Markov switching panel with endogenous synchronization effects
From MaRDI portal
Publication:2172001
DOI10.1016/j.jeconom.2021.04.004OpenAlexW3148138297MaRDI QIDQ2172001
Komla M. Agudze, Roberto Casarin, Monica Billio, Francesco Ravazzolo
Publication date: 14 September 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.04.004
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items (1)
Cites Work
- Unnamed Item
- Data augmentation, frequentist estimation, and the Bayesian analysis of multinomial logit models
- \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation?
- Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
- Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
- Modeling systemic risk with Markov switching graphical SUR models
- Convergence of locally and globally interacting Markov chains.
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Finite mixture and Markov switching models.
- Estimating turning points using large data sets
- Probability with Martingales
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
- Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
- Financial and Macroeconomic Connectedness
- Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
- Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models
- Bayesian auxiliary variable models for binary and multinomial regression
This page was built for publication: Markov switching panel with endogenous synchronization effects
