A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
DOI10.1016/j.ejor.2019.07.024zbMath1430.90176arXiv1801.00185OpenAlexW2962798205WikidataQ127478262 ScholiaQ127478262MaRDI QIDQ2329477
Fabrizio Lillo, Piero Mazzarisi, Daniele Tantari, Paolo Barucca
Publication date: 17 October 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.00185
Markov processes: estimation; hidden Markov models (62M05) Stochastic network models in operations research (90B15) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial applications of other theories (91G80)
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