Transfer of macroeconomic shocks in stress tests modeling

DOI10.1016/j.physa.2020.125571OpenAlexW3107319720MaRDI QIDQ2067543

Helder Rojas, David Dias

Publication date: 18 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.07401

zbMATH Keywords

stress testingBayesian approachgeneral transfer function modelsrisk parameterstransmission of shocks

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC
• On a Family of Lag Distributions
• Revisiting distributed lag models through a Bayesian perspective
• Sampling-Based Approaches to Calculating Marginal Densities
• Testing for unit roots in autoregressive-moving average models of unknown order
• On a measure of lack of fit in time series models
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• Bayesian Measures of Model Complexity and Fit
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications
• Introducing Monte Carlo Methods with R

This page was built for publication: Transfer of macroeconomic shocks in stress tests modeling