A residual-based threshold method for detection of units that are too big to fail in large factor models

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Authors and Corporations:

Kapetanios, George (Author), Pesaran, M. Hashem (Author), Reese, Simon (Author)

Other Authors:

Pesaran, M. Hashem 1946- [Author] • Reese, Simon [Author]

Type of Resource:

E-Book

Language:

English

published:

Munich, Germany CESifo, Center for Economic Studies & Ifo Institute [2018]

Series:

CESifo GmbH: CESifo working papers ; no. 7401 (December 2018)

Subjects:

dominant units

factor models

systemic risk

cross-sectional dependence

networks

Graue Literatur

Source:

Verbunddaten SWB
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