Open AccessComparing in- and out-of-sample approaches to variance decomposition-based estimates of network connectedness an application to the Italian banking system
Author(s) -
Andrea Ferrario,
Massimo Guidolin,
Manuela Pedio
Publication year - 2018
Publication title -
quantitative finance and economics
Language(s) - English
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2018.3.661
Subject(s) - variance decomposition of forecast errors , social connectedness , econometrics , variance (accounting) , sample (material) , stock (firearms) , systemic risk , estimation , economics , computer science , financial crisis , engineering , accounting , mechanical engineering , psychology , chemistry , management , chromatography , psychotherapist , macroeconomics