Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility
Year of publication: |
2015
|
---|---|
Authors: | Chan, Joshua |
Other Persons: | Eisenstat, Eric (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Bayes-Statistik | Bayesian inference | VAR-Modell | VAR model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Zustandsraummodell | State space model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Australien | Australia | Theorie | Theory |
Extent: | 1 Online-Ressource (29 p) |
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Series: | CAMA Working Paper ; No. 32/2015 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 10, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2642091 [DOI] |
Classification: | C11 - Bayesian Analysis ; C52 - Model Evaluation and Testing ; E32 - Business Fluctuations; Cycles ; E52 - Monetary Policy (Targets, Instruments, and Effects) |
Source: | ECONIS - Online Catalogue of the ZBW |
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