Bayesian SAR model with stochastic volatility and multiple time-varying weights
Michele Costola, Matteo Iacopini, and Casper Wichers
| Year of publication: |
2025
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|---|---|
| Authors: | Costola, Michele ; Iacopini, Matteo ; Wichers, Casper |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 23.2025, 3, Art.-No. nbae035, p. 1-23
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| Subject: | Bayesian inference | international relationships | multilayer networks | spatial autoregressive model | time-varying networks | stochastic volatility | Bayes-Statistik | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Autokorrelation | Autocorrelation | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbae035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015425431