Domenico Sartore
Biographic Data
| ID | 8920763 |
|---|---|
| NAME | Domenico Sartore |
| GIVEN NAMES | Domenico |
| FAMILY NAME | Sartore |
| SIGNATURE | SARTORE D |
| AFFILIATIONS | Departments of Economics, University Ca’ Foscari of Venice, Italy () |
| ORCID | 0000-0002-4017-5062 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2018 |
| LATEST PUBLICATION YEAR | 2018 |
| H-INDEX | 0 |
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
This article develops a new Markov-switching vector autoregressive (VAR) model with stochastic correlation for contagion analysis on financial markets. The correlation and the log-volatility dynamics are driven by two independent Markov chains, thus allowing for different effects such as volatility spill-overs and correlation shifts with various degrees of intensity. We outline a suitable Bayesian inference procedure based on Markov chain Monte C…
No prominent works on this page.
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
This article develops a new Markov-switching vector autoregressive (VAR) model with stochastic correlation for contagion analysis on financial markets. The correlation and the log-volatility dynamics are driven by two independent Markov chains, thus allowing for different effects such as volatility spill-overs and correlation shifts with various degrees of intensity. We outline a suitable Bayesian inference procedure based on Markov chain Monte C…
Autoregressive conditional heteroskedasticity (1 work) · Autoregressive model (1 work) · Bayesian inference (1 work) · Bayesian probability (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Market Dynamics and Volatility (1 work) · Markov chain (1 work)