Felix Brunner - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T17:40:57+00:00Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers
https://www.bankofcanada.ca/2021/08/staff-working-paper-2021-37/
Understanding the size of sectoral links is crucial to predicting the impact of a crisis on the whole economy. We show that statistical learning techniques substantially outperform traditional estimation techniques when measuring large networks of these links.2021-08-05T08:55:46+00:00enEstimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers2021-08-05Business fluctuations and cyclesEconometric and statistical methodsStaff Working Paper 2021-37https://www.bankofcanada.ca/wp-content/uploads/2021/08/swp2021-37.pdfStaff Working Paper 2021-37Felix BrunnerRuben HippAugust 2021CC2C22C5C52EE2E23E27