A new Bayesian model for contagion and interdependence

DOI10.1080/07474938.2022.2072319OpenAlexW4280574252MaRDI QIDQ5867571

Aubrey Poon, Dan Zhu

Publication date: 14 September 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2022.2072319

zbMATH Keywords

stochastic volatilityBayesian estimationinterdependencecontagionomitted variable biasfat-tailstime-varying parameter models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Reducing the state space dimension in a large TVP-VAR
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Efficient simulation and integrated likelihood estimation in state space models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Empirical modelling of contagion: a review of methodologies

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