Comparing in- and out-of-sample approaches to variance decomposition-based estimates of network connectedness an application to the Italian banking system

Comparing in- and out-of-sample approaches to variance decomposition-based estimates of network connectedness an application to the Italian banking system

We use methods that exploit variance decompositions from standard (rolling window) estimates of VAR(<em>p</em>) models to obtain estimates of network connectedness and perform an empirical comparison of the results derived under two alternative approaches: To base the decompositions on i...

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Bibliographic Details
Main Authors: Andrea Ferrario, Massimo Guidolin, Manuela Pedio
Format: Article
Language:English
Published: AIMS Press 2018-08-01
Series:Quantitative Finance and Economics
Subjects:
networks| connectedness measures| vector autoregressions| generalized variance decompositions| banking system| contagion and spillovers
Online Access:http://www.aimspress.com/article/10.3934/QFE.2018.3.661/fulltext.html

Internet

http://www.aimspress.com/article/10.3934/QFE.2018.3.661/fulltext.html

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