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SUMMARY:Networks\, Dynamic Factors\, and the Volatility Analysis of High-D
 imensional Financial Series - Matteo Barigozzi (London School of Economics
 )
DTSTART:20160825T123000Z
DTEND:20160825T131000Z
UID:TALK67056@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION:<span>Co-author: Marc Hallin (ECARES-ULB )<br>&nbsp\;</span><b
 r>We consider weighted directed networks for analysing large panels of fin
 ancial volatilities.For a given horizon $h$\, the weight associated with e
 dge $(i\,j)$ represents the $h$-step-ahead forecast error variance of vari
 able $i$ accounted for by variable $j$ innovations. To challenge the curse
  of dimensionality\, we decompose the panel into a factor (market) driven 
 component and an idiosyncratic one modelled by means of a sparse VAR. Inve
 rsion of the VAR together with suitable identification restrictions\, prod
 uce the estimated network\, bymeans of which we can assess how systemic ea
 ch firm is. An analysis of the U.S. stock market demonstrates the prominen
 t role of Financial firms as source of contagion during the 2007-2008 cris
 is.
LOCATION:Seminar Room 1\, Newton Institute
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