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

DOI10.1016/j.csda.2010.11.028zbMath1254.91626MaRDI 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 selection; Markov chain Monte Carlo; panel data

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

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A Predictive Approach for Selection of Diffusion Index Models, Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity

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