Bayesian graphical models with economic and financial applications

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dc.contributor.advisor Billio, Monica it_IT Ahelegbey, Daniel Felix <1983> it_IT 2015-05-28 it_IT 2016-01-30T10:38:25Z 2016-01-30T10:38:25Z 2015-07-13 it_IT
dc.description.abstract Recent advances in empirical finance has seen a considerable amount of research in network econometrics for systemic risk analysis. The network approach aims to identify the key determinants of the structure and stability of the financial system, and the mechanism for systemic risk propagation. This thesis contributes to the literature by presenting a Bayesian graphical approach to model cause and effect relationships in observed data. It contributes specifically to model selection in moderate and high dimensional problems and develops Markov chain Monte Carlo procedures for efficient model estimation. It also provides simulation and empirical applications to model dynamics in macroeconomic variables and financial networks. The contributions are discussed in four self contained chapters. Chapter 2 reviews the literature on network econometrics and presents a Bayesian graph-based approach as an alternative method. Chapter 3 proposes a Bayesian graphical approach to identification in structural vector autoregressive models. Chapter 4 develops a model selection to multivariate time series of large dimension through graphical vector autoregressive models and introducing sparsity on the structure of temporal dependence among the variables. Chapter 5 presents a stochastic framework for financial network models by proposing a hierarchical Bayesian graphical model that can usefully decompose dependencies between financial institutions into linkages between different countries financial systems and linkages between banking institutions, within and/or across countries. it_IT
dc.language.iso en it_IT
dc.publisher Università Ca' Foscari Venezia it_IT
dc.rights © Daniel Felix Ahelegbey, 2015 it_IT
dc.title Bayesian graphical models with economic and financial applications it_IT
dc.title.alternative it_IT
dc.type Doctoral Thesis it_IT Economia it_IT Dottorato di ricerca it_IT Dipartimento di Economia it_IT
dc.description.academicyear 2013/2014, proroghe semestrali 2013/2014 it_IT
dc.description.cycle 27 it_IT Bernasconi, Michele it_IT
dc.location.shelfmark D001507 it_IT
dc.location Venezia, Archivio Università Ca' Foscari, Tesi Dottorato it_IT
dc.rights.accessrights openAccess it_IT
dc.thesis.matricno 833894 it_IT
dc.format.pagenumber XVII, 188 p. it_IT
dc.subject.miur SECS-P/05 ECONOMETRIA it_IT
dc.description.note it_IT it_IT Casarin, Roberto <1975> it_IT it_IT
dc.provenance.upload Daniel Felix Ahelegbey (, 2015-05-28 it_IT
dc.provenance.plagiarycheck Monica Billio (, 2015-07-01 it_IT

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