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Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions

Geraci, Marco Valerio; Gnabo, Jean-Yves - 2016

Persistent link: https://www.econbiz.de/10011628710

Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions

Geraci, Marco Valerio; Gnabo, Jean-Yves - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1371-1390

Persistent link: https://www.econbiz.de/10011930417

The dollar in the turmoil

Bénassy-Quéré, Agnès; Béreau, Sophie; Mignon, Valérie - In: Journal of the Japanese and international economies : … 23 (2009) 4, pp. 427-436

Persistent link: https://www.econbiz.de/10003921486

The dollar in the turmoil

Bénassy-Quéré, Agnès; Béreau, Sophie; Mignon, Valérie - 2009

Persistent link: https://www.econbiz.de/10003927195

Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

Geraci, Marco Valerio - 2018

We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor's 500 index and estimate interconnectedness at the sector and institution level. At the...

Persistent link: https://www.econbiz.de/10012936644