Modeling systemic risk with Markov switching graphical SUR models
DOI10.1016/J.JECONOM.2018.11.005zbMATH Open1452.62743OpenAlexW3126133705WikidataQ128959741 ScholiaQ128959741MaRDI QIDQ1740342FDOQ1740342
Authors: Daniele Bianchi, Monica Billio, Roberto Casarin, Massimo Guidolin 
Publication date: 30 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/99559/7/WRAP-modeling-systemic-risk-Markov-graphical-models-Bianchi-2018.pdf
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MCMCgraphical modelssystemic riskMarkov regime-switchingnetwork connectivityweighted eigenvector centrality
Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)
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Cited In (13)
- Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective
- Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
- NetVIX -- a network volatility index of financial markets
- Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
- A semiparametric latent factor model for large scale temporal data with heteroscedasticity
- Bayesian nonparametric sparse VAR models
- Multilayer information spillover networks: measuring interconnectedness of financial institutions
- Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree
- Title not available (Why is that?)
- Markov switching panel with endogenous synchronization effects
- Systemic risk and complex systems: a graph-theory analysis
- Bayesian selection of systemic risk networks
- Assessing systematic risk in the S\&P500 index between 2000 and 2011: a Bayesian nonparametric approach
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