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Measuring dynamic connectedness with large Bayesian VAR models

Korobilis, Dimitris; Yılmaz, Kamil - 2018

We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial institutions. Based on that model we extract a connectedness index in the spirit of Diebold and Yilmaz (2014) (DYCI). We show that the...

Persistent link: https://www.econbiz.de/10011778195

A new algorithm for structural restrictions in Bayesian vector autoregressions

Korobilis, Dimitris - In: European economic review : EER 148 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013553376

Bayesian multivariate time series methods for emprirical macroeconomics

Koop, Gary (contributor); Korobilis, Dimitris (contributor) - 2010

Persistent link: https://www.econbiz.de/10008656404

Data-based priors for vector autoregressions with drifting coefficients

Korobilis, Dimitris - 2014

Persistent link: https://www.econbiz.de/10010346569

Large time-varying parameter VARs

Koop, Gary; Korobilis, Dimitris - In: Journal of econometrics 177 (2013) 2, pp. 185-198

Persistent link: https://www.econbiz.de/10010254877

Model uncertainty in Panel Vector Autoregressive models

Koop, Gary; Korobilis, Dimitris - 2014

Persistent link: https://www.econbiz.de/10010400678

Model uncertainty in panel vector autoregressive models

Koop, Gary; Korobilis, Dimitris - 2014

Persistent link: https://www.econbiz.de/10010403255

Bayesian compressed vector autoregressions

Pettenuzzo, Davide; Koop, Gary; Korobilis, Dimitris - 2016

Persistent link: https://www.econbiz.de/10011448989

Bayesian compressed vector autoregressions

Koop, Gary; Korobilis, Dimitris; Pettenuzzo, Davide - 2016

Persistent link: https://www.econbiz.de/10011450083

Forecasting with high dimensional panel VARs

Koop, Gary; Korobilis, Dimitris - 2015

Persistent link: https://www.econbiz.de/10011413079

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