A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Year of publication: |
January 2018
|
---|---|
Authors: | Casarin, Roberto ; Sartore, Domenico ; Tronzano, Marco |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 36.2018, 1, p. 101-114
|
Subject: | Bayesian VAR | Contagion | Exchange rates | Markov-switching | Multivariate stochastic volatility | Stochastic correlation | Wechselkurs | Exchange rate | Markov-Kette | Markov chain | Volatilität | Volatility | Korrelation | Correlation | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | VAR-Modell | VAR model | Stochastischer Prozess | Stochastic process | Theorie | Theory | Schock | Shock | US-Dollar | US dollar |
-
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan, (2021)
-
The time-varying effects of permanent and transistory shocks to real output
Keating, John William, (2015)
-
Chiu, Ching Wai Jeremy, (2014)
- More ...
-
Bayesian Markov Switching Stochastic Correlation Models
Casarin, Roberto, (2013)
-
Bayesian Markov Switching Stochastic Correlation Models
Casarin, Roberto, (2015)
-
Bayesian Markov switching stochastic correlation models
Casarin, Roberto, (2013)
- More ...