Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions
Year of publication: |
2020
|
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Authors: | Antonakakis, Nikolaos ; Chatziantoniou, Ioannis ; Gabauer, David |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 13.2020, 4/84, p. 1-23
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Subject: | dynamic connectedness | Monte Carlo simulation | TVP-VAR | Monte-Carlo-Simulation | VAR-Modell | VAR model | Theorie | Theory | Simulation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm13040084 [DOI] hdl:10419/239172 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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