{"id":"W3017452399","doi":"10.3390/jrfm13040084","title":"Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions","year":2020,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":1433,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Social connectedness; Vector autoregression; Outlier; Autoregressive model; Covariance; Computer science; Econometrics; Multivariate statistics; Sliding window protocol; Variance (accounting); Monte Carlo method; Kalman filter; Dynamic factor; Window (computing); Mathematics; Statistics; Artificial intelligence; Machine learning; Economics","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null}