Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
Year of publication: |
2014
|
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Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Lucas, Andre ; Schaumburg, Julia |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Spatial correlation | time-varying parameters | systemic risk | European debt crisis | generalized autoregressive score |
Series: | Tinbergen Institute Discussion Paper ; 14-107/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 793157161 [GVK] hdl:10419/107814 [Handle] RePEc:dgr:uvatin:20140107 [RePEc] |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E17 - Forecasting and Simulation |
Source: |
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco, (2014)
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Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
Blasques, Francisco, (2014)
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Blasques, Francisco, (2014)
- More ...
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco, (2014)
-
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
Blasques, Francisco, (2014)
-
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco, (2014)
- More ...