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Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions

Marco Valerio Geraci () and Jean-Yves Gnabo ()

No 2015-51, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Keywords: financial interconnectedness; time-varying parameter; granger casuality (search for similar items in EconPapers)
JEL-codes: C32 C51 C63 G10 G18 G32 (search for similar items in EconPapers)
Pages: 60 p.
Date: 2015-12
New Economics Papers: this item is included in nep-ban and nep-ets
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Related works:
Journal Article: Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions (2018) Downloads
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