Default count-based network models for credit contagion
Arianna Agosto and Daniel Felix Ahelegbey
| Year of publication: |
2022
|
|---|---|
| Authors: | Agosto, Arianna ; Ahelegbey, Daniel Felix |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 73.2022, 1, p. 139-152
|
| Subject: | conditional Granger causality | Financial networks | inter-sector contagion | PC-algorithm | Poisson autoregressive models | vector autoregressive models | Ansteckungseffekt | Contagion effect | VAR-Modell | VAR model | Kausalanalyse | Causality analysis | Kreditrisiko | Credit risk | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2020.1776169 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012872894