Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression
利用分段分位数回归改进金融网络中的因果发现
Financial networks can be constructed using statistical dependencies found within the price series of speculative assets. Across the various methods used to infer these networks, there is a general reliance on predictive modelling to capture cross-correlation effects. These methods usually model the flow of mean-response information, or the propagation of volatility and risk within the market. Such techniques, though insightful, don't fully capture the broader…