04003cam a22007097i 4500 on1202625941 OCoLC 20260430112043.0 201102t20202020oncd ob f000 0 eng m o d f cr cn||||||||| NLC eng rda NLC NLC CUY NLC CELBN 20200379313 can (OCoLC)1202625941 lac 332.1 15 cci1icc lacc FB3-5/2020-42E-PDF Hipp, Ruben, author. On causal networks of financial firms : structural identification via non-parametric heteroskedasticity / by Ruben Hipp. [Ottawa] : Bank of Canada = Banque du Canada, 2020. ©2020 1 online resource (ii, 40 pages). text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-42 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. Unrestricted online access. star CaOONL Electronic monograph in PDF format. "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. Financial institutions Econometric models. Causation Econometric models. Heteroscedasticity. Financial institutions. Econometrics. Analysis of variance. Institutions financières Modèles économétriques. Causalité Modèles économétriques. Hétéroscédasticité. Autoregressive conditional heteroskedasticity. iptcnc Causality. iptcnc Covariance matrix. iptcnc Derivative. iptcnc Diagonal matrix. iptcnc Financial crisis of 2007-08. iptcnc Heteroscedasticity. iptcnc Jpmorgan chase. iptcnc Likelihood function. iptcnc Matrix (mathematics) iptcnc Electronic books. Bank of Canada, issuing body. Staff Working Paper (Bank of Canada) ; 2020-42 Bibliothèque et Archives Canada / Library and Archives Canada 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 Government of Canada Publications / Publications du gouvernement du Canada http://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-42-eng.pdf http://www.deslibris.ca/ID/10105157 For Subscription see www.canadianelectroniclibrary.ca desLibris e-book: http://api.deslibris.ca/api/cover/getcover?id=10105157&thumbnail=false Medium cover image: http://api.deslibris.ca/api/cover/getcover?id=10105157&thumbnail=true Thumbnail cover image: Canadian Electronic Library CELB 10105157 38608 38608