Tail granger causality network construction

This method constructs a causality network by implementing Granger-causality tests for extreme events in multivariate time series.

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  • network_reconstruction

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Additional Info
Field Value
Accessibility Both
AccessibilityMode OnLine Access
Attribution requirements
Availability On-Line
Basic rights Temporary download of a single copy only
CreationDate 2017-07-01
Creator regoli, daniele, daniele.regoli@sns.it
Dependencies on Other SW
Distribution requirements
External Identifier
Field/Scope of use Research only
Hosting Environment
License term
Owner regoli, daniele, daniele.regoli@sns.it
ProgrammingLanguage MATLAB
RelatedPaper Corsi, Fulvio and Lillo, Fabrizio and Pirino, Davide, Measuring Flight-to-Quality with Granger-Causality Tail Risk Networks (March 10, 2015). http://dx.doi.org/10.2139/ssrn.2576078
Requirement of non-disclosure (confidentiality mark)
Restrictions on use
Semantic Coverage
Sublicense rights No
Territory of use World Wide
ThematicCluster Social Network Analysis
UsageMode Download
input multivariate time series
output complex network
system:type SoBigData.eu: Method
Management Info
Field Value
Author regoli daniele
Maintainer regoli daniele
Version 1
Last Updated 26 September 2019, 12:27 (CEST)
Created 26 September 2019, 12:27 (CEST)