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...

Полное описание

Библиографические подробности
Главный автор: Craig, Ben
Другие авторы: Saldias, Martin
Формат: Журнал
Язык:English
Опубликовано: Washington, D.C. : International Monetary Fund, 2016.
Серии:IMF Working Papers; Working Paper ; No. 2016/184
Online-ссылка:Full text available on IMF