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Publication Year:
2018
Journals:
Journal of Applied Econometrics
Mert Demirer
;
Francis X. Diebold
;
Laura Liu
;
Kamil Yilmaz
Estimating global bank network connectedness (replication data)
We use LASSO methods to shrink, select, and estimate the high-dimensional network linking the publicly traded subset of the world's top 150 banks, 2003-2014. We characterize...
DOI:10.15456/jae.2022326.0708721906
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