Method estimates heterogeneous causal effects on networks using orthogonal learning.
problem Challenges in estimating causal effects on networks due to treatment effects on both treated and neighbors, and network homophily.
method Two-stage orthogonal learning framework: first stage uses graph neural networks for nuisance components, second stage residualizes and interpretable attention-based model for causal effects.
result Improves heterogeneous effect estimation and supports interpretable analyses.
New framework minimizes interference and selection bias in network A/B testing.
problem Interference and selection bias in network A/B testing.
method Proposes a principled framework that jointly minimizes interference and selection bias using edge spillover probability and cluster matching.
result Significantly lower error in causal effect estimation compared to existing solutions.
Using a rolling windows analysis of filtered and aligned stock index returns from 40 countries during the period 2006-2014, we construct Granger causality networks and investigate the ensuing structure of the relationships by studying network properties and fitting spatial probit models. We provide evidence that stock …
New method estimates treatment effects in network data, accounting for spillover effects.
problem Treatment effect estimation in networks with spillover effects.
method Augmented inverse probability weighting (AIPW) with cross-fitting and machine learning.
result Semiparametric treatment effect estimator converges at parametric rate and follows Gaussian distribution.
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after the 2008 financial crisi…
Study uses neural networks to filter financial spillovers from noise.
problem Accurately measuring spillovers in financial markets from noise.
method Neural network-based denoising of covariance matrices.
result Developed markets are net transmitters of volatility spillovers, but can become receivers during stress.
Study examines spillovers between BRICS and U.S. staple grain futures markets.
problem Contemporaneous and lagged spillover effects in BRICS staple grain futures markets and their linkages with U.S. markets.
method Examines contemporaneous and lagged spillover effects using econometric models.
result Contemporaneous spillovers dominate, and net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets compared to those including the U.S.
The paper examines spillovers between agriculture, crude oil, carbon, and climate markets.
problem Understanding dynamic spillovers between agriculture, crude oil, carbon emission, and climate markets.
method A novel R2 decomposed connectedness approach. result Overall spillovers are mainly contemporaneous, not lagged; climate change significantly impacts others; agricultural markets have heterogeneous effects; corn is a major risk contributor.
Improved tail risk forecasting model for assets using CAViaR with spillover effects.
problem Improving tail risk forecasting across assets.
method Component-based CAViaR model with spillover effects, decomposing risk into proper and spillover components.
result Spillover effects significantly improve out-of-sample tail risk forecasts.
The study finds significant financial sector volatility and tail risk spillovers to real economy sectors.
problem Volatility and tail risk spillovers from financial to real economy sectors.
method New measure of tail risk spillover, empirical analysis of U.S. economy 2001-2011.
result Significant volatility and tail risk spillovers from financial to real economy sectors, especially during crises.
Graph neural networks improve volatility forecasting by capturing spillover effects.
problem Forecasting multivariate realized volatility with spillover effects.
method Customized graph neural networks incorporating spillover effects from multi-hop neighbors.
result Modeling nonlinear spillover effects enhances forecasting accuracy, especially for short-term horizons.
BSG learns dynamic network spillovers and uncertainty quantification.
problem Identifying indirect spillovers and systemic risk in dynamic networks.
method Bayesian Spillover Graphs using FEVD and Bayesian time series models.
result Significant performance gains over baselines in identifying source and sink nodes.
Study measures risk spillovers between US and China's agricultural futures markets.
problem Interconnectedness and risk transmission in agricultural futures markets.
method TVP-VAR-DY model with quantile method.
result CBOT corn, soybean, and wheat are primary risk transmitters; DCE corn and soybean are main receivers.
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 - 2015 we document the dominating asymmetries in spillovers that are due to bad r…
Unified framework linking firm signals and cross-asset spillovers for SDF estimation.
problem Estimating SDF with cross-asset spillovers and firm-level predictive signals.
method Maximizing Sharpe ratio to jointly estimate signals and spillovers, yielding interpretable SDF.
result SDF consistently outperforms benchmarks across various investment universes and market states.
A motif-based framework identifies local spillover structures in financial markets.
problem Aggregate risk spillovers obscure local interaction patterns in systemic risk.
method Develops a motif-based framework using multiscale backbones and colored motifs.
result Motif-based portfolios outperform traditional benchmarks on risk-adjusted returns.
Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility spillovers - are studied using the Vector AutoRegressive (VAR) model. We account for the p…
This paper examines momentum spillover across multiple asset classes using only pricing data.
problem Challenges in studying momentum spillover across diverse asset classes due to lack of common characteristics.
method Utilised a linear and interpretable graph learning model to reveal momentum spillover network.
result Network momentum strategy yields a Sharpe ratio of 1.5 and an annual return of 22%.
Modeling spillover effects from observational data is an important problem in economics, business, and other fields of research. % It helps us infer the causality between two seemingly unrelated set of events. For example, if consumer spending in the United States declines, it has spillover effects on economies that de…
Crypto markets show negative spillovers between chains, not positive co-movements.
problem Negative spillovers in crypto asset returns across different blockchains.
method On-chain data from multiple blockchains (Ethereum, Solana, Binance, Arbitrum, Avalanche) analyzed over 2022-2025.
result Surges on one chain often coincide with declines on others, especially during attention shocks.
The paper analyzes risk spillovers between AI ETFs, AI tokens, and green markets.
problem Risk spillovers among AI ETFs, AI tokens, and green markets.
method R2 decomposition method
result AI ETFs and clean energy act as risk transmitters, while AI tokens and green assets act as receivers.
Study compares sentiment spillover networks from news and social media in tech companies.
problem Understanding how sentiment information flows between companies through news and social media.
method Network-based transfer entropy method to measure and compare sentiment spillover.
result News shows stronger information flow among tech companies after COVID-19.
Study examines market reactions and spillovers in Japanese bank mergers using multiple methods.
problem Understanding valuation and spillover effects of bank mergers in the Japanese banking sector.
method Combines event study, VAR models, IRFs, and PSM to analyze two M&A events.
result Significant positive market reaction and prolonged positive spillovers detected.
Russia-Ukraine conflict impacts global agricultural futures and spot markets' extreme risks.
problem Impact of Russia-Ukraine conflict on global agricultural futures and spot markets' extreme risks.
method Analytical framework for tail dependence, Copula-CoVaR method, ARMA-GARCH-skewed Student-t model.
result The outbreak of the conflict intensified risks in the wheat market the most and showed significant asymmetries in extreme risk spillovers.
Study shows how China's stock market reflects economic demand changes during COVID-19.
problem Understanding how stock market volatility is influenced by economic demand changes.
method Divided industries into demand-oriented groups and analyzed spillover networks.
result Spillover effects from demand-oriented sectors to consumption-oriented sectors increased during the outbreak.
Decomposes spillover effects under misspecified exposure mappings.
problem Modeling outcomes as functions of own treatment and a misspecified exposure mapping of others' treatments.
method Pseudo-true estimands and local-global extension for structured misspecification.
result Sharp asymptotic decomposition into direct, local, and global components.
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volatility may spill over at different magnitudes. This paper fills this gap…
Dynamic model captures spatial, temporal, and spatiotemporal volatility effects.
problem Analyzing volatility in spatial and temporal networks.
method Dynamic spatiotemporal and network ARCH model with common factors, Bayesian estimation.
result Model captures strong spatial/network interactions and spillover effects.
Dynamic treatment strategies on networks amplify policy impact through spillovers.
problem Effective dynamic treatment allocation in network settings.
method Q-Ising, a three-stage pipeline integrating Bayesian dynamic Ising model, treatment adoption histories, and offline reinforcement learning.
result Adaptive targeting outperforms static centrality benchmarks in Indian village microfinance networks and synthetic data.
A method to detect spillover effects and select valid donors for synthetic control models.
problem Identifying valid donors in synthetic control models when spillover effects are possible.
method Theoretical grounding and practical method using pre-intervention data to identify donor values and debias causal estimates.
result A Theorem that identifies assumptions for identifying donor values and debias causal estimates.
Paper uses AI to predict tail risks in US financial markets.
problem Predicting extreme risks in US financial markets.
method Multivariate multilevel CAViaR model optimized by gradient descent and genetic algorithm.
result Credit market's spillover effect on stock market is greater and longer-lasting.
GenAI adoption paradoxically lowers ROE for U.S. banks, with spillovers but systemic risk concerns.
problem Productivity paradox and implementation costs in U.S. banking sector with AI adoption.
method Dynamic Spatial Durbin Models (DSDM) and Synthetic Difference-in-Differences (SDID) for causal inference.
result AI adoption leads to a 428-basis-point decline in ROE for banks, with spillovers but systemic risk implications.
The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting networks of over 94 sub-…
New method for estimating firm linkages using CVLs and QCML.
problem Estimating firm linkages for profitable trading strategies.
method Characteristic Vector Linkages (CVLs) and Quantum Cognition Machine Learning (QCML).
result QCML similarity outperforms Euclidean similarity in constructing profitable trading strategies.
Study examines cryptocurrency risk spillover effects before and after pandemic.
problem Analyzing risk propagation among cryptocurrencies during extreme events.
method Asymmetric breakpoint approach and network analysis.
result Cryptocurrency risk spillover effect increased during pandemic.
Model forecasts global stock market volatility using dynamic graphs and all trading days.
problem Enhance forecasting accuracy and practical utility in global stock market volatility.
method Spatial-temporal graph neural network architecture to capture volatility spillover effect.
result Forecasting performance surpasses baseline models in all scenarios.
Study examines cryptocurrency impacts on financial indices using advanced risk models.
problem Interdependence between cryptocurrencies and financial indices, focusing on risk spillover.
method Hybrid approach integrating GARCH, EVT, and copula functions for risk measures.
result eGARCH-EVT-Copula model outperforms conventional methods in risk estimation.
Study on systemic risk in European insurance sector, showing insurer connections during stress.
problem Understanding systemic risk connectedness in European insurance sector.
method Common connectedness framework applied to returns, volatility, value-at-risk, and expected shortfall.
result Insurers are a significant component of systemic risk connectedness, especially during stress episodes.
Latent Euclidean embedding models a given network by representing each node in a Euclidean space, where the probability of two nodes sharing an edge is a function of the distances between the nodes. This implies that for two nodes to share an edge with high probability, they must be relatively close in all dimensions. …
Study detects edge correlation between unlabeled random graphs.
problem Detect edge correlation between unlabeled random graphs.
method Hypothesis testing, conditional second-moment method, pseudoforest structure, enumeration of subpseudoforests.
result Sharp threshold for phase transition in testing error probability.
This paper measures financial market resilience in China and identifies key uncertainties.
problem Measuring financial market resilience in China.
method Quantitative analysis of total financial market and sub-markets, Diebold-Yilmaz connectedness approach.
result Financial market resilience in China is event-driven and influenced by geopolitical risks, economic and trade policy uncertainty, and U.S.-China tensions.
Proposes a regularization approach to model German power derivative market, identifying significant risk spillovers.
problem Large portfolio of German power derivative contracts, identifying significant risk spillovers.
method Combines high-dimensional variable selection with dynamic network analysis.
result Identifies significant risk contributors and interdependencies between contracts, especially spot contracts.
The estimation of probabilities of network edges from the observed adjacency matrix has important applications to predicting missing links and network denoising. It has usually been addressed by estimating the graphon, a function that determines the matrix of edge probabilities, but this is ill-defined without strong a…
This study analyzes dynamic connectedness in global supply chain infrastructure portfolios, identifying key risk factors and extreme events.
problem Understanding dynamic connectedness in global supply chain infrastructure portfolios under various risk factors and extreme events.
method Time-varying parameter vector autoregression (TVP-VAR) model to study spillover and interconnectedness of risk factors.
result Risk shocks influence dynamic connectedness between portfolios and risk factors, and extreme events affect investment outcomes.
In this paper, we study the sensitivity of the spectral clustering based community detection algorithm subject to a Erdos-Renyi type random noise model. We prove phase transitions in community detectability as a function of the external edge connection probability and the noisy edge presence probability under a general…
This paper examines cryptocurrency integration with traditional markets, showing how network structure and turbulence influence cross-asset spillovers.
problem Understanding how cryptocurrencies integrate with traditional financial markets and the impact of market stress on cross-asset spillovers.
method Combining rolling correlation networks, community structure, market-specific and system-wide Turbulence Indices, and VAR-based connectedness analysis.
result Cross-asset integration is episodic, with network structure and turbulence playing a role in transmission during stress periods.
Paper provides statistical guarantees for GNNs in link prediction.
problem Link prediction accuracy in graph neural networks.
method Proposes a linear GNN architecture (LG-GNN) and derives statistical guarantees.
result LG-GNN produces consistent estimators for edge probabilities and has better detection of high-probability edges.
This paper analyzes how banking risks spread through sentiment and policy shocks.
problem Systemic risk in the U.S. banking system during the 2023 crisis.
method Time-Varying Parameter Vector Autoregression (TVP-VAR) model with 30-day rolling windows.
result Risk spillovers were driven by perceived similarities in bank business models under interest rate pressure.