A sequential Bayesian change-point analysis of BRICS currency returns
Aviral Kumar Tiwari, Cleiton Guollo Taufemback, Satish Kumar
| Year of publication: |
2021
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|---|---|
| Authors: | Tiwari, Aviral Kumar ; Taufemback, Cleiton Guollo ; Kumar, Satish |
| Published in: |
Journal of quantitative economics. - [New Delhi] : Springer India, ISSN 2364-1045, ZDB-ID 2842078-0. - Vol. 19.2021, 2, p. 393-402
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| Subject: | BRICS | Bayesian change-point model | Return | Volatility | Regimes | Volatilität | Bayes-Statistik | Bayesian inference | BRICS-Staaten | BRICS countries | Kapitaleinkommen | Capital income | Theorie | Theory | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Strukturbruch | Structural break |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s40953-020-00227-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012584982