Titre:
  • Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions
Auteur:Geraci, Marco Valerio; Gnabo, Jean-Yves
Statut de publication:Publié, 2015-12
series:ECARES Working Papers, 2015-51
Sujet CREF:Economie
Sujet JEL:General Financial Markets: General (includes Measurement and Data)
General Financial Markets: Government Policy and Regulation
Multiple or Simultaneous Equation Models: Time-Series Models
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
Model Construction and Estimation
Computational Techniques
Volumes/pages:60 p.
Mots-clés:financial interconnectedness
time-varying parameter
granger casuality
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2013/222092