Cross-border spillovers in G20 sovereign CDS markets : cluster analysis based on K-means machine learning algorithm and TVP–VAR models
Zhizhen Chen, Guifen Shi, Boyang Sun
| Year of publication: |
2024
|
|---|---|
| Authors: | Chen, Zhizhen ; Shi, Guifen ; Sun, Boyang |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 67.2024, 6, p. 2463-2502
|
| Subject: | Cross-border risk spillovers | Machine learning | Network connectedness | Sovereign CDS | Time-series clustering | Spillover-Effekt | Spillover effect | Künstliche Intelligenz | Artificial intelligence | Kreditderivat | Credit derivative | Clusteranalyse | Cluster analysis | Regionales Cluster | Regional cluster | Länderrisiko | Country risk | Unternehmensnetzwerk | Business network |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-024-02628-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015142095