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...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Washington, District of Columbia] :
International Monetary Fund,
2017.
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| Series: | IMF working paper ;
WP/17/107. |
| Subjects: | |
| Online Access: | CONNECT |
