Estimating Global Bank Network Connectedness
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We use LASSO methods to shrink, select and estimate the high-dimensional network linking the publicly-traded subset of the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and dynamic network connectedness using rolling-window estimation.
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美国国家经济研究局创建时间：
2017-02-01
