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Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions
Antonakakis, Nikolaos, (2020)
European Currency Co-Movements and Contagion : Evidence from a Bayesian TVP-(Pseudo)FAVAR Model
Antonakakis, Nikolaos, (2018)
What is Driving Connectedness? Stylized Facts from Mean and Volatility Dynamics
Antonakakis, Nikolaos, (2023)