Risk management via contemporaneous and temporal dependence structures with applications
This paper presents the estimation methods of the Bayesian Graphical Vector Auto-regression with and without innovations such as external regressors (BG-VAR(X)) and Bayesian Graphical Systems Equation Modelling with and without exogenous variables (BG-SEM(X)), which are developed to examine risk net...
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| Auteurs principaux: | , , |
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| Format: | article |
| Langue: | EN |
| Publié: |
Elsevier
2021
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| Sujets: | |
| Accès en ligne: | https://doaj.org/article/012c039f75784c16b7647ce2ca8ded1f |
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