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

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Bibliographic Details

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 Lizenzfreie Online-Ressourcen