Does global fear predict fear in BRICS stock markets? : evidence from a Bayesian Graphical Structural VAR model
Year of publication: |
2018
|
---|---|
Authors: | Bouri, Elie ; Gupta, Rangan ; Hosseini, Seyedmehdi ; Lau, Chi Keung |
Published in: |
Emerging markets review. - Amsterdam [u.a.] : Elsevier, ISSN 1566-0141, ZDB-ID 2025202-X. - Vol. 34.2018, p. 124-142
|
Subject: | Bayesian Graphical Structural VAR | BRICS | Implied volatility index | Strategic commodities | VIX | Volatility predictability | Volatilität | Volatility | VAR-Modell | VAR model | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | BRICS-Staaten | BRICS countries | Schätzung | Estimation | Börsenkurs | Share price | Aktienmarkt | Stock market |
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