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Working paper

Connecting the dots: econometric methods for uncovering networks with an application to the Australian financial institution

31 Jan 2015

6

Mikhail Anufriev, Valentyn Panchenko

Centre for International Finance and Regulation

This paper connects variance-covariance estimation methods, Gaussian graphical models, and the growing literature on economic and nancial networks. We construct the network using the concept of partial correlations which captures direct linear dependence between any two entities, conditional on dependence between all other entities. We...