Modeling systemic risk with Markov Switching Graphical SUR models
Year of publication: |
2019
|
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Authors: | Bianchi, Daniele ; Billio, Monica ; Casarin, Roberto ; Guidolin, Massimo |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 210.2019, 1, p. 58-74
|
Subject: | Graphical models | Markov regime-switching | MCMC | Network connectivity | Systemic risk | Weighted eigenvector centrality | Markov-Kette | Markov chain | Systemrisiko | Theorie | Theory | Deskriptive Statistik | Descriptive statistics | Finanzkrise | Financial crisis |
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