A Talk of Prof. Meihui Guo from National Sun Yat-sen University, Taiwan


SpeakerProf. Meihui Guo (National Sun Yat-sen University, Taiwan)

Time1500 to 1600 on 24 (Fri.) , August 2018

Place21 - 417

TitleA two-stage financial network model

AbstractWe consider a two-stage financial network model. In the first stage, we build Lasso penalized vector auto-regression (VAR) and quantile regression models for returns of financial stocks. We adopt debiased methods to correct the shrinkage effect of Lasso. In the second stage, we use the adjacency matrix obtained from the first-stage to build the second-stage network model which is utilized to investigate the network effect of the financial stocks. An empirical study is performed.

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