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Variance decomposition networks : potential pitfalls and a simple solution /
Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant gene...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, District of Columbia] :
International Monetary Fund,
2017.
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| Colección: | IMF working paper ;
WP/17/107. |
| Temas: | |
| Acceso en línea: | Texto completo |