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Econometric issues in the analysis of contagion
Pesaran, M. Hashem; Pick, Andreas - 2004
This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …
Persistent link: https://www.econbiz.de/10011402451
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Econometric Issues in the Analysis of Contagion
Pesaran, M. Hashem; Pick, Andreas - 2004
This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …
Persistent link: https://www.econbiz.de/10010315922
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Econometric issues in the analysis of contagion
Pesaran, M. Hashem; Pick, Andreas - 2004
This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …
Persistent link: https://www.econbiz.de/10002047440
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Econometric issues in the analysis of contagion
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001877340
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Econometric Issues in the Analysis of Contagion
Pesaran, M. Hashem; Pick, Andreas - CESifo - 2004
This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion … the solution is not unique, and for sufficiently large values of the contagion coefficients it has interesting bifurcation … contagion effects in the presence of inter-dependencies the equations for the individual markets or countries must contain …
Persistent link: https://www.econbiz.de/10005406044
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A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models
Kapetanios, George; Pesaran, M. Hashem; Reese, Simon - 2018
The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...
Persistent link: https://www.econbiz.de/10011957217
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A residual-based threshold method for detection of units that are too big to fail in large factor models
Kapetanios, George; Pesaran, M. Hashem; Reese, Simon - 2018
The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...
Persistent link: https://www.econbiz.de/10011942707
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Firm heterogeneity and credit risk diversification
Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612
Persistent link: https://www.econbiz.de/10003759687
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Macroeconomic dynamics and credit risk : a global perspective
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - In: Journal of money, credit and banking : JMCB 38 (2006) 5, pp. 1211-1261
Persistent link: https://www.econbiz.de/10003353293
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Global business cycles and credit risk
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - In: The risks of financial institutions : [...papers and …, (pp. 419-473). 2006
Persistent link: https://www.econbiz.de/10003445609