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.
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Journal Article: Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2013/222092
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