The motifs of risk transmission in multivariate time series: Application to commodity prices
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DOI: 10.1016/j.seps.2022.101459
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- Pagnottoni, Paolo & Spelta, Alessandro, 2024. "Hedging global currency risk: A dynamic machine learning approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 649(C).
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Keywords
Vector autoregression; Bayesian estimation; Forecast error variance decomposition; Spillovers; Network motifs; Systemic risk;All these keywords.
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