Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market

DOI10.1016/j.csda.2010.11.028zbMath1254.91626OpenAlexW2056123184MaRDI QIDQ1927117

Ruey S. Tsay, Tomohiro Ando

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.11.028

zbMATH Keywords

model selectionMarkov chain Monte Carlopanel data

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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