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

Marco Valerio Geraci () and Jean-Yves Gnabo

Journal of Financial and Quantitative Analysis, 2018, vol. 53, issue 03, 1371-1390

Date: 2018
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Working Paper: Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions (2015) Downloads
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