Modeling systemic risk with Markov switching graphical SUR models
From MaRDI portal
(Redirected from Publication:1740342)
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)
Recommendations
- Bayesian selection of systemic risk networks
- Systemic risk in the European sovereign and banking system
- A network analysis of the volatility of high-dimensional financial series
- Measures of systemic risk
- Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
Cites work
- scientific article; zbMATH DE number 4211299 (Why is no real title available?)
- scientific article; zbMATH DE number 1085989 (Why is no real title available?)
- scientific article; zbMATH DE number 1134987 (Why is no real title available?)
- scientific article; zbMATH DE number 1179517 (Why is no real title available?)
- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- A NEW MEASURE OF RANK CORRELATION
- An Intertemporal Capital Asset Pricing Model
- Asset pricing theory.
- Bayesian analysis of matrix normal graphical models
- Common risk factors in the returns on stocks and bonds
- Communicability graph and community structures in complex networks
- Covariance decomposition in undirected Gaussian graphical models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Decomposable graphical Gaussian model determination
- Dynamic financial index models: modeling conditional dependencies via graphs
- Dynamic matrix-variate graphical models
- Experiments in stochastic computation for high-dimensional graphical models
- Financial Network Systemic Risk Contributions
- Financial and macroeconomic connectedness. A network approach to measurement and monitoring
- Finite mixture and Markov switching models.
- Hyper Markov laws in the statistical analysis of decomposable graphical models
- Laplacian centrality: A new centrality measure for weighted networks
- Marginal Likelihood from the Gibbs Output
- On Gibbs sampling for state space models
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Paths in graphs
- Simulation of hyper-inverse Wishart distributions in graphical models
- Sparse covariance estimation in heterogeneous samples
- Sparse seemingly unrelated regression modelling: applications in finance and econometrics
- The network origins of aggregate fluctuations
Cited in
(13)- Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
- Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
- Multilayer information spillover networks: measuring interconnectedness of financial institutions
- Bayesian nonparametric sparse VAR models
- NetVIX -- a network volatility index of financial markets
- Bayesian selection of systemic risk networks
- Assessing systematic risk in the S\&P500 index between 2000 and 2011: a Bayesian nonparametric approach
- Markov switching panel with endogenous synchronization effects
- Systemic risk and complex systems: a graph-theory analysis
- A semiparametric latent factor model for large scale temporal data with heteroscedasticity
- scientific article; zbMATH DE number 7255155 (Why is no real title available?)
- Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective
- Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree
This page was built for publication: Modeling systemic risk with Markov switching graphical SUR models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1740342)
