Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation-Reference-Cited by-同舟云学术

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Modeling inter-country spatial financial interactions with Graphical Lasso: An application to sovereign co-risk evaluation

Published:2018-05 Issue: Volume:70 Page:72-79
ISSN:0166-0462
Container-title:Regional Science and Urban Economics
language:en
Short-container-title:Regional Science and Urban Economics

Author:

Arbia Giuseppe,Bramante Riccardo^ORCID,Facchinetti Silvia^ORCID,Zappa Diego^ORCID

Publisher

Elsevier BV

Subject

Urban Studies,Economics and Econometrics

Reference40 articles.

1. The future of spatial interaction modelling;Arbia,2016

2. Testing spatial autocorrelation in weighted networks: the modes permutation test;Bavaud,2016

3. Model selection through sparse maximum likelihood estimation for multivariate Gaussian or binary data;Banerjee;J. Mach. Learn. Res.,2008

4. Regularized estimation of large covariance matrices;Bickel;Ann. Stat.,2008

5. Sovereign credit risk Co- movements in the Eurozone: simple interdependence or contagion?;Buchholz,2013

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