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arXiv · 1403.2272

Bayesian dynamic financial networks with time-varying predictors

Daniele Durante·David B. Dunson
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Abstract

We propose a Bayesian nonparametric model including time-varying predictors in dynamic network inference. The model is applied to infer the dependence structure among financial markets during the global financial crisis, estimating effects of verbal and material cooperation efforts. We interestingly learn contagion effects, with increasing influence of verbal relations during the financial crisis and opposite results during the United States housing bubble.

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Daniele Durante, David B. Dunson. 2014-03-10. Bayesian dynamic financial networks with time-varying predictors. https://doi.org/10.1016/j.spl.2014.06.015

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