Arbeitspapier
Bayesian SAR model with stochastic volatility and multiple time-varying weights
A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over time and enables the analysis of shock propagation in terms of time-varying spillover effects. The framework is applied to analyse the dynamics of international relationships among the G7 economies and their impact on stock market returns and volatilities. The findings underscore the substantial impact of cooperative interactions and highlight discernible disparities in network exposure across G7 nations, along with nuanced patterns in direct and indirect spillover effects.
- Language
-
Englisch
- Bibliographic citation
-
Series: SAFE Working Paper ; No. 407
- Classification
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Model Construction and Estimation
Financial Econometrics
- Subject
-
Bayesian inference
International relationships
Multilayer networks
Spatial autoregressive model
Time-varying networks
Stochastic volatility
- Event
-
Geistige Schöpfung
- (who)
-
Costola, Michele
Iacopini, Matteo
Wichers, Casper
- Event
-
Veröffentlichung
- (who)
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Leibniz Institute for Financial Research SAFE
- (where)
-
Frankfurt a. M.
- (when)
-
2023
- DOI
-
doi:10.2139/ssrn.4620913
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Costola, Michele
- Iacopini, Matteo
- Wichers, Casper
- Leibniz Institute for Financial Research SAFE
Time of origin
- 2023
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