The Econometrics of Bayesian Graphical Models: A Review With Financial Application

Ahelegbey, Daniel Felix (2015): The Econometrics of Bayesian Graphical Models: A Review With Financial Application. Published in: Journal of Network Theory in Finance , Vol. 2, No. 2 (16 May 2016): pp. 1-33.

Abstract

Recent advances in empirical finance has shown that the adoption of network theory is critical to understand contagion and systemic vulnerabilities. While interdependencies among financial markets have been widely examined, only few studies review networks, however, 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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Bayesian inference, Graphical models, Model selection, Systemic risk
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; G - Financial Economics > G0 - General > G01 - Financial Crises; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

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