Spatial Dependence and Data-Driven Networks of International Banks /
This paper computes data-driven correlation networks based on the stock returns of international banks and conducts a comprehensive analysis of their topological properties. We first apply spatial-dependence methods to filter the effects of strong common factors and a thresholding procedure to selec...
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| Formato: | Revista |
| Idioma: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2016.
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| Series: | IMF Working Papers; Working Paper ;
No. 2016/184 |
| Acceso en liña: | Full text available on IMF |