Methodological review uncovers statistical interfaces of Bayesian graphical models in financial markets, highlighting their utility for analyzing systemic risk and contagion.
Recent advances in empirical finance have shown that the adoption of network theory;is critical in order to understand contagion and systemic vulnerabilities. While interdependencies;among financial markets have been widely examined, only a few studies;review networks, and they do not focus on the econometrics aspects. This paper;presents a state-of-the-art review on the interface between statistics and econometrics;in the inference and application of Bayesian graphical models. We specifically;highlight the connections and possible applications of network models in financial;econometrics in the context of systemic risk.
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Daniel Felix Ahelegbey (2016) studied this question.
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