Tail event driven networks of SIFIs
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DOI: 10.1016/j.jeconom.2018.09.016
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More about this item
Keywords
Systemic risk; Network analysis; Network autoregression; Tail event;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
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