Robust and sparse banking network estimation

DOI10.1016/j.ejor.2018.03.041zbMath1403.91394OpenAlexW2795852852MaRDI QIDQ1754723

Sandra Paterlini, Rosella Giacometti, Gabriele Torri

Publication date: 31 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.03.041

zbMATH Keywords

financegraphical modelsfinancial networksCDS spreads

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of graph theory (05C90) Financial applications of other theories (91G80)

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Uses Software

• glasso
• PMTK

Cites Work

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