Search Results - subject:"Network estimation"

FNETS : factor-adjusted network estimation and forecasting for high-dimensional time series

Barigozzi, Matteo; Cho, Haeran; Owens, Dom - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 890-902

Persistent link: https://www.econbiz.de/10015053503

Sovereign risk connectedness : the impact of ECB's policy announcements in Central and Eastern Europe

Ciocirlan, C.; Nițoi, M. - In: Empirica : journal of european economics 50 (2023) 4, pp. 1025-1054

Persistent link: https://www.econbiz.de/10014420248

How connected is the global sovereign credit risk network?

Bostanci, Gorkem; Yılmaz, Kamil - In: Journal of banking & finance 113 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012226141

How connected is the global sovereign credit risk network?

Bostancı, Gorkem; Yılmaz, Kamil - 2015

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...

Persistent link: https://www.econbiz.de/10011326149

How connected is the global sovereign credit risk network?

Bostancı, Görkem; Yılmaz, Kamil - 2015

Persistent link: https://www.econbiz.de/10011440137