Bayesian quantile regression analysis for bivariate vector autoregressive models with an application to financial time series
Kai Yang, Luan Zhao, Qian Hu, Wenshan Wang
| Year of publication: |
2024
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| Authors: | Yang, Kai ; Zhao, Luan ; Hu, Qian ; Wang, Wenshan |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 64.2024, 4, p. 1939-1963
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| Subject: | Bayesian quantile regression | Gibbs sampling | Latent variable | Vector autoregressive models | Bayes-Statistik | Bayesian inference | VAR-Modell | VAR model | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10498-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015143979