Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
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Publication:1728672
DOI10.1214/18-AOAS1168zbMath1412.62197OpenAlexW3125320951MaRDI QIDQ1728672
Roberto Casarin, Massimiliano Marcellino, Claudia Foroni, Francesco Ravazzolo
Publication date: 25 February 2019
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoas/1542078056
Markov chain Monte CarloBayesian inferenceMarkov-switchingeconometricsdynamic panel modelsmixed-frequency
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Markov switching panel with endogenous synchronization effects ⋮ A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model ⋮ Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
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