Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model-Reference-Cited by-同舟云学术

Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model

Published:2016-01-21 Issue:7 Volume:31 Page:1352-1370
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J. Appl. Econ.

Author:

Billio Monica¹,Casarin Roberto¹,Ravazzolo Francesco²,Van Dijk Herman K.³

Affiliation:

1. University Ca' Foscari of Venice and GRETA Associati; Venice Italy

2. Norges Bank and BI Norwegian Business School; Oslo Norway

3. Econometric Institute, Erasmus University Rotterdam, Econometrics Department; VU University Amsterdam, and Tinbergen Institute; Rotterdam Netherlands

Funder

Seventh Framework Programme

Global Risk Institute in Financial Services

Louis Bachelier Institute, ‘Systemic Risk Research Initiative’

Italian Ministry of Education, University and Research (MIUR)

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/jae.2501/fullpdf

Reference32 articles.

1. Pitman-Yor process prior for Bayesian inference;Bassetti;Journal of Econometrics,2014

2. Posterior-predictive evidence on US inflation using extended Phillips curve models with non-filtered data;Basturk;Journal of Applied Econometrics,2014

3. Combination schemes for turning point predictions;Billio;Quarterly Review of Economics and Finance,2012

4. Time-varying combinations of predictive densities using nonlinear filtering;Billio;Journal of Econometrics,2013a

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