Bayesian inference of multivariate regression models with endogenous Markov regime-switching parameters
Year of publication: |
2022
|
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Authors: | Kim, Young Min ; Kang, Kyu Ho |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 3, p. 391-436
|
Subject: | auxiliary variable | Bayesian MCMC estimation | financial markets | marginal likelihood | U.S. business cycle | Theorie | Theory | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Konjunktur | Business cycle | USA | United States | Schätzung | Estimation | Finanzmarkt | Financial market |
Description of contents: | Description [doi.org] |
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