Narrow search
Showing 1 - 10 of 1,010
Cover Image
Bayesian nonparametric sparse VAR models
Billio, Monica; Casarin, Roberto; Rossini, Luca - In: Journal of econometrics 212 (2019) 1, pp. 97-115
Persistent link: https://www.econbiz.de/10012303895
Cover Image
Modelling international sovereign risk information spillovers : a multilayer network approach
Liu, Peipei; Huang, Wei-Qiang - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10014225730
Cover Image
Beyond connectedness: a covariance decomposition based network risk model
Akovalı, Umut - 2020
This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance …, system-wide connectedness averages out the information embedded in the covariance matrix in aggregating pairwise directional …
Persistent link: https://www.econbiz.de/10012170580
Cover Image
Sector spillovers in credit markets
Collet, Jerome; Ielpo, Florian - In: Journal of banking & finance 94 (2018), pp. 267-278
Persistent link: https://www.econbiz.de/10011966651
Cover Image
Minimizing conditional value-at-risk under a modified basestock policy
Li, Bo; Arreola-Risa, Antonio - In: Production and operations management : the flagship … 31 (2022) 4, pp. 1822-1838
Persistent link: https://www.econbiz.de/10013273848
Cover Image
Informative contagion dynamics in a multilayer network model of financial markets
Biondo, Alessio Emanuele; Pluchino, Alessandro; … - In: Italian economic journal 3 (2017) 3, pp. 343-366
Persistent link: https://www.econbiz.de/10011775180
Cover Image
Bayesian SAR model with stochastic volatility and multiple time-varying weights
Costola, Michele; Iacopini, Matteo; Wichers, Casper - 2023
A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over time and enables the analysis of shock propagation in...
Persistent link: https://www.econbiz.de/10014416011
Cover Image
Fiscal risk and financial fragility
Silva, Thiago Christiano; Guerra, Solange Maria; Tabak, … - In: Emerging markets review 45 (2020)
Persistent link: https://www.econbiz.de/10012503210
Cover Image
Measuring the frequency dynamics of financial and macroeconomic connectedness
Barunik, Jozef; Krehlik, Tomas - 2016
We propose a general framework for measuring frequency dynamics of connectedness in economic variables based on … connectedness of variables as shocks with heterogeneous frequency responses will create frequency dependent connections of different … sources of connectedness. Giving up the assumption of global stationarity of stock market data and approximating the dynamics …
Persistent link: https://www.econbiz.de/10011412434
Cover Image
Mixed-frequency macrofinancial spillovers
Cotter, John; Hallam, Mark; Yılmaz, Kamil - 2017
Persistent link: https://www.econbiz.de/10011609428