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Title: Measuring contagion with a Bayesian, time-varying coefficient model
Abstract
To measure contagion empirically, we propose using a Bayesian time-varying coefficient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from structural breaks. It can be used to investigate positive as well as negative contagion. The proposed measure appears to work well using both simulated and actual data. [Matteo Ciccarelli ; Alessandro Rebucci]
Author: Ciccarelli, Matteo | Rebucci, Alessandro
Series Title: Working paper series / European Central Bank ; 263
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: HeteroscedasticityBusiness cycle transmissionMarkov processShockTheory
Subject: Economic development. Economic growth
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
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