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Zusammenfassung

Refinitiv Eikon delivers a powerful combination of information, analytics and exclusive news on financial markets. It covers all the major financial markets – equity, fixed income, commodities, foreign exchange – and provides effective compliance and risk management, investment management and wealth management solutions. The content and analytics package includes pricing data, financial research, global financial news and commentary, financial estimates, fundamentals analysis, and visual analysis through charting. It comprises all the Thomson 1 legacy products as well as IBES, Datastream, Worldscope.

Forschungsbereich

Financial Institutions
Systemic Risk Lab

Schlagworte

spatial garch, network, risk spillover, financial spillover, var estimation, financial networks, bayesian inference, sparsity, spike-and-slab prior, stochastic search variable selection, expectation-maximisation

JEL-Klassifizierung

C58, G10

Working Paper Referenzen

Networks in Risk Spillovers: A Multivariate GARCH Perspective
High-Dimensional Sparse Financial Networks through a Regularised Regression Model

Thema

Trading and Pricing
Financial Markets
Systematic Risk

Publikationstyp

Research Data

Link zur Publikation

https://fif.hebis.de/xmlui/handle/123456789/1397

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