Title: Predictability, spillover, and disagreement in signed financial networks
Authors: Monica Billio - University of Venice (Italy)
Roberto Casarin - University Ca' Foscari of Venice (Italy)
Michele Costola - SAFE, Goethe University Frankfurt (Germany)
Lorenzo Frattarolo - Universita Ca Foscari (Italy) [presenting]
Abstract: The link between return predictability and disagreement is investigated by studying consensus dynamics on VAR(1)-based network on stock returns. We include the sign information of the VAR(1) in the analysis of disagreement on statistical financial networks by proposing two new financial stability measures: time to consensus and disagreement persistence.