Markov switching panel with endogenous synchronization effects

DOI10.1016/J.JECONOM.2021.04.004MaRDI QIDQ2172001zbMATH OpenOpenAlexFDO

Authors Komla M. Agudze, Monica Billio, Roberto Casarin, Francesco Ravazzolo

Publication date 14 September 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.04.004

zbMATH Keywords

Bayesian inferenceinteracting Markov chainsmulti-layer networkspanel Markov-switching

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(2)

• Analysing yield spread and output dynamics in an endogenous Markov switching regression framework
• A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model

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