Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions
Year of publication: |
2020
|
---|---|
Authors: | Antonakakis, Nikolaos ; Chatziantoniou, Ioannis ; Gabauer, David |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 13.2020, 4, p. 1-23
|
Publisher: |
Basel : MDPI |
Subject: | dynamic connectedness | Monte Carlo simulation | TVP-VAR |
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