Modeling systemic risk with Markov switching graphical SUR models
type: Item
instance of: scholarly article
title: Modeling systemic risk with Markov switching graphical SUR models
zbMATH Open document ID: 1452.62743
author: Daniele Bianchi
author: Monica Billio
author: Roberto Casarin
author: Massimo Guidolin
published in: Journal of Econometrics
publication date: 2019-04-30T00:00:00Z
full work available at URL: WRAP-modeling-systemic-risk-Markov-graphical-models-Bianchi-2018.pdf
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91G45
zbMATH DE Number: 7049088
zbMATH Keywords: Markov regime-switching
zbMATH Keywords: weighted eigenvector centrality
zbMATH Keywords: graphical models
zbMATH Keywords: MCMC
zbMATH Keywords: systemic risk
zbMATH Keywords: network connectivity
describes a project that uses: Brain Connectivity Toolbox
describes a project that uses: HdBCS
MaRDI profile type: Publication
OpenAlex ID: W3126133705
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Wikidata QID: Q128959741
DOI: 10.1016/J.JECONOM.2018.11.005
description: scientific article; zbMATH DE number 7049088