Modeling systemic risk with Markov switching graphical SUR models

DOI10.1016/j.jeconom.2018.11.005zbMath1452.62743OpenAlexW3126133705WikidataQ128959741 ScholiaQ128959741MaRDI QIDQ1740342

Massimo Guidolin, Roberto Casarin, Monica Billio, Daniele Bianchi

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/99559/7/WRAP-modeling-systemic-risk-Markov-graphical-models-Bianchi-2018.pdf

zbMATH Keywords

graphical modelsMCMCsystemic risknetwork connectivityMarkov regime-switchingweighted eigenvector centrality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (9)

Unnamed Item ⋮ Markov switching panel with endogenous synchronization effects ⋮ Bayesian Markov-Switching Tensor Regression for Time-Varying Networks ⋮ Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective ⋮ A semiparametric latent factor model for large scale temporal data with heteroscedasticity ⋮ Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions ⋮ Bayesian nonparametric sparse VAR models ⋮ Multilayer information spillover networks: measuring interconnectedness of financial institutions ⋮ NetVIX -- a network volatility index of financial markets

Uses Software

• Brain Connectivity Toolbox
• HdBCS

Cites Work

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