The DOI matches its Crossref record; 33 of the 33 references it cites were found in a registry or an index.
Estimating global bank network connectedness
Abstract
Summary: We use LASSO methods to shrink, select, and estimate the high‐dimensional network linking the publicly traded subset of the world's top 150 banks, 2003–2014. We characterize static network connectedness using full‐sample estimation and dynamic network connectedness using rolling‐window estimation. Statically, we find that global bank equity connectedness has a strong geographic component, whereas country sovereign bond connectedness does not. Dynamically, we find that equity connectedness increases during crises, with clear peaks during the Great Financial Crisis and each wave of the subsequent European Debt Crisis, and with movements coming mostly from changes in cross‐country as opposed to within‐country bank linkages.
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Cites
Regression shrinkage and selection via the lasso
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Generalized impulse response analysis in linear multivariate models
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Better to give than to receive: Predictive directional measurement of volatility spillovers
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Self-citationImpulse response analysis in nonlinear multivariate models
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On the network topology of variance decompositions: Measuring the connectedness of financial firms
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Self-citationAllen, F., & Gale, D. (2000) · Journal of Political Economy · doi:10.1086/262109 · Cited by 3,186
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Self-citationJacomy, M., Venturini, T., Heymann, S., & Bastian, M. (2014) · PLoS ONE · doi:10.1371/journal.pone.0098679 · Cited by 2,909
Liquidation Values and Debt Capacity: A Market Equilibrium Approach
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Cited by
Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
Yi, S., Xu, Z., & Wang, G.-J. (2018) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.08.012 · Cited by 434
Metadata
- Authors
- Demirer, M., Diebold, F. X., Liu, L., & Yilmaz, K.
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 2017-07-31
- Volume
- 33
- Issue
- 1
- Pages
- 1-15
- ISSN
- 0883-7252 (ISSN-L)
- 1099-1255
- OpenAlex
- W3124194226
- Cited by
- 607
- References
- 33
- FWCI
- 43.47
- Type
- journal article
- Language
- en
- Open access
- closed
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