The short-term relationships among the U.S., German and Greek bond markets in times of financial crises : a Bayesian analysis of exogeneity in the VAR-SV model
Year of publication: |
2017
|
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Authors: | Modrzejewska, Anita ; Pajor, Anna |
Published in: |
Argumenta oeconomica. - [Wrocław] : [Wrocław University of Economics], ZDB-ID 2892843-X. - Vol. 38.2017, 1, p. 257-283
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Subject: | international bond markets | financial crisis | exogeneity | stochastic volatility | Finanzkrise | Financial crisis | USA | United States | Deutschland | Germany | Volatilität | Volatility | Griechenland | Greece | Rentenmarkt | Bond market | Schätzung | Estimation | Internationaler Finanzmarkt | International financial market | Bayes-Statistik | Bayesian inference |
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