Granger Causality Networks
Granger Causality Networks is a network-based framework that models directional predictive relationships among multivariate time series variables in a system, where edges represent statistically significant Granger causality influences between pairs of variables, thus capturing dynamic interdependencies relevant to systemic risk propagation.
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Andrea Brovelli, Mingzhou Ding, Anders Ledberg et al. · Proceedings of the National Academy of Sciences · 2004 · 1.1K citations · Full text
Extreme risk spillover network: application to financial institutions
Gang‐Jin Wang, Chi Xie, Kaijian He et al. · Quantitative Finance · 2017 · 263 citations
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Centre National de la Recherche Scientifique
Paris, France
6 h-index
9 publications
848 citations
Fudan University
Shanghai, China
5 h-index
13 publications
671 citations
Inserm
Paris, France
5 h-index
16 publications
1.9K citations
Aristotle University of Thessaloniki
Thessaloniki, Greece
4 h-index
7 publications
408 citations

Chinese Academy of Sciences
Beijing, China
4 h-index
8 publications
396 citations
Ministry of Natural Resources
Beijing, China
4 h-index
17 publications
500 citations

Hunan University
Changsha, China
4 h-index
10 publications
1K citations

China University of Geosciences (Beijing)
Beijing, China
4 h-index
20 publications
542 citations
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