A new Bayesian model for contagion and interdependence
Year of publication: |
2022
|
---|---|
Authors: | Poon, Aubrey ; Zhu, Dan |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 41.2022, 7, p. 806-826
|
Subject: | Bayesian estimation | contagion | fat-tails | interdependence | omitted variable bias | stochastic volatility | time-varying parameter models | Theorie | Theory | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Ansteckungseffekt | Contagion effect | Schätzung | Estimation | Stochastischer Prozess | Stochastic process |
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