao Wang et al. INFORMATION SCIENCES
- Revising the structure of Bayesian network classifiers in the presence of missing data
- (2018) Roosevelt Sardinha et al. INFORMATION SCIENCES
- Joint skeleton estimation of multiple directed acyclic graphs for heterogeneous population
- (2018) Jianyu Liu et al. BIOMETRICS
- Online Data Organizer: Micro-Video Categorization by Structure-Guided Multimodal Dictionary Learning
- (2018) Meng Liu et al. IEEE TRANSACTIONS ON IMAGE PROCESSING
- Robust iteratively reweighted SIMPLS
- (2017) Aylin Alin et al. JOURNAL OF CHEMOMETRICS
- Ensemble feature selection: Homogeneous and heterogeneous approaches
- (2017) B. Seijo-Pardo et al. KNOWLEDGE-BASED SYSTEMS
- Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes
- (2017) Zihui Yang et al. MANAGEMENT SCIENCE
- Estimation of Directed Acyclic Graphs Through Two-Stage Adaptive Lasso for Gene Network Inference
- (2016) Sung Won Han et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- PenPC : A two-step approach to estimate the skeletons of high-dimensional directed acyclic graphs
- (2015) Min Jin Ha et al. BIOMETRICS
- High dimensional ordinary least squares projection for screening variables
- (2015) Xiangyu Wang et al. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
- Causal Inference Using Graphical Models with theRPackagepcalg
- (2015) Markus Kalisch et al. Journal of Statistical Software
- Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm-Level Evidence
- (2013) Jian Yang et al. MANAGEMENT SCIENCE
- Robust rank correlation based screening
- (2012) Gaorong Li et al. ANNALS OF STATISTICS
- Forward Regression for Ultra-High Dimensional Variable Screening
- (2010) Hansheng Wang JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Sparse partial least squares regression for simultaneous dimension reduction and variable selection
- (2010) Hyonho Chun et al. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
- Partial Correlation Estimation by Joint Sparse Regression Models
- (2009) Jie Peng et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Extended Bayesian information criteria for model selection with large model spaces
- (2008) J. Chen et al. BIOMETRIKA
- Sure independence screening for ultrahigh dimensional feature space
- (2008) Jianqing Fan et al. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
Discover Peeref hubs
Discuss science. Find collaborators. Network.
Join a conversationAsk a Question. Answer a Question.
Quickly pose questions to the entire community. Debate answers and get clarity on the most important issues facing researchers.
Get Started