Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework
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More about this item
KeywordsMarkov switching; stochastic volatility; risk premium; in-mean effect; Bayesian analysis;
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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