A new Bayesian model for contagion and interdependence

DOI10.1080/07474938.2022.2072319MaRDI QIDQ5867571zbMATH OpenOpenAlexFDO

Authors Aubrey Poon, Dan Zhu

Publication date 14 September 2022

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07474938.2022.2072319

zbMATH Keywords

Bayesian estimationcontagionstochastic volatilityomitted variable biasinterdependencefat-tailstime-varying parameter models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 3597760 (Why is no real title available?)
• Efficient simulation and integrated likelihood estimation in state space models
• Empirical modelling of contagion: a review of methodologies
• Reducing the state space dimension in a large TVP-VAR
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models

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