Risk management via contemporaneous and temporal dependence structures with applications

This paper presents the estimation methods of the Bayesian Graphical Vector Auto-regression with and without innovations such as external regressors (BG-VAR(X)) and Bayesian Graphical Systems Equation Modelling with and without exogenous variables (BG-SEM(X)), which are developed to examine risk net...

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Detalles Bibliográficos
Autores principales: Fianu, Emmanuel Senyo, Ahelegbey, Daniel Felix, Grossi, Luigi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2021
Materias:
Method Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8720887/
https://www.ncbi.nlm.nih.gov/pubmed/35004219
http://dx.doi.org/10.1016/j.mex.2021.101587

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8720887/
https://www.ncbi.nlm.nih.gov/pubmed/35004219
http://dx.doi.org/10.1016/j.mex.2021.101587

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