Comparing in- and out-of-sample approaches to variance decomposition-based estimates of network connectedness an application to the Italian banking system
Andrea Ferrario, Massimo Guidolin and Manuela Pedio
| Year of publication: |
2018
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|---|---|
| Authors: | Ferrario, Andrea ; Guidolin, Massimo ; Pedio, Manuela |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 2.2018, 3, p. 661-701
|
| Subject: | networks | connectedness measures | vector autoregressions | generalized variance decompositions | banking system | contagion and spillovers | Italien | Italy | VAR-Modell | VAR model | Bank | Schätzung | Estimation | Spillover-Effekt | Spillover effect | Finanzsystem | Financial system | Theorie | Theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2018.3.661 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012156828