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A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
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Nonlinearities in exchange rate determination in a small open economy : some evidence for Canada
Kempa, Bernd; Riedel, Jana - In: The North American journal of economics and finance : a … 24 (2013), pp. 268-278
Persistent link: https://www.econbiz.de/10009739644
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Bayesian analysis of a fractional cointegration model
Martin, Gael M. - In: Econometric reviews 20 (2001) 2, pp. 217-234
Persistent link: https://www.econbiz.de/10001596591
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Does purchasing power parity hold for the German-US real exchange rate? : a Bayesian dynamic linear model
Zheng, Liping - In: International journal of economics and finance 7 (2015) 2, pp. 20-35
Persistent link: https://www.econbiz.de/10010489532
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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A Bayesian semiparametric analysis of ARCH models
Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000
Persistent link: https://www.econbiz.de/10001497195
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 178 (2014) 1, pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
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Speculative bubbles in present-value models : A Bayesian Markov-switching state space approach
Chan, Joshua; Santi, Caterina - In: Journal of economic dynamics & control 127 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012668503
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Regime shifts and the Canada/US exchange rate in a multivariate framework
Beckmann, Joscha; Czudaj, Robert - In: Economics letters 123 (2014) 2, pp. 206-211
Persistent link: https://www.econbiz.de/10010400293