Markov switching panel with endogenous synchronization effects

DOI10.1016/J.JECONOM.2021.04.004OpenAlexW3148138297MaRDI QIDQ2172001FDOQ2172001

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

Publication date: 14 September 2022

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

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

• Title not available (Why is that?)
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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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