VEC-MSF models in Bayesian analysis of short- and long-run relationships

DOI10.1515/snde-2016-0004OpenAlexW2605224950MaRDI QIDQ2691706

Justyna Wróblewska, Anna Pajor

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0004

zbMATH Keywords

Bayesian analysisstochastic volatilitycointegrationMarkov chain Monte Carlo methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Uses Software

• bvarsv

Cites Work

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