Titre:
  • Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS
Auteur:Geraci, Marco Valerio; Gnabo, Jean-Yves
Statut de publication:Publié, 2015-12
series:ECARES Working Papers, ECARES 2015-51
Sujet CREF:Economie générale
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
Model Construction and Estimation
Computational Techniques
Volumes/pages:61 p.
Mots-clés:financial interconnectedness
time-varying parameter
granger causality
Langue:Anglais
Identificateurs:RePEc:eca:wpaper:2013/249920