Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances
Year of publication: |
2021
|
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Authors: | Kiss, Tamás ; Mazur, Stepan ; Nguyen, Hoang ; Österholm, Pär |
Publisher: |
Örebro : Örebro University School of Business |
Subject: | Bayesian VAR | Generalized hyperbolic skew Students t distribution | Stochastic volatility |
Series: | Working Paper ; 9/2021 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1767723741 [GVK] hdl:10419/244583 [Handle] RePEc:hhs:oruesi:2021_009 [RePEc] |
Classification: | C11 - Bayesian Analysis ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation ; G17 - Financial Forecasting |
Source: |
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