41 citations · 88 across the 7 of their papers we have counts for
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q-fin.RM2020
Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages
Piero Mazzarisi, Silvia Zaoli, Carlo Campajola +1
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether p…
physics.soc-ph2020
Betweenness centrality for temporal multiplexes
Silvia Zaoli, Piero Mazzarisi, Fabrizio Lillo
Betweenness centrality quantifies the importance of a vertex for the information flow in a network. We propose a flexible definition of betweenness for temporal multiplexes, where…