Estimating Global Bank Network Connectedness
By Mert Demirer, Francis X. Diebold, Laura Xiaolei Liu, K. Yilmaz. 2017
613 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/362a7848a242aa122d8cb8d5973347e2762e89a4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Gorkem Bostanci
- K. Yilmaz
- Nikolaos Antonakakis
- David Gabauer
- George Filis
- Sang Hoon Kang
- Ioannis Chatziantoniou
- Dayong Zhang
In Finance
- Gorkem Bostanci
- K. Yilmaz
- Nikolaos Antonakakis
- David Gabauer
- George Filis
- Sang Hoon Kang
- Ioannis Chatziantoniou
- Dayong Zhang
Citations in the corpus
- How connected is the global sovereign credit risk network? (2020, positive): “To overcome this problem, we follow Demirer et al. (2015) and estimate sparse VAR of SCDS returns/volatilities using the elastic net estimator.”
- Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks (2018, neutral): “…of the Diebold–Yilmaz framework rely on a range of conventional estimators, including least squares (e.g. Diebold and Yilmaz, 2009, 2014), the least absolute shrinkage and selection operator, or LASSO (e.g. Greenwood-Nimmo et al., 2017) and elastic net regularisation (e.g. Demirer et al., 2017).”