TY  - BOOK
AU  - Hipp,Ruben
ED  - Bank of Canada,
TI  - On causal networks of financial firms: structural identification via non-parametric heteroskedasticity 
T2  - Staff working paper = Document de travail du personnel,
U1  - 332.1 15
PY  - 2020///
CY  - [Ottawa]
PB  - Bank of Canada = Banque du Canada
KW  - Financial institutions
KW  - Econometric models
KW  - Causation
KW  - Heteroscedasticity
KW  - Econometrics
KW  - Analysis of variance
KW  - Institutions financières
KW  - Modèles économétriques
KW  - Causalité
KW  - Hétéroscédasticité
KW  - Autoregressive conditional heteroskedasticity
KW  - iptcnc
KW  - Causality
KW  - Covariance matrix
KW  - Derivative
KW  - Diagonal matrix
KW  - Financial crisis of 2007-08
KW  - Jpmorgan chase
KW  - Likelihood function
KW  - Matrix (mathematics)
KW  - Electronic books
N1  - Distributed by the Government of Canada Publishing and Depository Services Program (Weekly acquisitions list 2020-44); "Last updated: October 15, 2020."; Includes bibliographical references; Unrestricted online access; Electronic monograph in PDF format
N2  - "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
UR  - 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
UR  - http://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-42-eng.pdf
UR  - http://www.deslibris.ca/ID/10105157
UR  - http://api.deslibris.ca/api/cover/getcover?id=10105157&thumbnail=false
UR  - http://api.deslibris.ca/api/cover/getcover?id=10105157&thumbnail=true
ER  -