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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Auteurs principaux: Emmanuel Senyo Fianu, Daniel Felix Ahelegbey, Luigi Grossi
Format: article
Langue:EN
Publié: Elsevier 2021
Sujets:
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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Accès en ligne:https://doaj.org/article/012c039f75784c16b7647ce2ca8ded1f
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https://doaj.org/article/012c039f75784c16b7647ce2ca8ded1f

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