Structural learning of contemporaneous dependencies in graphical VAR models
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DOI: 10.1016/j.csda.2019.106880
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References listed on IDEAS
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Cited by:
- Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto, 2024.
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- Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020. "Modeling Turning Points In Global Equity Market," DEM Working Papers Series 195, University of Pavia, Department of Economics and Management.
- Daniel Felix Ahelegbey, 2022.
"Statistical Modelling of Downside Risk Spillovers,"
FinTech, MDPI, vol. 1(2), pages 1-10, April.
- Daniel Felix Ahelegbey, 2020. "Statistical Modelling of Downside Risk Spillovers," DEM Working Papers Series 193, University of Pavia, Department of Economics and Management.
- Pagnottoni, Paolo & Spelta, Alessandro, 2023. "The motifs of risk transmission in multivariate time series: Application to commodity prices," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
- Codazzi, Laura & Colombi, Alessandro & Gianella, Matteo & Argiento, Raffaele & Paci, Lucia & Pini, Alessia, 2022. "Gaussian graphical modeling for spectrometric data analysis," Computational Statistics & Data Analysis, Elsevier, vol. 174(C).
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Keywords
Bayesian model selection; Decomposable graphical model; Fractional Bayes factor; Multivariate time series; VAR model;All these keywords.
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