Concepedia

Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach

Massimo Guidolin, Erwin Hansen, Manuela Pedio

Journal of Financial Markets · 2019 · 64 citations · 54 references

DOIFull text

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References

54

Impulse response analysis in nonlinear multivariate models

Gary Koop, M. Hashem Pesaran, Simon Potter · Journal of Econometrics · 1996 · 5K citations

, , +6

Deciphering the Liquidity and Credit Crunch 2007–2008

Markus K. Brunnermeier · The Journal of Economic Perspectives · 2009 · 3.4K citations · Full text

, , +17

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

John Y. Campbell, Samuel B. Thompson · Review of Financial Studies · 2007 · 3K citations · Full text

, , +16

Time Varying Structural Vector Autoregressions and Monetary Policy

Giorgio E. Primiceri · The Review of Economic Studies · 2005 · 2.9K citations

, , +16

On Gibbs sampling for state space models

Chris Carter, Robert Kohn · Biometrika · 1994 · 2K citations

, , +14