Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach (Q4628443)
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scientific article; zbMATH DE number 7035697
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| English | Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach |
scientific article; zbMATH DE number 7035697 |
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Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach (English)
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13 March 2019
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asset pricing
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Bayesian inference
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consumption dynamics
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long-run risks
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measurement errors
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mixed frequency observations
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nonlinear state-space model
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particle MCMC
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stochastic volatility
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