On causal networks of financial firms : (Record no. 38608)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04003cam a22007097i 4500 |
| 001 - CONTROL NUMBER | |
| control field | on1202625941 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20260430112043.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 201102t20202020oncd ob f000 0 eng |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d f |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | NLC |
| Language of cataloging | eng |
| Description conventions | rda |
| Transcribing agency | NLC |
| Modifying agency | NLC |
| -- | CUY |
| -- | NLC |
| -- | CELBN |
| 015 ## - NATIONAL BIBLIOGRAPHY NUMBER | |
| National bibliography number | 20200379313 |
| Source | can |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)1202625941 |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | lac |
| 082 1# - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.1 |
| Edition information | 15 |
| 084 ## - OTHER CLASSIFICATION NUMBER | |
| Classification number | cci1icc |
| Number source | lacc |
| 086 1# - GOVERNMENT DOCUMENT CLASSIFICATION NUMBER | |
| Classification number | FB3-5/2020-42E-PDF |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Hipp, Ruben, |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | On causal networks of financial firms : |
| Remainder of title | structural identification via non-parametric heteroskedasticity / |
| Statement of responsibility, etc. | by Ruben Hipp. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | [Ottawa] : |
| Name of producer, publisher, distributor, manufacturer | Bank of Canada = Banque du Canada, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2020. |
| Date of production, publication, distribution, manufacture, or copyright notice | ©2020 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (ii, 40 pages). |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Staff working paper = Document de travail du personnel, |
| International Standard Serial Number | 1701-9397 ; |
| Volume/sequential designation | 2020-42 |
| 500 ## - GENERAL NOTE | |
| General note | Distributed by the Government of Canada Publishing and Depository Services Program (Weekly acquisitions list 2020-44). |
| General note | "Last updated: October 15, 2020." |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc. note | Includes bibliographical references. |
| 506 0# - RESTRICTIONS ON ACCESS NOTE | |
| Terms governing access | Unrestricted online access. |
| Standardized terminology for access restriction | Unrestricted online access. |
| Source of term | star |
| Institution to which field applies | CaOONL |
| 516 8# - TYPE OF COMPUTER FILE OR DATA NOTE | |
| Type of computer file or data note | Electronic monograph in PDF format. |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc. | "We investigate the causal structure of financial systems by accounting for contemporaneous relationships. To identify structural parameters, we introduce a novel non-parametric approach that exploits the fact that most financial data empirically exhibit heteroskedasticity. The identification works locally and, thus, allows structural matrices to vary smoothly with time. With this causality in hand, we derive a new measure for systemic relevance. An application on volatility spillovers in the US financial market demonstrates the importance of structural parameters in spillover analyses. Finally, we highlight that the COVID-19 period is mostly an aggregate crisis, with financial firms' spillovers edging slightly higher"--Abstract, page ii. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Financial institutions |
| General subdivision | Econometric models. |
| Topical term or geographic name entry element | Causation |
| General subdivision | Econometric models. |
| Topical term or geographic name entry element | Heteroscedasticity. |
| Topical term or geographic name entry element | Financial institutions. |
| Topical term or geographic name entry element | Econometrics. |
| Topical term or geographic name entry element | Analysis of variance. |
| Topical term or geographic name entry element | Institutions financières |
| General subdivision | Modèles économétriques. |
| Topical term or geographic name entry element | Causalité |
| General subdivision | Modèles économétriques. |
| Topical term or geographic name entry element | Hétéroscédasticité. |
| Topical term or geographic name entry element | Autoregressive conditional heteroskedasticity. |
| Source of heading or term | iptcnc |
| Topical term or geographic name entry element | Causality. |
| Source of heading or term | iptcnc |
| Topical term or geographic name entry element | Covariance matrix. |
| Source of heading or term | iptcnc |
| Topical term or geographic name entry element | Derivative. |
| Source of heading or term | iptcnc |
| Topical term or geographic name entry element | Diagonal matrix. |
| Source of heading or term | iptcnc |
| Topical term or geographic name entry element | Financial crisis of 2007-08. |
| Source of heading or term | iptcnc |
| Topical term or geographic name entry element | Heteroscedasticity. |
| Source of heading or term | iptcnc |
| Topical term or geographic name entry element | Jpmorgan chase. |
| Source of heading or term | iptcnc |
| Topical term or geographic name entry element | Likelihood function. |
| Source of heading or term | iptcnc |
| Topical term or geographic name entry element | Matrix (mathematics) |
| Source of heading or term | iptcnc |
| 655 #0 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | Bank of Canada, |
| Relator term | issuing body. |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Staff Working Paper (Bank of Canada) ; |
| Volume/sequential designation | 2020-42 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Materials specified | Bibliothèque et Archives Canada / Library and Archives Canada |
| Uniform Resource Identifier | <a href="https://epe.lac-bac.gc.ca/100/201/301/weekly_acquisitions_list-ef/2020/20-44/publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-42-eng.pdf">https://epe.lac-bac.gc.ca/100/201/301/weekly_acquisitions_list-ef/2020/20-44/publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-42-eng.pdf</a> |
| Materials specified | Government of Canada Publications / Publications du gouvernement du Canada |
| Uniform Resource Identifier | <a href="http://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-42-eng.pdf">http://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-42-eng.pdf</a> |
| Uniform Resource Identifier | <a href="http://www.deslibris.ca/ID/10105157">http://www.deslibris.ca/ID/10105157</a> |
| Public note | For Subscription see www.canadianelectroniclibrary.ca |
| Materials specified | desLibris e-book: |
| Uniform Resource Identifier | <a href="http://api.deslibris.ca/api/cover/getcover?id=10105157&thumbnail=false">http://api.deslibris.ca/api/cover/getcover?id=10105157&thumbnail=false</a> |
| Materials specified | Medium cover image: |
| Uniform Resource Identifier | <a href="http://api.deslibris.ca/api/cover/getcover?id=10105157&thumbnail=true">http://api.deslibris.ca/api/cover/getcover?id=10105157&thumbnail=true</a> |
| Materials specified | Thumbnail cover image: |
| 938 ## - | |
| -- | Canadian Electronic Library |
| -- | CELB |
| -- | 10105157 |
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