Risk shocks with time-varying higher moments
Year of publication: |
2020
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Authors: | Dorofeenko, Victor ; Lee, Gabriel S. ; Salyer, Kevin Duff ; Strobel, Johannes |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 24.2020, 2, p. 1-20
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Subject: | bankruptcy rate | Bayesian analysis | DSGE models | mixture models | time-varying uncertainty | Bayes-Statistik | Bayesian inference | Theorie | Theory | Risiko | Risk | VAR-Modell | VAR model | Dynamisches Gleichgewicht | Dynamic equilibrium | Insolvenz | Insolvency | Schock | Shock | Schätzung | Estimation |
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