{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,27]],"date-time":"2026-09-27T05:34:34Z","timestamp":1790487274841,"version":"4.1.0"},"reference-count":31,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,4,17]],"date-time":"2015-04-17T00:00:00Z","timestamp":1429228800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100000269","name":"Economic and Social Research Council","doi-asserted-by":"publisher","award":["ES\/K010611\/1"],"award-info":[{"award-number":["ES\/K010611\/1"]}],"id":[{"id":"10.13039\/501100000269","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2016,1]]},"abstract":"<jats:title>Summary<\/jats:title>\n                  <jats:p>We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate dynamic Tobit\u2010type models for each pair of banks, allowing for deterministic or stochastic time\u2010varying parameters, and then aggregate across all bank pairs. To tackle the high dimensionality of the model, we construct a few lagged variables that efficiently summarize the position of a bank pair in the network. We propose a simple and computationally easy kernel\u2010based local maximum likelihood estimator of the time\u2010varying parameters of the model and establish its asymptotic properties. We then apply the model to the time series of daily overnight money market network in the UK 2003\u20132012. The results show that our model can successfully accommodate the numerous structural breaks arising from changes to the monetary framework and captures well the dynamics of the interbank lending relationships in this period. Copyright \u00a9 2015\u2009John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2457","type":"journal-article","created":{"date-parts":[[2015,4,17]],"date-time":"2015-04-17T05:39:07Z","timestamp":1429249147000},"page":"58-84","source":"Crossref","is-referenced-by-count":41,"title":["Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market"],"prefix":"10.1002","volume":"31","author":[{"given":"Liudas","family":"Giraitis","sequence":"first","affiliation":[{"name":"School of Economics and Finance Queen Mary University of London  UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"George","family":"Kapetanios","sequence":"additional","affiliation":[{"name":"School of Economics and Finance Queen Mary University of London  UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Anne","family":"Wetherilt","sequence":"additional","affiliation":[{"name":"Bank of England  London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Filip","family":"\u017dIKE\u0160","sequence":"additional","affiliation":[{"name":"Bank of England  London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2015,4,17]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfs022"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01670.x"},{"key":"e_1_2_10_4_1","first-page":"367","volume-title":"Network\u2010Based Strategies and Competencies","author":"Allen F","year":"2010"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1914031"},{"key":"e_1_2_10_6_1","unstructured":"Bank of England.2007a.Financial stability report October."},{"key":"e_1_2_10_7_1","article-title":"Markets and operations","volume":"3","author":"Bank of England","year":"2007","journal-title":"Quarterly Bulletin"},{"key":"e_1_2_10_8_1","article-title":"Markets and operations","volume":"1","author":"Bank of England","year":"2008","journal-title":"Quarterly Bulletin"},{"key":"e_1_2_10_9_1","unstructured":"Bank of England.2011.Instruments of macroprudential policy. 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