Fat tails, serial dependence, and interlinkages of the geopolitical risk and food market during the COVID-19 pandemic and war crisis: an application of Bayesian vector heterogeneous autoregressions
Description
We investigate fat tails and network interconnections of geopolitical risk index and food prices, including the price of corn, rice, and wheat, using seven Bayesian vector heterogeneous autoregression fashions. This paper differentiates dynamically
