The motifs of risk transmission in multivariate time series: Application to commodity prices
Paolo Pagnottoni, Alessandro Spelta
| Year of publication: |
2023
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|---|---|
| Authors: | Pagnottoni, Paolo ; Spelta, Alessandro |
| Published in: |
Socio-economic planning sciences : the international journal of public sector decision-making. - Amsterdam [u.a.] : Elsevier, ISSN 0038-0121, ZDB-ID 208905-1. - Vol. 87.2023, 2, p. 1-12
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| Subject: | Vector autoregression | Bayesian estimation | Forecast error variance decomposition | Spillovers | Network motifs | Systemic risk | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Spillover-Effekt | Spillover effect | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Rohstoffpreis | Commodity price | Risiko | Risk | Systemrisiko | Schock | Shock | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.seps.2022.101459 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014317442