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Modeling systemic risk with Markov Switching Graphical SUR models

  • Published:2019-05 Issue:1 Volume:210 Page:58-74
  • ISSN:0304-4076
  • Container-title:Journal of Econometrics
  • language:en
  • Short-container-title:Journal of Econometrics

Author:

Bianchi Daniele,Billio Monica,Casarin Roberto,Guidolin Massimo

Funder

European Union, Seventh Framework Programme

Italian Ministry of Education, University and Research (MIUR)

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Cited by 38 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Inflation Transmission Diagnostics via a Bayesian Graph Vector Autoregressive Model with Markov Switching;Journal of Systems Science and Complexity;2024-05-13

2. Multiscale SUR Estimation of Systematic Risk;Studies in Nonlinear Dynamics & Econometrics;2024-05-08

3. Persistence in financial connectedness and systemic risk;European Journal of Operational Research;2024-04

4. Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions;International Review of Economics & Finance;2024-04

5. Interconnectedness and systemic risk: Evidence from global stock markets;Research in International Business and Finance;2024-04
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