Risk management via contemporaneous and temporal dependence structures with applications

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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Autores principales: Emmanuel Senyo Fianu, Daniel Felix Ahelegbey, Luigi Grossi
Formato: article
Lenguaje:EN
Publicado: Elsevier 2021
Materias:
Methods for Risk analysis, and Model performance using Bayesian Graphical Network Vector Autoregression with Exogenous Variables (BG-VARX) and System Equation Modelling (BG-SEM) with real world applications.
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Acceso en línea:https://doaj.org/article/012c039f75784c16b7647ce2ca8ded1f
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