Measuring Dynamic Connectedness with Large Bayesian VAR Models

By Dimitris Korobilis, K. Yilmaz. 2018

115 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0ea02b0410072a39a58f4507c30a443375a190da

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. David Gabauer
2. Rangan Gupta
3. Nikolaos Antonakakis
4. Elie Bouri
5. George Filis
6. Ioannis Chatziantoniou
7. O. Adekoya
8. J. Oliyide

In Finance

1. David Gabauer
2. Rangan Gupta
3. Nikolaos Antonakakis
4. George Filis
5. Elie Bouri

Citations in the corpus

• International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression (2019, methodology): “By doing so, the TVP-VAR approach overcomes the burden of the often arbitrarily chosen rolling-window-size, that could lead to very erratic or flattened parameters, and loss of valuable observations (Antonakakis and Gabauer, 2017; Antonakakis et al., 2018; Gabauer and Gupta, 2018; Korobilis and Yilm”