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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Detalles Bibliográficos
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. Science Q
Acceso en línea:	https://doaj.org/article/012c039f75784c16b7647ce2ca8ded1f
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Risk management via contemporaneous and temporal dependence structures with applications

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