Cross-asset contagion in the financial crisis : a Bayesian time-varying parameter approach
Year of publication: |
2019
|
---|---|
Authors: | Guidolin, Massimo ; Hansen, Erwin ; Pedio, Manuela |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 45.2019, p. 83-114
|
Subject: | Bayesian estimation | Bond yield | Contagion | Financial crisis | Interdependence | Finanzkrise | Bayes-Statistik | Bayesian inference | Ansteckungseffekt | Contagion effect | Schätzung | Estimation |
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