Related Books

Granger Causality and Regime Inference in Bayesian Markov-Switching VARs
Language: en
Pages: 50
Authors:
Categories:
Type: BOOK - Published: 2015 - Publisher:

DOWNLOAD EBOOK

We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect
Granger Causality and Regime Inference in Bayesian Markov-Switching VARs
Language: en
Pages:
Authors: Matthieu Droumaguet
Categories:
Type: BOOK - Published: 2015 - Publisher:

DOWNLOAD EBOOK

Causality and Regime Inference in a Markov Switching Var
Language: en
Pages: 41
Authors: Anders Warne
Categories:
Type: BOOK - Published: 2000 - Publisher:

DOWNLOAD EBOOK

Granger-Causality in Markov Switching Models
Language: en
Pages: 0
Authors: Monica Billio
Categories:
Type: BOOK - Published: 2012 - Publisher:

DOWNLOAD EBOOK

In this paper we propose a new parametrisation of transition probabilities that allows us to characterize and test Granger-causality in Markov switching models
Granger-Causal Analysis of Conditional Mean and Volatility Models
Language: en
Pages: 167
Authors: Tomasz Woźniak
Categories: Bayesian statistical decision theory
Type: BOOK - Published: 2012 - Publisher:

DOWNLOAD EBOOK

Recent economic developments have shown the importance of spillover and contagion effects in financial markets as well as in macroeconomic reality. Such effects